CEG Options History — January 2023

In January 2023, CEG traded between $81.36 and $86.56. ATM implied volatility averaged 34.1%, placing in the 38.9% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 4.8% (HV 20d: 29.3%). Max pain ranged from $85.00 to $85.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 4.47.

Notable Days

  • 2023-01-06: Highest Volume — 5,471 contracts
  • 2023-01-09: Largest IV spike — 18.1% change
  • 2023-01-31: Highest IV Rank — 49.7%
  • 2023-01-31: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.64$81.36$86.56$81.75$84.97
Max Pain$85.00$85.00$85.00$85.00$85.00
ATM IV34.1%30.0%40.3%36.9%40.3%
Expected Move10.0%9.0%11.6%10.6%11.6%
HV 20d29.3%26.9%33.2%27.9%33.2%
HV 60d37.1%35.3%39.0%39.0%36.6%
IV Rank38.9%31.8%49.7%43.7%49.7%
IV Percentile20.2%10.7%38.5%29.0%38.5%
Term Structure1.0%-4.4%2.9%2.1%-4.4%
VWIV35.4%32.6%41.4%35.4%41.4%
Skew 25d5.4%2.8%6.7%5.2%6.5%
Skew 10d9.9%-4.3%27.5%4.5%12.3%
Call IV 25d33.3%29.5%38.8%33.6%38.4%
Put IV 25d38.7%35.3%44.9%38.8%44.9%
Bid-Ask Spread %84.0372.7190.6172.7180.58
Gamma HHI0.290.120.480.120.33
Net GEX-1.0M-2.5M201.2K17.4K-1.5M
Net DEX3.7M-10.7M21.8M-4.2M8.6M
Net VEX-262.4K-313.0K-208.1K-210.5K-310.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.470.0330.000.090.75
Total Volume1,635.31235,4716553,068
Total OI28,975.523,89337,30523,89329,002

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-01-03$81.75$85.0036.9%10.6%27.9%43.7%35.4%5.2%2.1%17.4K-4.2M-210.5K0.0972.71N/AN/A600559,58914,304
2023-01-04$82.78$85.0032.8%9.4%28.1%36.5%35.3%6.5%2.8%192.5K-9.2M-217.5K0.1481.47N/AN/A169239,69514,319
2023-01-05$82.90$85.0031.1%10.2%28.0%33.5%35.1%5.5%2.8%64.7K-6.7M-213.7K0.2282.24N/AN/A101229,71914,322
2023-01-06$84.12$85.0030.0%10.4%28.2%31.8%38.8%2.8%2.0%201.2K-10.7M-208.1K13.4078.71N/AN/A3805,0919,84714,324
2023-01-09$83.83$85.0035.5%10.3%28.1%41.3%35.0%4.9%2.3%-523.7K-1.6M-241.6K0.5281.72N/AN/A5072659,89619,355
2023-01-10$82.77$85.0033.4%10.5%28.1%37.6%35.4%6.5%0.7%-767.1K3.4M-237.8K0.7278.58N/AN/A44732110,09919,526
2023-01-11$84.20$85.0034.8%10.0%29.0%40.1%33.0%6.3%2.0%-545.1K-3.0M-234.3K0.0382.58N/AN/A1,2603610,51719,517
2023-01-12$84.00$85.0032.6%9.4%28.7%36.3%33.4%6.5%2.9%-688.1K-1.4M-237.1K0.1284.11N/AN/A3304010,36319,543
2023-01-13$85.53$85.0033.4%9.6%29.7%37.6%33.7%4.7%2.0%-241.3K-9.6M-233.1K11.0185.85N/AN/A1211,33210,65719,566
2023-01-17$83.28$85.0033.4%9.6%30.7%37.6%36.9%4.5%2.2%-1.2M2.3M-223.5K30.0089.17N/AN/A1494,47010,70420,546
2023-01-18$81.99$85.0036.9%10.6%30.3%43.7%36.5%5.2%0.4%-2.2M17.1M-275.0K6.2488.57N/AN/A4662,90810,73124,588
2023-01-19$81.36$85.0035.9%10.3%30.3%42.0%36.3%6.7%0.6%-2.5M21.8M-277.1K5.4986.83N/AN/A2181,19711,05425,371
2023-01-20$82.85$85.0031.9%9.1%31.2%35.0%34.3%6.3%1.4%-1.8M15.2M-289.4K5.5186.07N/AN/A4432,44011,07826,227
2023-01-23$83.89$85.0031.4%9.0%29.8%34.2%34.5%5.8%1.9%-1.9M13.0M-294.1K0.7087.75N/AN/A1,1017736,44719,272
2023-01-24$83.77$85.0032.9%9.4%27.3%36.8%32.6%3.8%0.5%-1.7M11.3M-305.6K0.6988.30N/AN/A2331607,35719,333
2023-01-25$83.22$85.0033.1%9.5%26.9%37.0%34.1%4.6%0.2%-1.9M14.5M-313.0K12.1790.61N/AN/A1171,4247,51119,301
2023-01-26$85.77$85.0032.9%9.4%29.3%36.7%32.6%5.3%2.2%-1.2M2.2M-305.8K0.2984.01N/AN/A8752517,59320,476
2023-01-27$86.56$85.0033.8%9.7%29.3%38.3%32.6%5.7%0.1%-881.5K-2.2M-311.6K0.4686.02N/AN/A168778,21920,633
2023-01-30$83.20$85.0039.6%11.4%32.4%48.4%40.3%5.4%-4.3%-1.8M13.3M-307.9K0.9684.61N/AN/A5465228,29620,613
2023-01-31$84.97$85.0040.3%11.6%33.2%49.7%41.4%6.5%-4.4%-1.5M8.6M-310.7K0.7580.58N/AN/A1,7561,3128,05120,951