CEG Options History — January 2024

In January 2024, CEG traded between $111.42 and $121.97. ATM implied volatility averaged 28.4%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 4.8% (HV 20d: 23.6%). Max pain ranged from $110.00 to $115.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2024-01-23: Highest Volume — 1,405 contracts
  • 2024-01-10: Largest IV spike — 30.0% change
  • 2024-01-31: Highest IV Rank — 48.9%
  • 2024-01-31: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$116.40$111.42$121.97$115.09$121.97
Max Pain$114.76$110.00$115.00$110.00$115.00
ATM IV28.4%23.5%32.3%25.7%32.3%
Expected Move8.5%7.3%9.3%7.4%9.3%
HV 20d23.6%18.1%31.6%31.6%23.8%
HV 60d30.8%30.1%31.7%31.7%30.6%
IV Rank35.7%19.1%48.9%26.7%48.9%
IV Percentile54.6%25.4%75.0%42.5%75.0%
Term Structure-0.8%-3.6%5.4%5.0%-3.2%
VWIV29.4%25.4%32.3%26.1%32.3%
Skew 25d2.7%0.9%4.2%2.4%2.1%
Skew 10d4.6%0.4%8.4%2.0%3.8%
Call IV 25d28.4%24.8%31.5%24.8%31.5%
Put IV 25d31.1%26.9%33.6%27.2%33.6%
Bid-Ask Spread %77.8555.6387.3887.3887.13
Gamma HHI0.280.170.370.320.24
Net GEX932.6K-1.1M2.1M1.5M1.2M
Net DEX-21.0M-34.7M-4.6M-27.2M-25.5M
Net VEX-218.7K-259.2K-191.6K-257.2K-213.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.082.650.140.47
Total Volume355.0481511,405262192
Total OI16,934.47610,31720,96320,63211,427

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-01-02$115.09$110.0025.7%7.4%31.6%26.7%26.1%2.4%5.0%1.5M-27.2M-257.2K0.1487.38N/AN/A2303211,6578,975
2024-01-03$116.03$115.0025.6%7.3%31.6%26.3%25.4%1.8%5.4%1.8M-31.3M-259.2K0.2986.69N/AN/A1253611,6528,999
2024-01-04$115.61$115.0024.5%8.8%31.6%22.4%31.3%2.5%-0.6%1.6M-29.1M-254.0K2.4974.23N/AN/A5714211,6429,033
2024-01-05$116.34$115.0023.8%8.8%26.3%20.2%29.8%2.6%-0.9%1.8M-32.0M-251.1K0.3963.39N/AN/A1756911,6509,025
2024-01-08$116.86$115.0024.9%8.9%25.2%23.7%30.1%3.1%-1.1%2.1M-34.7M-245.5K0.1477.31N/AN/A1832611,7649,039
2024-01-09$116.36$115.0023.5%8.8%25.4%19.1%30.0%2.6%-1.1%1.8M-30.9M-239.0K0.1876.52N/AN/A1392511,7659,021
2024-01-10$115.80$115.0030.5%8.7%20.4%42.7%31.2%2.8%-1.0%1.5M-27.2M-231.8K1.2655.63N/AN/A9311711,7699,025
2024-01-11$112.81$115.0029.8%8.6%21.9%40.5%30.7%3.1%-0.8%214.2K-11.5M-214.8K0.7076.80N/AN/A24317111,7399,098
2024-01-12$112.83$115.0027.7%7.9%20.5%33.4%27.1%3.1%0.8%80.3K-10.1M-211.0K0.0859.64N/AN/A4954011,7669,197
2024-01-16$111.79$115.0030.1%8.6%20.5%41.4%28.3%3.7%-0.4%-288.8K-4.8M-196.8K0.2572.19N/AN/A2355911,4139,187
2024-01-17$111.42$115.0030.3%8.7%18.6%42.1%29.6%4.2%-0.4%-280.6K-4.6M-193.4K0.6364.47N/AN/A24915811,3979,086
2024-01-18$111.59$115.0030.2%8.6%18.1%41.6%27.7%4.1%-1.4%102.8K-10.5M-191.6K0.3882.14N/AN/A33212611,4468,638
2024-01-19$114.08$115.0028.3%8.1%19.8%35.3%28.7%3.7%-1.3%-1.1M-17.8M-195.5K0.8782.33N/AN/A17415111,4838,642
2024-01-22$117.25$115.0030.0%8.6%20.6%41.0%29.9%3.4%-1.6%938.5K-16.3M-197.6K0.8083.19N/AN/A2171745,6014,716
2024-01-23$118.53$115.0028.4%8.2%20.8%35.8%28.7%0.9%-1.9%1.1M-19.9M-199.5K0.1982.96N/AN/A1,1832225,6724,765
2024-01-24$115.77$115.0028.9%8.3%21.1%37.4%28.4%2.1%-1.5%816.1K-12.5M-196.2K0.5383.61N/AN/A163865,7734,816
2024-01-25$120.06$115.0029.2%8.4%24.1%38.4%29.9%1.8%-1.9%1.2M-23.4M-202.0K2.6585.84N/AN/A1975225,8654,864
2024-01-26$121.64$115.0029.3%8.4%24.4%38.6%29.1%2.1%-1.6%1.2M-24.6M-216.0K0.5684.43N/AN/A175985,9165,334
2024-01-29$120.91$115.0031.8%9.1%24.5%47.0%31.6%2.2%-3.3%1.1M-22.9M-214.1K0.4784.07N/AN/A103485,9685,394
2024-01-30$121.66$115.0031.7%9.1%24.4%46.8%31.3%1.7%-3.6%1.2M-24.7M-212.4K0.3584.85N/AN/A144505,9975,408
2024-01-31$121.97$115.0032.3%9.3%23.8%48.9%32.3%2.1%-3.2%1.2M-25.5M-213.2K0.4787.13N/AN/A131616,0335,394