CEG Options History — December 2022

In December 2022, CEG traded between $86.03 and $94.45. ATM implied volatility averaged 33.8%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 0.5% (HV 20d: 33.4%). Max pain ranged from $80.00 to $95.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2022-12-14: Highest Volume — 1,271 contracts
  • 2022-12-12: Largest IV spike — 19.3% change
  • 2022-12-12: Highest IV Rank — 49.4%
  • 2022-12-07: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$89.41$86.03$94.45$94.45$86.03
Max Pain$84.52$80.00$95.00$95.00$85.00
ATM IV33.8%29.2%40.1%32.0%32.6%
Expected Move9.5%8.4%10.0%9.2%9.3%
HV 20d33.4%23.5%50.7%49.7%23.5%
HV 60d39.1%37.9%40.5%40.5%37.9%
IV Rank38.4%30.4%49.4%35.2%36.3%
IV Percentile22.3%12.7%37.7%22.2%16.7%
Term Structure3.6%0.3%5.4%1.1%4.3%
VWIV32.8%30.2%36.0%36.0%32.2%
Skew 25d4.8%3.8%5.8%3.9%4.4%
Skew 10d7.5%-4.2%16.1%3.6%-4.2%
Call IV 25d30.9%27.9%32.4%30.9%31.0%
Put IV 25d35.8%32.4%37.7%34.8%35.4%
Bid-Ask Spread %74.0051.8183.2671.3877.98
Gamma HHI0.210.140.310.200.14
Net GEX-517.7K-2.1M778.5K-355.8K385.8K
Net DEX-17.6M-29.4M-8.5M-29.4M-14.9M
Net VEX-256.2K-292.1K-226.3K-284.2K-227.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.052.630.380.11
Total Volume411.143441,271391159
Total OI27,881.42923,43732,26330,21823,882

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-12-01$94.45$95.0032.0%9.2%49.7%35.2%36.0%3.9%1.1%-355.8K-29.4M-284.2K0.3871.38N/AN/A2841079,52820,690
2022-12-02$92.12$95.0033.6%9.6%50.2%38.0%33.2%4.4%0.3%-1.1M-19.7M-292.1K0.8782.64N/AN/A1971719,73320,708
2022-12-05$90.27$80.0034.6%9.8%50.7%39.7%33.6%5.2%3.3%-1.8M-11.1M-285.9K0.6574.72N/AN/A1721129,74120,759
2022-12-06$90.61$80.0034.8%10.0%50.6%40.1%34.6%5.0%3.3%-1.7M-13.0M-278.2K0.2870.92N/AN/A4061149,84620,802
2022-12-07$91.81$80.0037.4%10.0%44.7%44.6%34.5%5.1%3.3%-1.2M-19.0M-276.2K2.6372.15N/AN/A1443789,87220,810
2022-12-08$91.28$80.0036.1%9.8%44.8%42.4%34.6%5.4%3.5%-1.5M-16.0M-279.0K0.6973.37N/AN/A26189,92621,076
2022-12-09$90.00$80.0033.7%9.6%32.7%38.1%32.3%4.5%3.6%-2.0M-12.9M-264.5K0.5272.26N/AN/A96509,93121,078
2022-12-12$90.28$80.0040.1%10.0%30.5%49.4%34.2%5.4%2.8%-2.1M-12.9M-260.3K1.4564.11N/AN/A2062999,93221,059
2022-12-13$91.02$85.0039.4%9.7%29.1%48.1%33.2%4.9%2.9%-1.7M-17.7M-251.3K0.1870.25N/AN/A9341699,91421,131
2022-12-14$90.96$85.0033.1%9.5%29.0%37.1%31.3%4.3%3.2%-967.1K-22.0M-255.9K0.1773.15N/AN/A1,08318810,52221,084
2022-12-15$89.83$85.0032.8%9.4%28.5%36.5%33.4%4.5%4.0%-1.4M-19.2M-253.5K1.0974.18N/AN/A18219811,08721,159
2022-12-16$87.89$85.0033.0%9.5%28.8%36.9%34.5%5.3%3.7%505.8K-8.5M-252.1K0.9471.00N/AN/A29327611,13821,125
2022-12-19$87.43$85.0034.5%9.9%25.5%39.7%33.5%5.1%3.9%475.0K-18.6M-247.7K0.5576.64N/AN/A139769,26214,175
2022-12-20$87.74$85.0030.9%8.9%25.5%33.4%31.3%5.8%4.8%469.3K-18.5M-250.0K0.7051.81N/AN/A3322349,29014,226
2022-12-21$90.13$85.0029.8%8.6%24.9%31.5%30.2%4.8%5.4%778.5K-26.6M-240.5K0.6675.65N/AN/A2671779,32714,239
2022-12-22$86.97$85.0032.8%9.4%27.4%36.7%31.7%3.8%4.6%446.1K-17.4M-249.7K0.5778.42N/AN/A79459,31214,260
2022-12-23$87.89$85.0029.2%8.4%27.4%30.4%30.3%3.9%5.2%526.5K-19.9M-238.6K0.3781.99N/AN/A57219,30614,287
2022-12-27$87.45$85.0033.6%9.6%26.3%37.9%32.4%5.1%4.3%486.2K-19.0M-226.3K0.0578.11N/AN/A407219,30414,290
2022-12-28$86.50$85.0033.3%9.5%26.4%37.4%31.0%5.4%4.4%415.4K-16.3M-235.9K0.4183.26N/AN/A109459,54314,303
2022-12-29$86.97$85.0032.9%9.4%24.3%36.8%31.1%5.0%3.6%470.1K-17.9M-231.5K2.1880.03N/AN/A1142499,55214,301
2022-12-30$86.03$85.0032.6%9.3%23.5%36.3%32.2%4.4%4.3%385.8K-14.9M-227.1K0.1177.98N/AN/A143169,58414,298