CEG Options History — July 2023

In July 2023, CEG traded between $90.70 and $97.61. ATM implied volatility averaged 25.1%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 7.2% (HV 20d: 17.8%). Max pain ranged from $85.00 to $85.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.53.

Notable Days

  • 2023-07-05: Highest Volume — 3,812 contracts
  • 2023-07-20: Largest IV spike — 16.7% change
  • 2023-07-20: Highest IV Rank — 22.9%
  • 2023-07-20: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.94$90.70$97.61$91.60$96.43
Max Pain$85.00$85.00$85.00$85.00$85.00
ATM IV25.1%21.0%29.7%21.0%28.5%
Expected Move7.4%6.0%8.5%6.0%8.2%
HV 20d17.8%16.0%18.8%18.2%18.5%
HV 60d19.9%19.4%20.4%19.4%20.3%
IV Rank13.9%5.9%22.9%5.9%20.7%
IV Percentile14.2%3.6%23.4%3.6%23.4%
Term Structure-1.7%-3.5%2.6%2.6%-2.9%
VWIV25.6%19.4%29.3%21.2%28.1%
Skew 25d2.6%0.2%4.3%2.1%0.2%
Skew 10d5.8%-3.2%13.3%4.1%6.5%
Call IV 25d24.7%18.8%29.3%19.9%28.1%
Put IV 25d27.3%20.2%30.6%22.0%28.3%
Bid-Ask Spread %77.2058.3494.9490.6683.09
Gamma HHI0.270.210.320.230.32
Net GEX3.3M2.1M4.5M2.5M3.0M
Net DEX-68.6M-95.8M-38.0M-46.6M-61.8M
Net VEX-326.4K-353.9K-304.1K-332.9K-305.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.091.290.190.55
Total Volume752.11143,812244233
Total OI32,566.327,63136,16230,62828,353

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-07-03$91.60$85.0021.0%6.0%18.2%5.9%21.2%2.1%2.6%2.5M-46.6M-332.9K0.1990.66N/AN/A2053916,64613,982
2023-07-05$92.12$85.0023.3%6.7%18.1%10.4%19.4%1.4%-0.5%2.7M-52.1M-329.7K1.2994.94N/AN/A1,6672,14516,74014,002
2023-07-06$90.70$85.0021.6%7.4%17.5%7.1%25.2%4.3%-1.3%2.1M-38.0M-353.9K1.0878.15N/AN/A43346617,59115,833
2023-07-07$91.32$85.0021.4%7.3%17.3%6.7%25.2%4.0%-1.3%2.6M-43.4M-350.2K0.8983.84N/AN/A11210017,90816,222
2023-07-10$93.47$85.0021.8%7.0%17.7%7.5%27.6%2.9%-1.2%3.7M-61.1M-342.1K0.3868.72N/AN/A75429017,95616,313
2023-07-11$94.30$85.0021.2%7.0%17.7%6.3%24.4%3.4%-0.9%4.1M-71.0M-342.0K0.6970.16N/AN/A27018618,51316,542
2023-07-12$96.10$85.0023.8%6.8%18.8%11.4%23.8%3.0%-0.9%4.5M-85.2M-332.7K0.1370.53N/AN/A1,15214518,43116,643
2023-07-13$95.56$85.0024.0%6.9%18.7%11.9%23.3%3.2%-1.1%4.0M-79.4M-330.2K0.4468.05N/AN/A43919218,20416,656
2023-07-14$94.91$85.0023.9%6.9%18.2%11.7%24.4%2.6%-0.9%3.9M-73.7M-332.9K0.6377.93N/AN/A704418,44316,812
2023-07-17$96.16$85.0025.1%7.2%18.7%14.0%25.1%4.0%-1.1%4.1M-84.7M-327.7K0.5882.08N/AN/A43625518,64216,849
2023-07-18$95.67$85.0025.0%7.2%18.8%13.8%24.6%3.1%-1.2%4.3M-83.4M-317.0K0.0983.68N/AN/A7726918,78016,903
2023-07-19$94.79$85.0025.4%7.3%18.7%14.6%26.2%3.2%-1.3%4.3M-73.5M-326.6K0.4072.47N/AN/A33213218,98616,948
2023-07-20$96.66$85.0029.7%8.5%17.7%22.9%29.3%1.3%-3.3%4.0M-93.7M-321.0K0.3482.79N/AN/A97133319,18316,951
2023-07-21$96.78$85.0027.6%7.9%16.5%18.8%27.2%1.6%-2.5%2.6M-95.8M-318.4K0.5180.67N/AN/A66633919,40216,760
2023-07-24$96.50$85.0028.0%8.0%16.0%19.7%27.9%2.2%-3.5%2.7M-66.6M-304.1K0.4280.88N/AN/A35515015,62112,010
2023-07-25$97.61$85.0026.8%7.7%16.3%17.4%27.9%1.7%-2.8%2.9M-73.6M-314.6K0.3758.34N/AN/A46817115,76012,095
2023-07-26$97.28$85.0028.1%8.0%16.4%19.8%27.7%2.8%-3.1%2.9M-70.4M-317.0K0.3277.34N/AN/A1825815,91112,172
2023-07-27$95.27$85.0027.6%7.9%18.4%18.9%27.5%1.8%-3.2%2.5M-57.9M-316.5K0.7077.72N/AN/A14710316,05712,176
2023-07-28$95.63$85.0027.0%7.7%18.4%17.7%26.6%2.8%-2.6%2.7M-59.6M-313.0K0.5361.96N/AN/A1055616,11712,213
2023-07-31$96.43$85.0028.5%8.2%18.5%20.7%28.1%0.2%-2.9%3.0M-61.8M-305.9K0.5583.09N/AN/A1508316,11312,240