CEG Options History — September 2024 In September 2024, CEG traded between $173.90 and $261.95. ATM implied volatility averaged 42.6%, placing in the 36.8% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 16.3% (HV 20d: 58.8%). Max pain ranged from $180.00 to $240.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.12.
Notable Days 2024-09-20 : Highest Volume — 61,563 contracts2024-09-20 : Largest IV spike — 19.2% change2024-09-04 : Highest IV Rank — 44.6%2024-09-04 : Largest Expected Move — 13.4%Monthly Statistics Metric Avg Min Max Open Close Price $211.85 $173.90 $261.95 $177.81 $260.01 Max Pain $197.00 $180.00 $240.00 $185.00 $240.00 ATM IV 42.6% 37.2% 46.6% 45.5% 42.2% Expected Move 12.0% 10.7% 13.4% 13.0% 11.2% HV 20d 58.8% 41.8% 84.0% 51.0% 83.9% HV 60d 61.5% 56.4% 69.6% 58.8% 69.5% IV Rank 36.8% 28.2% 44.6% 42.9% 36.2% IV Percentile 76.6% 59.1% 86.1% 84.1% 77.4% Term Structure 3.3% -3.6% 7.0% -3.3% 2.8% VWIV 42.9% 38.5% 48.3% 47.1% 40.3% Skew 25d 1.5% -2.4% 4.2% 4.2% -0.9% Skew 10d 2.3% -10.8% 8.4% 8.4% 0.7% Call IV 25d 41.7% 37.8% 49.1% 44.3% 42.8% Put IV 25d 43.2% 38.2% 48.5% 48.5% 41.8% Bid-Ask Spread % 42.70 19.52 65.79 65.79 35.28 Gamma HHI 0.11 0.08 0.15 0.09 0.12 Net GEX 2.5M -13.5M 14.9M -8.4M 13.4M Net DEX -364.7M -973.7M 178.9M 87.1M -895.8M Net VEX -2.5M -3.1M -2.0M -2.0M -3.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.12 0.24 3.35 2.32 3.27 Total Volume 13,232 2,017 61,563 14,055 13,736 Total OI 110,946.9 85,648 145,610 85,648 145,610
Daily Data (20 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2024-09-03 $177.81 $185.00 45.5% 13.0% 51.0% 42.9% 47.1% 4.2% -3.3% -8.4M 87.1M -2.0M 2.32 65.79 N/A N/A 4,234 9,821 40,445 45,203 2024-09-04 $178.69 $185.00 46.6% 13.4% 44.0% 44.6% 47.4% 3.1% -3.6% -9.5M 89.3M -2.2M 1.34 60.91 N/A N/A 3,029 4,069 41,481 50,682 2024-09-05 $175.93 $190.00 45.2% 12.2% 44.2% 40.9% 43.4% 3.2% 2.4% -11.3M 132.7M -2.2M 0.34 45.82 N/A N/A 4,345 1,462 42,314 53,517 2024-09-06 $174.07 $185.00 45.0% 12.5% 42.3% 40.5% 44.6% 2.9% 2.8% -13.1M 178.9M -2.1M 0.58 44.84 N/A N/A 2,620 1,525 40,900 54,527 2024-09-09 $173.90 $185.00 45.4% 12.3% 41.8% 41.1% 43.3% 3.1% 2.8% -13.5M 169.8M -2.1M 0.29 44.67 N/A N/A 1,569 448 42,814 55,753 2024-09-10 $180.08 $180.00 45.1% 11.9% 43.8% 40.7% 42.3% 2.2% 4.1% -10.2M 58.1M -2.1M 0.55 45.88 N/A N/A 2,864 1,569 43,743 55,941 2024-09-11 $187.12 $180.00 41.3% 11.8% 45.9% 34.6% 41.3% 2.1% 3.9% -5.5M -65.2M -2.2M 0.91 48.82 N/A N/A 1,904 1,740 45,268 56,385 2024-09-12 $189.85 $180.00 41.7% 12.0% 45.9% 35.4% 42.1% 2.4% 4.2% -3.1M -119.4M -2.3M 0.79 50.09 N/A N/A 3,773 2,968 46,051 56,964 2024-09-13 $195.02 $180.00 40.8% 11.7% 46.1% 34.0% 41.4% 1.9% 4.9% 1.3M -198.6M -2.4M 0.24 44.22 N/A N/A 7,803 1,854 47,472 57,870 2024-09-16 $198.58 $180.00 42.4% 12.2% 46.4% 36.4% 45.9% 2.4% 4.5% 5.1M -290.7M -2.4M 1.38 45.14 N/A N/A 2,855 3,927 50,744 57,679 2024-09-17 $200.81 $180.00 42.9% 12.3% 46.4% 37.2% 44.1% 1.9% 4.3% 7.0M -335.3M -2.6M 0.83 46.84 N/A N/A 4,400 3,640 52,690 58,213 2024-09-18 $199.71 $180.00 42.0% 12.1% 46.5% 35.9% 43.3% 3.0% 4.1% 7.6M -316.4M -2.5M 1.13 47.71 N/A N/A 3,099 3,511 53,300 58,513 2024-09-19 $208.11 $185.00 38.9% 11.2% 47.8% 30.9% 39.7% 2.4% 5.0% 12.2M -457.4M -2.5M 0.68 48.17 N/A N/A 3,631 2,452 54,518 58,467 2024-09-20 $252.65 $185.00 46.4% 13.3% 82.8% 42.8% 48.3% -2.4% 7.0% 10.6M -973.7M -2.4M 0.56 19.52 N/A N/A 39,537 22,026 54,254 59,359 2024-09-23 $256.87 $210.00 41.3% 11.8% 82.7% 34.7% 44.0% -1.5% 5.0% 12.4M -900.7M -2.6M 0.45 31.58 N/A N/A 27,594 12,452 55,293 52,198 2024-09-24 $253.33 $220.00 37.2% 10.7% 83.1% 28.2% 38.5% 0.4% 6.9% 14.3M -824.5M -2.9M 1.73 23.23 N/A N/A 7,352 12,689 66,246 57,249 2024-09-25 $261.95 $230.00 40.1% 11.5% 83.4% 32.7% 41.8% -1.4% 6.3% 14.9M -939.4M -3.0M 0.43 33.11 N/A N/A 14,275 6,104 66,598 62,645 2024-09-26 $255.18 $240.00 41.2% 11.4% 84.0% 34.5% 41.1% 0.9% -0.1% 13.7M -840.1M -3.1M 3.35 31.10 N/A N/A 4,103 13,753 72,441 63,390 2024-09-27 $257.26 $240.00 40.0% 11.0% 83.9% 32.6% 39.1% 0.7% 2.2% 12.3M -852.4M -3.1M 1.25 41.24 N/A N/A 2,624 3,283 72,764 69,437 2024-09-30 $260.01 $240.00 42.2% 11.2% 83.9% 36.2% 40.3% -0.9% 2.8% 13.4M -895.8M -3.0M 3.27 35.28 N/A N/A 3,214 10,522 73,793 71,817
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