CEG Options History — May 2023

In May 2023, CEG traded between $76.44 and $84.52. ATM implied volatility averaged 27.2%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 9.7% (HV 20d: 17.5%). Max pain ranged from $75.00 to $80.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 2.41.

Notable Days

  • 2023-05-15: Highest Volume — 3,886 contracts
  • 2023-05-04: Largest IV drop — 28.5% change
  • 2023-05-02: Highest IV Rank — 34.9%
  • 2023-05-02: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$80.62$76.44$84.52$76.97$84.52
Max Pain$79.09$75.00$80.00$80.00$80.00
ATM IV27.2%21.8%41.7%39.8%24.2%
Expected Move7.8%6.3%12.0%11.4%6.9%
HV 20d17.5%14.7%18.4%16.7%17.3%
HV 60d23.6%18.8%26.1%26.1%18.9%
IV Rank7.8%0.0%34.9%30.5%5.1%
IV Percentile7.5%0.0%51.6%44.4%1.6%
Term Structure0.8%-7.4%4.1%-5.9%0.7%
VWIV29.1%22.2%53.7%41.1%24.2%
Skew 25d4.4%-7.2%14.0%3.9%3.3%
Skew 10d9.1%-1.4%20.1%8.0%7.6%
Call IV 25d25.8%20.6%37.9%37.5%23.8%
Put IV 25d30.2%16.4%51.6%41.4%27.1%
Bid-Ask Spread %80.8367.9490.1382.0886.49
Gamma HHI0.290.200.460.200.28
Net GEX1.6M-293.5K4.4M117.2K1.7M
Net DEX-13.2M-40.8M10.0M5.3M-28.5M
Net VEX-262.1K-314.6K-207.7K-217.7K-297.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.410.0513.082.100.12
Total Volume1,136.636883,8861,904228
Total OI29,002.86420,44537,27527,02323,670

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-05-01$76.97$80.0039.8%11.4%16.7%30.5%41.1%3.9%-5.9%117.2K5.3M-217.7K2.1082.08N/AN/A6151,28911,86315,160
2023-05-02$76.69$80.0041.7%12.0%15.2%34.9%44.2%6.6%-7.4%-48.2K6.7M-226.9K13.0883.65N/AN/A1451,89712,30916,064
2023-05-03$76.44$80.0041.3%11.8%14.7%33.9%53.7%14.0%-7.4%-293.5K10.0M-232.9K4.2387.64N/AN/A7833012,41617,249
2023-05-04$78.77$75.0029.5%8.3%17.8%6.1%32.5%5.6%3.2%638.3K-1.9M-230.1K0.6372.75N/AN/A32120312,45517,265
2023-05-05$79.48$75.0023.9%7.6%18.0%0.0%26.3%5.3%4.1%1.4M-6.6M-220.3K1.8667.94N/AN/A13925812,42417,295
2023-05-08$78.75$75.0025.3%7.8%18.4%3.1%28.2%4.7%3.2%1.3M-1.6M-207.7K0.6173.80N/AN/A17910912,47817,365
2023-05-09$79.03$80.0026.9%7.7%18.3%6.7%29.5%6.3%3.4%1.5M-2.8M-209.8K0.1570.66N/AN/A4607012,57517,463
2023-05-10$79.54$75.0026.0%7.5%18.3%4.8%28.9%4.4%3.8%2.0M-6.6M-215.3K0.9171.37N/AN/A1,6671,51812,75217,627
2023-05-11$79.06$80.0025.6%7.3%18.4%3.8%25.3%4.6%3.5%1.7M-4.7M-253.9K0.0572.90N/AN/A5933014,27319,138
2023-05-12$79.75$80.0025.0%7.2%17.6%2.4%24.3%4.5%3.4%2.9M-12.5M-259.4K0.1678.69N/AN/A1913114,80419,006
2023-05-15$80.50$80.0025.9%7.4%16.3%4.4%33.4%4.8%2.7%2.9M-19.3M-263.6K12.7378.55N/AN/A2833,60314,96219,019
2023-05-16$79.06$80.0024.7%7.1%17.4%1.9%26.0%5.4%3.3%3.2M-6.5M-240.5K0.8083.20N/AN/A1,8491,47015,17918,359
2023-05-17$80.29$80.0026.2%7.5%17.9%5.2%26.1%1.8%2.4%4.4M-20.1M-286.2K1.4582.31N/AN/A47769416,36719,790
2023-05-18$81.32$80.0024.8%7.1%17.5%2.1%28.6%5.8%0.9%1.9M-24.7M-289.4K5.4987.96N/AN/A14278016,84819,653
2023-05-19$82.17$80.0025.0%7.2%17.7%2.4%23.4%3.9%0.2%902.0K-40.8M-288.8K0.1186.72N/AN/A7578316,85420,421
2023-05-22$83.55$80.0021.8%6.3%18.2%0.0%22.2%3.7%0.6%1.1M-21.6M-282.3K0.2482.85N/AN/A1,26430510,4729,973
2023-05-23$84.02$80.0023.1%6.6%17.9%2.7%23.0%5.8%0.9%1.5M-25.4M-299.5K6.6381.97N/AN/A2111,39811,59110,067
2023-05-24$83.28$80.0024.1%6.9%17.6%4.9%25.1%0.1%0.9%1.2M-20.9M-312.6K0.3185.97N/AN/A1936011,68311,369
2023-05-25$82.94$80.0024.6%7.1%17.6%5.9%25.3%4.3%0.1%1.3M-18.3M-314.6K0.5284.89N/AN/A1015311,82511,378
2023-05-26$83.69$80.0024.4%7.0%17.7%5.4%24.1%4.8%0.7%1.4M-24.0M-314.4K0.1485.78N/AN/A771111,88911,393
2023-05-30$83.84$80.0024.2%6.9%17.5%5.1%24.0%-7.2%0.4%1.5M-25.0M-302.7K0.6890.13N/AN/A50234211,92611,394
2023-05-31$84.52$80.0024.2%6.9%17.3%5.1%24.2%3.3%0.7%1.7M-28.5M-297.4K0.1286.49N/AN/A2032512,17811,492