CEG Options History — June 2023

In June 2023, CEG traded between $87.47 and $94.50. ATM implied volatility averaged 21.8%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 1.5% (HV 20d: 23.3%). Max pain ranged from $75.00 to $85.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.08.

Notable Days

  • 2023-06-02: Highest Volume — 6,700 contracts
  • 2023-06-12: Largest IV spike — 26.4% change
  • 2023-06-13: Highest IV Rank — 16.5%
  • 2023-06-05: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$91.12$87.47$94.50$88.77$91.19
Max Pain$81.43$75.00$85.00$80.00$85.00
ATM IV21.8%18.0%26.4%23.8%19.3%
Expected Move6.2%5.4%7.1%6.8%5.5%
HV 20d23.3%18.7%25.3%23.0%18.7%
HV 60d20.8%19.5%21.6%21.1%19.5%
IV Rank5.4%0.0%16.5%4.1%2.5%
IV Percentile1.6%0.0%9.9%0.8%0.8%
Term Structure3.5%1.2%4.5%1.6%3.7%
VWIV22.0%19.3%25.3%24.3%19.3%
Skew 25d2.6%1.3%5.6%1.9%2.2%
Skew 10d3.8%-1.7%9.3%5.5%2.4%
Call IV 25d21.0%18.9%23.5%23.5%18.9%
Put IV 25d23.5%21.1%26.3%25.4%21.1%
Bid-Ask Spread %64.5832.6884.9479.4857.21
Gamma HHI0.250.210.300.300.23
Net GEX2.0M1.1M2.4M1.9M2.3M
Net DEX-53.0M-77.0M-29.6M-50.1M-44.0M
Net VEX-292.4K-338.9K-243.6K-298.6K-328.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.036.550.031.21
Total Volume1,571.192176,7003,234544
Total OI25,828.90521,88930,17223,77930,172

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-06-01$88.77$80.0023.8%6.8%23.0%4.1%24.3%1.9%1.6%1.9M-50.1M-298.6K0.0379.48N/AN/A3,1419312,26811,511
2023-06-02$87.83$80.0023.0%6.6%22.3%2.5%23.1%1.5%1.2%2.4M-49.9M-310.4K0.9037.46N/AN/A3,5223,17813,53611,556
2023-06-05$87.47$75.0025.6%7.1%22.5%7.9%23.1%3.5%3.6%2.1M-43.7M-259.3K0.8951.78N/AN/A22820312,0109,906
2023-06-06$89.53$75.0023.8%6.7%22.7%4.3%24.3%3.4%3.3%2.2M-52.6M-250.7K1.3351.44N/AN/A18424412,1019,788
2023-06-07$90.43$75.0023.8%6.7%22.7%4.3%23.1%3.4%3.7%2.1M-56.8M-250.0K0.4356.80N/AN/A1526512,1679,972
2023-06-08$92.29$75.0022.7%6.9%23.3%2.0%23.1%5.6%3.8%1.9M-64.7M-243.6K0.4656.96N/AN/A75234512,23110,010
2023-06-09$93.19$75.0018.0%6.5%22.7%0.0%23.1%2.7%3.9%1.9M-69.9M-245.4K0.3132.68N/AN/A1,56248812,51610,050
2023-06-12$93.72$75.0022.7%6.5%22.7%9.3%23.4%2.5%3.5%2.3M-75.0M-269.0K0.4077.37N/AN/A1,35154613,53210,742
2023-06-13$94.50$80.0026.4%6.3%22.7%16.5%25.3%1.8%4.3%2.2M-77.0M-280.1K6.5578.94N/AN/A4232,76914,01011,081
2023-06-14$93.22$85.0021.6%6.2%22.1%7.2%21.7%1.8%4.4%1.8M-69.6M-294.6K0.1980.45N/AN/A87516814,16113,577
2023-06-15$93.50$85.0020.8%6.0%22.0%5.5%20.8%1.3%3.7%1.6M-69.4M-289.8K0.3059.99N/AN/A92727514,03913,674
2023-06-16$93.22$85.0018.9%5.4%22.2%1.8%19.3%1.8%2.1%1.7M-69.8M-285.8K0.3546.22N/AN/A84629614,30413,859
2023-06-20$92.23$85.0021.6%6.2%23.0%7.2%21.1%2.8%4.3%1.6M-46.4M-298.1K0.2862.50N/AN/A69919713,02811,123
2023-06-21$90.28$85.0021.5%6.2%24.5%6.9%21.6%2.6%2.3%1.4M-36.8M-294.2K0.7178.95N/AN/A48434513,44411,288
2023-06-22$89.03$85.0020.7%5.9%25.3%5.3%21.8%3.2%3.6%1.1M-29.6M-299.7K0.3850.63N/AN/A3,0211,16213,66211,351
2023-06-23$90.47$85.0020.8%6.0%25.3%5.6%21.0%2.4%3.8%1.9M-40.8M-330.7K0.5480.26N/AN/A1,09658815,92012,233
2023-06-26$90.48$85.0021.2%6.1%25.2%6.4%21.4%1.4%4.5%2.1M-41.2M-338.9K0.4680.31N/AN/A22110116,65712,679
2023-06-27$90.89$85.0020.9%6.0%25.1%5.8%20.5%3.4%3.7%2.3M-45.4M-328.1K0.5873.63N/AN/A47227516,75212,745
2023-06-28$90.45$85.0020.4%5.8%25.3%4.7%20.3%2.3%3.8%2.0M-39.8M-329.6K3.6684.94N/AN/A6724516,33913,029
2023-06-29$90.75$85.0020.0%5.7%25.3%3.9%19.8%2.0%3.6%2.1M-40.0M-314.1K2.6778.15N/AN/A23061516,29013,094
2023-06-30$91.19$85.0019.3%5.5%18.7%2.5%19.3%2.2%3.7%2.3M-44.0M-328.7K1.2157.21N/AN/A24629816,43913,733