CEG Options History — November 2023

In November 2023, CEG traded between $115.13 and $126.56. ATM implied volatility averaged 24.8%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 10.4% (HV 20d: 35.2%). Max pain ranged from $90.00 to $115.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.55.

Notable Days

  • 2023-11-15: Highest Volume — 10,657 contracts
  • 2023-11-29: Largest IV spike — 14.0% change
  • 2023-11-01: Highest IV Rank — 47.6%
  • 2023-11-01: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$121.72$115.13$126.56$115.13$121.22
Max Pain$105.24$90.00$115.00$110.00$115.00
ATM IV24.8%19.5%36.6%36.6%24.0%
Expected Move6.9%5.6%10.5%10.5%6.9%
HV 20d35.2%26.8%39.2%27.1%36.6%
HV 60d30.2%25.9%31.9%25.9%31.6%
IV Rank20.4%5.7%47.6%47.6%21.0%
IV Percentile27.2%2.8%80.6%80.6%29.4%
Term Structure0.6%-5.6%2.2%-5.6%1.0%
VWIV24.7%20.6%35.9%35.9%24.0%
Skew 25d2.1%0.5%6.2%6.2%2.1%
Skew 10d4.0%-0.3%17.5%17.5%-0.3%
Call IV 25d23.6%19.1%34.9%34.9%23.0%
Put IV 25d25.6%20.8%41.0%41.0%25.1%
Bid-Ask Spread %58.0723.8692.9575.9492.95
Gamma HHI0.300.170.430.170.25
Net GEX2.1M113.0K3.6M1.4M113.0K
Net DEX-105.7M-159.6M-71.2M-71.2M-74.4M
Net VEX-269.0K-297.5K-228.3K-297.5K-295.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.0312.520.090.70
Total Volume1,828.76212210,6571,528270
Total OI29,417.90524,53734,00826,53227,675

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-11-01$115.13$110.0036.6%10.5%27.1%47.6%35.9%6.2%-5.6%1.4M-71.2M-297.5K0.0975.94N/AN/A1,40412412,47514,057
2023-11-02$117.69$90.0033.6%8.5%27.6%40.0%30.5%2.6%-0.1%2.3M-93.8M-283.6K0.2271.97N/AN/A1,55134413,61814,088
2023-11-03$117.39$95.0032.1%8.1%26.8%36.2%28.3%2.5%-0.7%2.9M-96.8M-297.2K3.8372.33N/AN/A3251,24614,61114,311
2023-11-06$124.76$95.0028.4%7.5%33.8%27.0%27.8%0.5%0.7%2.7M-141.8M-228.3K1.4250.86N/AN/A2,5483,63014,69615,257
2023-11-07$119.83$95.0026.5%7.1%37.1%22.0%25.3%2.6%0.8%3.0M-114.8M-272.0K0.8076.98N/AN/A1,3651,09715,21616,644
2023-11-08$120.91$100.0024.9%7.1%36.8%18.0%25.0%1.5%0.8%3.1M-121.2M-277.0K0.6178.38N/AN/A76647015,76317,052
2023-11-09$120.89$100.0025.1%7.2%36.8%23.3%25.1%2.4%0.8%2.8M-120.1M-275.1K0.5248.57N/AN/A73738615,52117,352
2023-11-10$121.81$100.0024.8%7.1%35.9%23.4%25.5%2.1%0.7%2.8M-125.9M-276.1K0.8678.33N/AN/A31026715,73717,441
2023-11-13$121.70$100.0025.2%7.2%34.3%24.9%25.0%2.0%0.8%3.0M-127.9M-264.7K0.4079.13N/AN/A43017015,88317,608
2023-11-14$126.56$100.0023.0%6.6%36.7%17.4%23.4%1.7%0.6%2.6M-159.6M-234.2K0.2579.32N/AN/A66716916,17817,694
2023-11-15$122.00$100.0023.8%6.8%39.2%20.2%23.5%1.7%0.4%3.6M-135.1M-252.7K0.0331.59N/AN/A10,35530216,25517,753
2023-11-16$122.00$105.0022.7%6.5%38.6%16.5%23.4%1.5%1.5%3.2M-100.4M-251.9K2.9333.78N/AN/A6781,98913,34717,856
2023-11-17$121.71$110.0022.7%6.5%37.9%16.5%22.4%1.1%1.1%1.5M-96.6M-275.5K2.5130.59N/AN/A33684413,60719,626
2023-11-20$122.55$110.0020.4%5.9%37.9%8.9%21.4%1.8%1.6%1.5M-87.8M-274.3K1.6132.37N/AN/A33754412,09512,442
2023-11-21$122.75$110.0020.1%5.8%37.3%7.7%23.2%1.9%1.8%1.5M-90.0M-268.2K12.5285.43N/AN/A891,11412,19512,770
2023-11-22$123.73$115.0019.5%5.6%35.9%5.9%20.8%1.9%2.0%1.4M-92.9M-272.7K0.5123.86N/AN/A1738812,23713,745
2023-11-24$124.22$115.0019.5%5.6%35.9%5.7%20.6%1.7%2.2%1.6M-97.6M-260.6K0.4227.67N/AN/A863612,32313,795
2023-11-27$124.83$115.0021.1%6.0%34.9%11.1%21.4%1.7%1.3%1.7M-101.3M-252.6K0.8527.64N/AN/A16514112,39513,816
2023-11-28$124.31$115.0021.6%6.2%34.6%12.8%21.6%1.8%1.0%1.6M-98.6M-258.5K0.1334.84N/AN/A3865212,45613,896
2023-11-29$120.16$115.0024.6%7.1%37.2%23.0%23.8%2.0%0.1%390.4K-73.0M-280.4K1.3386.85N/AN/A1,0341,37912,37713,913
2023-11-30$121.22$115.0024.0%6.9%36.6%21.0%24.0%2.1%1.0%113.0K-74.4M-295.6K0.7092.95N/AN/A15911112,67515,000