CEG Options History — August 2023 In August 2023, CEG traded between $95.54 and $108.50. ATM implied volatility averaged 22.7%, placing in the 10.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded below realized volatility by 1.9% (HV 20d: 24.7%). Max pain ranged from $85.00 to $95.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 1.02.
Notable Days 2023-08-10 : Highest Volume — 9,782 contracts2023-08-03 : Largest IV drop — 14.5% change2023-08-02 : Highest IV Rank — 21.9%2023-08-02 : Largest Expected Move — 8.4%Monthly Statistics Metric Avg Min Max Open Close Price $104.58 $95.54 $108.50 $96.28 $103.99 Max Pain $93.70 $85.00 $95.00 $85.00 $95.00 ATM IV 22.7% 18.1% 29.1% 28.6% 18.1% Expected Move 6.5% 5.2% 8.4% 8.2% 5.2% HV 20d 24.7% 17.2% 27.1% 18.5% 17.2% HV 60d 22.0% 19.6% 22.9% 19.6% 20.6% IV Rank 10.9% 0.4% 21.9% 20.8% 0.4% IV Percentile 9.2% 0.4% 24.2% 23.8% 0.4% Term Structure 1.7% -3.9% 3.7% -3.4% 3.1% VWIV 22.9% 18.4% 31.5% 29.4% 19.6% Skew 25d 1.9% 0.3% 5.4% 5.4% 0.6% Skew 10d 3.1% -2.2% 8.4% 8.0% -2.2% Call IV 25d 22.2% 18.9% 28.7% 28.1% 19.3% Put IV 25d 24.1% 19.7% 33.5% 33.5% 19.9% Bid-Ask Spread % 71.76 38.91 92.64 81.44 74.89 Gamma HHI 0.25 0.21 0.38 0.29 0.21 Net GEX 2.6M 1.6M 4.4M 2.9M 2.2M Net DEX -89.3M -126.3M -57.0M -63.2M -69.1M Net VEX -311.5K -355.6K -266.4K -306.2K -321.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.02 0.07 2.81 0.98 1.81 Total Volume 1,366.217 103 9,782 103 284 Total OI 31,579.87 28,364 36,068 28,364 30,472
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2023-08-01 $96.28 $85.00 28.6% 8.2% 18.5% 20.8% 29.4% 5.4% -3.4% 2.9M -63.2M -306.2K 0.98 81.44 N/A N/A 52 51 16,101 12,263 2023-08-02 $95.54 $85.00 29.1% 8.4% 18.8% 21.9% 31.5% 3.5% -3.9% 2.6M -57.0M -304.6K 0.31 76.78 N/A N/A 321 101 16,097 12,308 2023-08-03 $101.13 $90.00 24.9% 6.9% 26.1% 13.6% 24.9% 3.5% 0.5% 4.0M -100.0M -275.8K 2.81 83.63 N/A N/A 1,246 3,504 16,318 12,459 2023-08-04 $103.79 $90.00 22.9% 6.4% 27.1% 9.7% 23.0% 2.3% 2.1% 3.2M -115.3M -287.0K 2.36 56.17 N/A N/A 559 1,320 16,725 15,484 2023-08-07 $103.59 $95.00 23.9% 6.5% 26.5% 11.7% 23.1% 1.4% 1.4% 2.9M -114.1M -277.3K 0.94 48.93 N/A N/A 680 638 16,732 16,665 2023-08-08 $104.83 $95.00 23.5% 6.7% 26.6% 11.0% 22.8% 1.5% 1.4% 2.9M -124.3M -266.4K 1.39 47.43 N/A N/A 462 644 16,887 17,014 2023-08-09 $105.11 $95.00 23.6% 6.8% 26.1% 11.9% 23.2% 1.1% 1.7% 2.7M -124.4M -273.1K 2.22 53.98 N/A N/A 677 1,505 16,986 17,493 2023-08-10 $105.58 $95.00 22.3% 6.4% 25.8% 10.0% 22.4% 0.9% 2.4% 2.6M -126.3M -285.7K 0.08 55.88 N/A N/A 9,036 746 17,312 18,756 2023-08-11 $106.31 $95.00 22.6% 6.5% 25.4% 11.8% 21.8% 1.8% 2.8% 1.6M -78.6M -276.8K 0.19 74.32 N/A N/A 1,077 205 12,321 19,379 2023-08-14 $107.15 $95.00 23.1% 6.6% 25.3% 13.0% 23.5% 1.0% 2.7% 1.9M -86.8M -285.6K 0.37 78.70 N/A N/A 1,203 446 13,001 19,534 2023-08-15 $106.06 $95.00 23.8% 6.8% 25.7% 14.8% 23.4% 1.8% 2.8% 2.1M -81.7M -326.9K 0.07 77.16 N/A N/A 1,352 95 13,940 19,752 2023-08-16 $105.30 $95.00 23.4% 6.7% 25.5% 13.8% 23.1% 2.0% 3.5% 2.3M -79.8M -350.4K 0.35 78.52 N/A N/A 317 110 14,856 19,763 2023-08-17 $104.78 $95.00 23.2% 6.6% 25.2% 13.3% 23.2% 2.3% -0.3% 2.4M -76.0M -351.2K 0.31 82.72 N/A N/A 423 130 14,916 19,788 2023-08-18 $105.00 $95.00 23.2% 6.7% 25.2% 13.3% 22.9% 2.4% 1.6% 4.4M -78.6M -355.6K 0.79 84.60 N/A N/A 319 252 15,179 19,870 2023-08-21 $106.44 $95.00 22.4% 6.4% 25.2% 11.3% 22.6% 2.7% 1.7% 2.2M -84.0M -335.9K 0.65 80.84 N/A N/A 290 189 14,242 14,833 2023-08-22 $106.30 $95.00 22.5% 6.4% 25.2% 11.5% 22.8% 2.5% 1.8% 2.3M -85.3M -334.9K 0.74 78.71 N/A N/A 228 168 14,384 14,939 2023-08-23 $108.50 $95.00 21.9% 6.3% 25.7% 9.9% 22.8% 0.6% 1.3% 2.5M -97.5M -322.0K 0.80 82.59 N/A N/A 393 314 14,482 14,983 2023-08-24 $107.15 $95.00 22.1% 6.3% 24.7% 10.5% 22.3% 0.3% 2.1% 2.4M -89.7M -328.8K 0.40 86.51 N/A N/A 391 156 14,613 15,133 2023-08-25 $105.93 $95.00 20.5% 5.9% 25.4% 6.4% 20.6% 2.1% 2.6% 2.4M -82.1M -337.4K 1.40 87.08 N/A N/A 107 150 14,762 15,205 2023-08-28 $105.44 $95.00 20.3% 5.8% 25.6% 5.9% 20.1% 2.1% 3.1% 2.5M -79.7M -324.0K 0.46 92.64 N/A N/A 274 126 14,778 15,213 2023-08-29 $105.70 $95.00 18.9% 5.4% 25.5% 2.3% 19.1% 1.9% 3.7% 2.7M -82.0M -317.6K 2.33 48.18 N/A N/A 186 434 14,824 15,276 2023-08-30 $105.53 $95.00 18.3% 5.3% 25.2% 0.9% 18.4% 0.9% 3.2% 2.7M -79.5M -319.5K 1.70 38.91 N/A N/A 97 165 14,849 15,450 2023-08-31 $103.99 $95.00 18.1% 5.2% 17.2% 0.4% 19.6% 0.6% 3.1% 2.2M -69.1M -321.2K 1.81 74.89 N/A N/A 101 183 14,905 15,567
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