CEG Options History — March 2024

In March 2024, CEG traded between $164.39 and $188.88. ATM implied volatility averaged 31.5%, placing in the 52.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 30.0% (HV 20d: 61.6%). Max pain ranged from $145.00 to $170.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2024-03-26: Highest Volume — 10,206 contracts
  • 2024-03-13: Largest IV drop — 16.2% change
  • 2024-03-25: Highest IV Rank — 65.7%
  • 2024-03-25: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$175.03$164.39$188.88$169.70$185.19
Max Pain$159.50$145.00$170.00$145.00$170.00
ATM IV31.5%28.1%36.4%28.1%29.9%
Expected Move8.9%8.0%9.6%8.0%8.6%
HV 20d61.6%37.6%68.0%63.5%37.6%
HV 60d44.2%43.0%45.4%44.3%45.3%
IV Rank52.1%34.9%65.7%34.9%50.7%
IV Percentile72.5%56.0%90.5%56.0%66.3%
Term Structure4.3%0.4%7.4%0.4%6.4%
VWIV31.4%28.2%33.9%28.2%30.0%
Skew 25d-0.5%-3.6%1.6%-1.8%-1.0%
Skew 10d-1.9%-17.5%3.6%-17.5%-0.9%
Call IV 25d31.8%29.6%35.6%29.9%30.6%
Put IV 25d31.2%28.0%33.0%28.0%29.6%
Bid-Ask Spread %69.3062.8978.0178.0173.00
Gamma HHI0.160.100.280.140.15
Net GEX3.8M162.2K6.9M3.0M6.0M
Net DEX-179.7M-271.0M-94.7M-177.0M-242.0M
Net VEX-565.8K-794.7K-332.6K-352.1K-794.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.062.310.512.31
Total Volume3,232.137310,2062,2611,916
Total OI34,151.225,61845,17827,44345,178

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-03-01$169.70$145.0028.1%8.0%63.5%34.9%28.2%-1.8%0.4%3.0M-177.0M-352.1K0.5178.01N/AN/A1,49876314,43013,013
2024-03-04$175.93$150.0031.8%8.8%63.8%47.6%31.7%-3.6%3.3%3.0M-202.3M-332.6K0.6666.79N/AN/A4,3032,84614,61513,525
2024-03-05$175.97$150.0032.7%9.0%62.6%50.7%32.2%-2.0%3.3%3.2M-216.8M-445.2K0.6771.55N/AN/A2,8491,91317,61315,683
2024-03-06$179.92$150.0033.5%9.0%62.5%53.4%31.6%-1.9%3.2%3.7M-235.0M-512.4K0.1164.06N/AN/A2,07923619,07816,720
2024-03-07$179.74$155.0031.6%9.2%62.8%46.8%32.3%-0.5%3.0%3.4M-186.0M-515.4K0.7662.89N/AN/A62547716,55216,857
2024-03-08$170.76$160.0030.9%9.2%66.0%44.6%32.3%1.1%2.9%1.9M-132.1M-546.1K0.4866.56N/AN/A1,64078116,64517,251
2024-03-11$167.85$160.0035.5%9.1%66.8%60.1%32.3%1.1%3.2%1.5M-116.4M-539.9K0.6665.14N/AN/A63241616,80417,434
2024-03-12$168.44$160.0036.4%8.9%65.0%63.4%31.4%1.1%3.8%2.1M-120.9M-534.3K0.6267.37N/AN/A1,6241,00017,22617,590
2024-03-13$167.99$160.0030.6%8.8%64.9%43.3%31.0%0.8%3.8%3.3M-121.4M-536.5K0.3865.82N/AN/A27110217,94917,863
2024-03-14$164.39$160.0031.3%9.0%66.1%52.5%32.1%1.6%3.8%162.2K-94.7M-527.7K1.5665.99N/AN/A34053017,95117,860
2024-03-15$165.54$160.0031.3%9.0%66.1%56.3%31.1%1.5%4.3%2.8M-105.5M-533.0K0.0666.96N/AN/A4,68628018,01817,833
2024-03-18$169.47$160.0031.2%8.9%66.1%55.9%32.0%-0.1%3.7%4.1M-141.6M-576.5K1.5167.00N/AN/A1,5832,39517,1938,425
2024-03-19$171.99$160.0029.9%8.6%66.0%50.6%31.0%0.5%5.5%4.4M-157.2M-608.2K0.6069.59N/AN/A2,1071,25617,99010,417
2024-03-20$175.82$160.0029.3%8.4%65.7%48.3%30.3%-0.8%4.7%5.4M-188.6M-632.8K1.2170.84N/AN/A9811,18519,56911,470
2024-03-21$174.63$160.0029.5%8.4%66.1%48.9%29.8%-0.2%5.2%5.0M-178.4M-642.9K0.8968.79N/AN/A70762719,93112,921
2024-03-22$177.42$165.0028.9%8.3%66.0%46.5%29.2%-0.3%5.5%5.4M-198.5M-639.4K0.6875.95N/AN/A56738520,11913,365
2024-03-25$188.88$165.0033.5%9.6%68.0%65.7%33.8%-3.3%6.0%5.4M-271.0M-585.4K0.4071.40N/AN/A6,1102,41820,40113,552
2024-03-26$185.76$170.0033.5%9.6%48.2%65.7%33.9%-1.6%6.3%6.9M-270.5M-681.6K0.6873.24N/AN/A6,0884,11824,14915,359
2024-03-27$185.11$170.0031.3%9.0%38.0%56.5%31.7%-1.3%7.4%5.6M-238.7M-779.1K0.1274.95N/AN/A2,06124726,14218,333
2024-03-28$185.19$170.0029.9%8.6%37.6%50.7%30.0%-1.0%6.4%6.0M-242.0M-794.7K2.3173.00N/AN/A5781,33826,88718,291