CEG Options History — October 2023

In October 2023, CEG traded between $104.62 and $117.05. ATM implied volatility averaged 32.7%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 1.5% (HV 20d: 31.2%). Max pain ranged from $105.00 to $110.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.99.

Notable Days

  • 2023-10-02: Highest Volume — 3,450 contracts
  • 2023-10-11: Largest IV spike — 11.9% change
  • 2023-10-27: Highest IV Rank — 48.9%
  • 2023-10-27: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$112.09$104.62$117.05$104.78$112.67
Max Pain$105.68$105.00$110.00$110.00$110.00
ATM IV32.7%27.8%37.1%30.9%36.6%
Expected Move9.5%8.8%10.6%8.9%10.5%
HV 20d31.2%26.6%34.1%31.0%26.7%
HV 60d26.5%25.6%27.9%26.0%25.6%
IV Rank37.8%25.3%48.9%33.3%47.7%
IV Percentile59.2%38.5%83.3%45.6%81.0%
Term Structure-1.7%-4.9%2.4%2.4%-4.9%
VWIV33.2%30.6%37.8%31.7%37.1%
Skew 25d5.2%3.0%8.7%3.0%5.0%
Skew 10d10.0%5.4%18.1%18.1%9.8%
Call IV 25d31.2%28.2%36.1%28.2%36.1%
Put IV 25d36.4%31.2%41.5%31.2%41.2%
Bid-Ask Spread %68.7052.0084.4981.0970.95
Gamma HHI0.200.170.260.200.18
Net GEX1.2M-315.8K2.4M-206.9K1.2M
Net DEX-61.2M-96.2M-18.7M-19.4M-60.1M
Net VEX-324.8K-380.1K-285.8K-365.9K-294.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.142.352.350.50
Total Volume825.0913153,4503,450425
Total OI27,827.77325,08229,87826,95826,334

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-10-02$104.78$110.0030.9%8.9%31.0%33.3%31.7%3.0%2.4%-206.9K-19.4M-365.9K2.3581.09N/AN/A1,0292,42112,90114,057
2023-10-03$104.62$110.0032.1%9.2%31.0%36.4%33.6%5.5%0.9%-315.8K-18.7M-380.1K1.6084.49N/AN/A56089613,14814,667
2023-10-04$106.25$105.0030.8%8.8%31.5%33.1%31.4%4.8%2.1%79.7K-30.2M-372.8K1.9181.49N/AN/A31860813,48314,738
2023-10-05$107.86$105.0028.5%9.0%31.1%27.1%31.8%5.0%-0.4%357.0K-38.9M-372.9K0.1467.86N/AN/A77411213,51415,158
2023-10-06$110.36$105.0028.9%9.1%32.2%28.1%31.9%4.9%-0.7%788.6K-54.0M-357.9K2.0263.34N/AN/A6561,32213,17215,192
2023-10-09$111.03$105.0029.8%9.4%31.8%30.3%31.3%4.8%-1.1%1.1M-59.5M-344.7K1.1666.05N/AN/A17219913,26515,296
2023-10-10$113.13$105.0027.8%8.9%31.8%25.3%32.1%4.8%-1.2%1.5M-69.5M-337.5K0.8163.54N/AN/A36429413,26215,381
2023-10-11$115.08$105.0031.1%8.9%32.2%33.7%30.8%4.0%-0.7%2.2M-84.6M-316.9K0.6766.81N/AN/A48732613,39215,369
2023-10-12$115.48$105.0030.7%8.8%30.7%32.6%30.6%4.3%-1.0%2.2M-85.2M-316.7K0.2666.64N/AN/A70718513,40915,555
2023-10-13$113.13$105.0031.8%9.1%30.7%35.5%32.4%5.4%-0.9%1.6M-69.9M-326.6K0.9167.65N/AN/A61756413,34815,641
2023-10-16$116.83$105.0031.6%9.1%32.5%35.1%31.6%5.0%-2.3%2.3M-93.4M-300.9K1.5668.57N/AN/A22835513,52715,887
2023-10-17$117.05$105.0031.6%9.1%32.5%35.0%31.0%4.5%-1.7%2.4M-96.2M-285.8K1.4065.84N/AN/A16222613,58516,028
2023-10-18$116.06$105.0033.4%9.6%32.7%39.6%33.0%4.9%-2.1%2.2M-88.4M-300.8K0.8870.57N/AN/A31327513,64616,082
2023-10-19$114.14$105.0033.7%9.7%33.4%40.3%34.2%4.9%-2.3%1.9M-74.2M-310.9K1.3464.32N/AN/A20627713,63316,136
2023-10-20$112.11$105.0036.3%10.4%34.1%46.8%33.8%5.7%-3.0%839.7K-60.6M-316.0K0.3468.97N/AN/A39813413,65516,223
2023-10-23$112.27$105.0036.6%10.5%33.1%47.6%36.7%5.1%-3.6%896.9K-55.4M-310.3K0.7866.73N/AN/A17713811,61013,472
2023-10-24$114.75$105.0033.0%9.5%30.0%38.4%32.0%8.7%-2.7%1.2M-67.2M-295.4K0.7270.27N/AN/A27119411,63813,518
2023-10-25$112.07$105.0035.3%10.1%30.2%44.3%33.5%5.8%-2.8%969.2K-54.2M-312.4K0.8864.55N/AN/A26623311,81913,673
2023-10-26$112.58$105.0035.2%10.1%29.7%44.2%36.0%5.7%-3.2%984.0K-57.8M-309.0K1.0152.00N/AN/A18718911,90913,793
2023-10-27$110.63$105.0037.1%10.6%30.5%48.9%35.9%6.6%-3.4%775.6K-47.0M-316.5K0.2668.24N/AN/A38910211,99913,891
2023-10-30$113.01$105.0036.5%10.5%26.6%47.4%37.8%6.2%-4.4%1.2M-61.2M-301.7K0.3871.46N/AN/A28611012,25513,950
2023-10-31$112.67$110.0036.6%10.5%26.7%47.7%37.1%5.0%-4.9%1.2M-60.1M-294.9K0.5070.95N/AN/A28314212,32714,007