CEG Options History — December 2023

In December 2023, CEG traded between $110.72 and $120.35. ATM implied volatility averaged 26.4%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 5.8% (HV 20d: 32.2%). Max pain ranged from $105.00 to $115.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2023-12-15: Highest Volume — 2,303 contracts
  • 2023-12-13: Largest IV drop — 21.9% change
  • 2023-12-12: Highest IV Rank — 48.5%
  • 2023-12-21: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$116.55$110.72$120.35$119.98$116.50
Max Pain$110.00$105.00$115.00$115.00$110.00
ATM IV26.4%23.2%32.2%23.2%25.1%
Expected Move7.4%6.7%7.7%6.7%7.2%
HV 20d32.2%28.6%36.4%36.1%31.5%
HV 60d32.8%31.4%34.1%31.4%31.7%
IV Rank28.9%18.3%48.5%18.3%24.6%
IV Percentile43.3%23.4%64.7%23.4%38.1%
Term Structure3.9%0.9%5.2%0.9%5.2%
VWIV25.7%22.8%27.5%23.2%24.5%
Skew 25d2.5%1.5%3.7%2.4%2.4%
Skew 10d3.7%-1.8%6.7%-1.8%3.6%
Call IV 25d24.8%22.5%25.9%22.5%24.0%
Put IV 25d27.3%24.9%29.3%24.9%26.4%
Bid-Ask Spread %77.7147.5090.1190.1184.56
Gamma HHI0.350.260.500.270.33
Net GEX448.4K-2.5M2.6M-223.8K1.9M
Net DEX-42.2M-77.4M4.0M-66.4M-35.9M
Net VEX-287.8K-310.5K-268.7K-295.0K-273.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.044.230.530.81
Total Volume837.91072,303178615
Total OI25,662.8520,24032,71027,71920,599

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-12-01$119.98$115.0023.2%6.7%36.1%18.3%23.2%2.4%0.9%-223.8K-66.4M-295.0K0.5390.11N/AN/A1166212,76314,956
2023-12-04$118.56$105.0024.9%7.0%36.4%24.0%25.6%3.7%3.3%-609.4K-56.6M-286.0K0.0877.84N/AN/A6635112,75314,994
2023-12-05$118.34$110.0025.5%6.9%28.6%25.9%25.7%2.9%3.8%-712.4K-55.4M-281.8K3.3876.75N/AN/A13746313,12715,118
2023-12-06$112.78$110.0027.0%7.6%30.0%31.0%26.6%3.7%3.1%-1.3M-12.9M-275.0K4.2372.77N/AN/A2541,07413,12415,347
2023-12-07$110.72$110.0027.5%7.7%30.2%32.8%27.5%3.5%3.3%-1.1M4.0M-268.7K1.4178.83N/AN/A34548713,14115,727
2023-12-08$111.12$110.0026.4%7.4%30.3%28.9%25.1%3.0%3.5%-948.2K2.4M-268.7K0.2763.35N/AN/A49813313,54716,081
2023-12-11$115.97$110.0029.0%7.5%34.4%37.7%25.7%2.0%3.3%-1.7M-41.3M-277.1K0.0947.50N/AN/A1,62914113,92816,081
2023-12-12$114.31$110.0032.2%7.2%34.6%48.5%25.5%2.1%4.4%-1.5M-29.2M-284.7K0.2378.03N/AN/A1,59637214,98616,118
2023-12-13$116.62$110.0025.2%7.2%32.1%24.8%24.5%2.2%4.5%-1.3M-57.9M-294.0K0.1781.27N/AN/A3806615,81916,263
2023-12-14$115.61$110.0025.8%7.4%29.8%26.8%26.3%2.3%4.0%-2.5M-47.0M-290.3K0.2382.48N/AN/A1,04923815,95216,311
2023-12-15$118.12$110.0026.3%7.5%31.0%28.7%26.3%1.7%3.7%1.6M-77.4M-293.9K0.2381.90N/AN/A1,86843516,23816,472
2023-12-18$119.28$110.0026.4%7.6%31.3%28.8%26.7%1.5%3.3%2.5M-57.8M-310.5K0.5077.28N/AN/A26413111,9378,500
2023-12-19$120.35$110.0026.2%7.5%31.3%28.2%26.0%1.8%4.0%2.6M-63.2M-308.3K0.1979.83N/AN/A2624912,0178,549
2023-12-20$117.31$110.0026.5%7.6%32.5%29.1%25.5%2.6%4.6%2.3M-45.9M-304.6K0.2181.64N/AN/A1,18225312,0528,578
2023-12-21$118.12$110.0026.9%7.7%32.5%30.7%27.4%3.2%3.5%2.0M-46.7M-301.8K0.3381.00N/AN/A2187111,5318,709
2023-12-22$115.59$110.0026.1%7.5%33.1%27.8%26.3%2.2%4.5%1.7M-33.7M-289.8K0.8779.05N/AN/A26222911,5848,748
2023-12-26$117.57$110.0026.0%7.4%33.8%27.5%26.1%2.1%4.2%2.0M-43.2M-285.7K0.0480.19N/AN/A9103911,5888,874
2023-12-27$117.09$110.0026.1%7.5%33.8%27.8%26.0%1.5%5.1%2.0M-40.6M-285.2K0.3479.29N/AN/A802711,6588,897
2023-12-28$117.10$110.0025.8%7.4%31.7%27.0%22.8%2.6%5.0%2.1M-39.9M-280.6K0.6380.45N/AN/A674211,6818,909
2023-12-29$116.50$110.0025.1%7.2%31.5%24.6%24.5%2.4%5.2%1.9M-35.9M-273.6K0.8184.56N/AN/A33927611,6828,917