CEG Options History — February 2024

In February 2024, CEG traded between $127.10 and $169.84. ATM implied volatility averaged 33.4%, placing in the 52.7% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 2.0% (HV 20d: 35.4%). Max pain ranged from $120.00 to $145.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.64.

Notable Days

  • 2024-02-27: Highest Volume — 7,785 contracts
  • 2024-02-07: Largest IV drop — 18.3% change
  • 2024-02-26: Highest IV Rank — 76.3%
  • 2024-02-26: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$135.84$127.10$169.84$127.10$167.94
Max Pain$129.00$120.00$145.00$120.00$145.00
ATM IV33.4%28.6%40.2%32.4%28.6%
Expected Move9.3%8.2%11.5%8.4%8.2%
HV 20d35.4%27.4%64.2%27.4%64.2%
HV 60d31.3%28.5%44.5%31.7%44.5%
IV Rank52.7%36.8%76.3%49.2%36.8%
IV Percentile78.9%59.1%98.0%75.8%59.1%
Term Structure-1.5%-9.2%1.8%1.1%-1.6%
VWIV32.7%28.8%40.4%30.9%28.8%
Skew 25d0.7%-3.2%2.4%1.8%-0.8%
Skew 10d1.1%-7.9%5.5%4.7%-0.0%
Call IV 25d32.5%28.9%40.2%28.9%29.2%
Put IV 25d33.2%28.4%41.4%30.8%28.4%
Bid-Ask Spread %69.7864.5373.4868.3072.57
Gamma HHI0.190.110.270.200.11
Net GEX1.5M829.1K2.4M1.2M2.4M
Net DEX-60.8M-167.5M-28.5M-38.2M-167.5M
Net VEX-255.3K-332.2K-210.0K-210.0K-332.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.091.640.420.53
Total Volume2,077.83257,7854944,333
Total OI15,022.611,43526,37311,43526,373

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-02-01$127.10$120.0032.4%8.4%27.4%49.2%30.9%1.8%1.1%1.2M-38.2M-210.0K0.4268.30N/AN/A3471476,0345,401
2024-02-02$130.41$120.0037.6%9.3%28.2%66.6%32.4%1.0%0.4%1.2M-46.1M-211.9K0.2167.14N/AN/A2,9526066,1905,444
2024-02-05$127.63$125.0038.1%8.9%29.9%68.3%31.0%1.2%0.3%1.5M-43.7M-225.6K1.2069.24N/AN/A2352817,0905,668
2024-02-06$131.37$125.0037.7%9.1%31.1%66.8%32.1%-0.5%0.1%1.4M-54.8M-215.7K0.3766.24N/AN/A1,3504997,1075,776
2024-02-07$132.97$125.0030.8%8.8%30.9%43.6%31.0%0.1%0.7%1.7M-61.7M-236.1K1.4765.41N/AN/A5768447,8766,078
2024-02-08$130.31$130.0029.9%8.6%32.1%40.8%30.0%1.0%1.8%1.7M-51.7M-259.2K0.5469.09N/AN/A3151708,0686,548
2024-02-09$132.40$130.0030.5%8.7%30.0%43.1%30.3%0.5%1.3%1.7M-58.9M-255.2K1.6469.36N/AN/A1712818,1506,632
2024-02-12$128.41$130.0030.6%8.8%32.9%43.6%30.8%1.7%0.5%1.6M-44.6M-262.6K0.4069.97N/AN/A3491418,2486,907
2024-02-13$127.60$130.0032.1%9.2%32.7%48.6%32.3%2.4%0.0%1.5M-41.2M-265.6K0.1570.26N/AN/A9141398,3407,024
2024-02-14$128.75$130.0031.2%8.9%32.5%45.5%31.6%1.7%0.3%1.8M-48.2M-266.6K0.4670.91N/AN/A2221038,8927,049
2024-02-15$131.24$130.0031.9%9.1%32.7%47.9%31.8%1.3%-1.3%2.0M-57.3M-266.0K0.0973.30N/AN/A1,067928,9187,093
2024-02-16$131.50$130.0030.8%8.8%32.3%44.3%31.2%-0.1%-1.7%2.1M-59.3M-264.7K0.1572.32N/AN/A342519,1097,131
2024-02-20$131.66$130.0033.8%9.7%31.5%54.3%34.1%1.3%-4.0%995.9K-31.3M-263.1K1.1869.98N/AN/A5596616,4225,142
2024-02-21$130.96$130.0034.3%9.8%31.7%56.1%37.1%2.3%-3.8%829.1K-28.5M-272.1K1.4372.68N/AN/A1912746,8275,701
2024-02-22$133.44$130.0034.6%9.9%30.1%57.0%34.8%-0.5%-4.6%974.1K-35.7M-275.9K0.2672.48N/AN/A354937,0025,900
2024-02-23$133.81$130.0035.7%10.2%28.1%60.8%36.5%1.1%-5.2%1.1M-36.7M-280.7K0.4473.48N/AN/A5432387,1865,972
2024-02-26$134.07$130.0040.2%11.5%28.0%76.3%40.4%1.1%-9.2%1.1M-38.4M-276.8K0.8469.47N/AN/A3,9523,3387,3586,070
2024-02-27$155.45$130.0033.5%9.6%57.7%53.4%33.6%0.1%-3.0%2.2M-113.0M-240.6K0.1668.87N/AN/A6,7051,0809,5679,164
2024-02-28$169.84$130.0033.0%9.5%63.6%51.7%33.7%-3.2%-1.8%1.7M-160.0M-225.1K0.8364.53N/AN/A3,8563,18511,1599,836
2024-02-29$167.94$145.0028.6%8.2%64.2%36.8%28.8%-0.8%-1.6%2.4M-167.5M-332.2K0.5372.57N/AN/A2,8271,50613,82612,547