CEG Options History — September 2023

In September 2023, CEG traded between $106.49 and $112.87. ATM implied volatility averaged 22.9%, placing in the 12.8% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 0.2% (HV 20d: 22.6%). Max pain ranged from $95.00 to $110.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.16.

Notable Days

  • 2023-09-15: Highest Volume — 2,571 contracts
  • 2023-09-05: Largest IV spike — 20.9% change
  • 2023-09-26: Highest IV Rank — 21.7%
  • 2023-09-26: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$109.55$106.49$112.87$107.24$109.35
Max Pain$107.00$95.00$110.00$95.00$110.00
ATM IV22.9%17.8%26.4%17.8%24.1%
Expected Move6.6%5.1%7.6%5.1%6.9%
HV 20d22.6%18.0%29.5%18.2%28.9%
HV 60d22.1%21.1%24.6%21.4%24.3%
IV Rank12.8%0.0%21.7%0.0%16.1%
IV Percentile17.0%0.0%34.1%0.0%26.6%
Term Structure2.7%1.9%3.9%3.5%3.9%
VWIV23.0%18.1%27.1%18.1%24.2%
Skew 25d1.5%-0.7%3.8%-0.7%1.3%
Skew 10d2.2%-1.2%4.6%0.3%2.1%
Call IV 25d22.3%18.9%25.9%18.9%23.9%
Put IV 25d23.8%18.2%27.4%18.2%25.3%
Bid-Ask Spread %76.3437.4283.9083.4680.84
Gamma HHI0.310.210.780.290.22
Net GEX2.7M858.2K12.5M3.0M871.6K
Net DEX-79.0M-126.6M-43.4M-90.8M-49.0M
Net VEX-318.4K-358.2K-275.8K-304.5K-349.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.160.225.202.940.95
Total Volume700.951882,571698360
Total OI28,277.623,03533,34630,48726,780

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$107.24$95.0017.8%5.1%18.2%0.0%18.1%-0.7%3.5%3.0M-90.8M-304.5K2.9483.46N/AN/A17752114,90415,583
2023-09-05$106.63$105.0021.5%6.4%18.4%9.4%21.4%3.8%2.7%2.7M-85.8M-302.8K0.4281.63N/AN/A1797514,99315,901
2023-09-06$106.49$105.0021.3%6.4%18.0%8.9%22.2%3.6%2.6%2.7M-85.1M-298.1K0.6579.44N/AN/A1147415,01115,898
2023-09-07$108.72$105.0022.6%6.4%19.3%12.2%22.5%0.6%2.1%3.0M-98.9M-297.2K0.2275.47N/AN/A1,15925515,04415,935
2023-09-08$108.73$105.0020.6%6.5%19.3%7.1%23.0%1.3%1.9%3.3M-100.1M-300.0K0.8274.45N/AN/A1058615,62816,047
2023-09-11$110.31$105.0023.0%6.5%19.7%13.2%22.4%1.6%2.3%3.6M-110.9M-286.1K0.8475.08N/AN/A28824215,68516,081
2023-09-12$108.44$105.0024.6%6.1%20.7%17.3%21.8%1.6%2.6%3.4M-98.7M-292.4K0.2274.59N/AN/A61113715,82316,247
2023-09-13$109.16$105.0022.2%6.4%20.4%11.1%22.6%1.2%1.9%3.8M-104.6M-296.5K0.6677.28N/AN/A16410815,96316,311
2023-09-14$112.36$105.0021.7%6.2%22.3%9.8%22.2%1.6%3.0%2.2M-126.6M-275.8K0.5877.91N/AN/A72942316,08016,406
2023-09-15$110.08$105.0022.4%6.4%23.7%11.6%22.2%1.1%3.0%12.5M-111.4M-298.6K1.0677.69N/AN/A1,2471,32416,66716,679
2023-09-18$110.73$110.0022.5%6.4%23.7%11.8%22.4%1.2%2.2%1.9M-62.2M-324.7K5.2077.63N/AN/A2011,04611,99111,044
2023-09-19$110.75$110.0022.6%6.5%23.4%12.2%23.8%2.0%2.7%1.7M-60.2M-346.7K1.7776.73N/AN/A15026612,43112,208
2023-09-20$110.25$110.0022.3%6.4%23.5%11.3%21.8%1.3%2.7%1.7M-58.4M-330.2K0.4382.38N/AN/A1416012,17511,690
2023-09-21$110.05$110.0023.4%6.7%22.4%14.3%23.2%1.4%2.8%1.5M-56.7M-338.3K0.3768.08N/AN/A2127912,23811,729
2023-09-22$110.29$110.0023.4%6.7%21.9%14.1%23.2%1.4%3.1%1.6M-58.5M-334.7K0.5681.59N/AN/A1609012,28311,707
2023-09-25$112.87$110.0024.1%6.9%22.6%15.9%25.1%1.0%2.8%1.9M-70.9M-330.0K2.0737.42N/AN/A42086912,33411,747
2023-09-26$108.22$110.0026.4%7.6%27.7%21.7%27.1%1.5%2.1%858.2K-43.4M-358.2K1.8481.54N/AN/A42277812,53112,540
2023-09-27$110.98$110.0025.6%7.3%28.9%19.8%25.6%0.8%2.7%1.2M-58.8M-352.0K0.9683.90N/AN/A21020112,69113,798
2023-09-28$109.43$110.0025.2%7.2%29.5%18.8%25.2%1.7%2.4%882.4K-50.1M-351.8K0.6079.67N/AN/A21012612,79213,957
2023-09-29$109.35$110.0024.1%6.9%28.9%16.1%24.2%1.3%3.9%871.6K-49.0M-349.6K0.9580.84N/AN/A18517512,81913,961