CEG Options History — November 2024 In November 2024, CEG traded between $224.23 and $264.65. ATM implied volatility averaged 41.7%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 13.8% (HV 20d: 55.5%). Max pain ranged from $200.00 to $245.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.11.
Notable Days 2024-11-04 : Highest Volume — 53,163 contracts2024-11-06 : Largest IV drop — 19.2% change2024-11-01 : Highest IV Rank — 58.9%2024-11-01 : Largest Expected Move — 19.5%Monthly Statistics Metric Avg Min Max Open Close Price $240.16 $224.23 $264.65 $258.65 $256.86 Max Pain $235.38 $200.00 $245.00 $230.00 $245.00 ATM IV 41.7% 37.2% 56.5% 56.5% 40.6% Expected Move 12.2% 10.7% 19.5% 19.5% 12.3% HV 20d 55.5% 36.0% 65.8% 36.0% 65.8% HV 60d 61.9% 55.2% 63.7% 55.2% 61.9% IV Rank 34.9% 28.2% 58.9% 58.9% 29.5% IV Percentile 60.7% 45.2% 91.7% 91.7% 57.1% Term Structure -0.3% -1.8% 2.2% -1.6% -1.3% VWIV 43.1% 37.8% 68.3% 68.3% 43.7% Skew 25d 0.3% -2.5% 4.8% 4.8% -0.9% Skew 10d 0.7% -9.0% 7.3% 6.7% 7.3% Call IV 25d 41.7% 36.9% 54.3% 54.3% 42.4% Put IV 25d 42.0% 37.9% 59.1% 59.1% 41.5% Bid-Ask Spread % 56.07 44.96 67.65 44.96 54.07 Gamma HHI 0.08 0.06 0.12 0.08 0.06 Net GEX 1.5M -13.7M 13.7M -1.3M 8.5M Net DEX -352.0M -771.2M 65.8M -630.8M -595.4M Net VEX -3.2M -3.4M -2.9M -3.4M -3.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.11 0.16 3.04 1.01 0.16 Total Volume 13,922.6 3,952 53,163 12,335 5,760 Total OI 159,410.15 135,777 180,552 161,219 151,071
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 2024-11-01 $258.65 $230.00 56.5% 19.5% 36.0% 58.9% 68.3% 4.8% -1.6% -1.3M -630.8M -3.4M 1.01 44.96 N/A N/A 6,136 6,199 75,855 85,364 2024-11-04 $227.30 $200.00 50.0% 13.5% 56.8% 48.6% 48.0% 1.9% -1.7% -7.7M -42.0M -3.0M 1.08 49.05 N/A N/A 25,561 27,602 73,225 79,763 2024-11-05 $234.17 $230.00 46.1% 12.8% 58.3% 42.3% 44.9% 0.4% 0.0% -1.9M -237.0M -3.2M 0.70 55.79 N/A N/A 12,148 8,533 81,508 89,410 2024-11-06 $235.18 $240.00 37.2% 10.7% 54.5% 28.2% 37.8% 1.0% 1.8% 445.6K -294.1M -2.9M 0.77 62.40 N/A N/A 5,269 4,052 83,953 93,181 2024-11-07 $242.32 $240.00 39.6% 11.5% 55.8% 31.9% 40.4% 0.3% 0.8% 7.1M -462.8M -3.0M 0.38 66.06 N/A N/A 10,448 3,969 84,278 92,620 2024-11-08 $238.88 $240.00 38.6% 11.1% 55.9% 30.4% 41.3% 1.8% -0.3% 10.2M -399.9M -3.0M 1.32 64.88 N/A N/A 5,091 6,735 87,259 92,895 2024-11-11 $237.55 $240.00 39.4% 11.3% 54.6% 31.6% 40.3% 0.8% 0.1% 382.0K -370.3M -2.9M 1.46 62.26 N/A N/A 3,154 4,594 79,223 86,364 2024-11-12 $229.50 $240.00 40.1% 11.4% 55.4% 32.8% 40.3% 0.1% -0.1% -6.5M -183.5M -3.0M 0.80 62.65 N/A N/A 10,200 8,166 80,344 89,008 2024-11-13 $227.31 $240.00 38.5% 11.0% 51.4% 30.3% 38.3% -1.1% -0.4% -6.7M -156.2M -3.1M 3.04 62.79 N/A N/A 1,983 6,031 85,153 91,462 2024-11-14 $225.95 $240.00 37.4% 10.8% 51.0% 28.4% 38.0% 0.4% 0.7% -9.5M -111.3M -3.1M 0.53 67.65 N/A N/A 11,149 5,964 85,549 95,003 2024-11-15 $224.23 $240.00 39.1% 11.4% 50.8% 31.2% 40.3% 0.8% 0.8% -13.7M 65.8M -3.3M 2.41 63.72 N/A N/A 3,784 9,131 80,754 97,702 2024-11-18 $229.91 $240.00 40.1% 11.5% 52.2% 32.8% 40.8% 0.2% -1.2% -5.4M -161.7M -3.3M 1.20 50.92 N/A N/A 5,699 6,823 57,930 77,847 2024-11-19 $233.83 $235.00 40.3% 11.6% 52.7% 33.2% 41.8% 0.3% -0.9% -327.4K -248.7M -3.4M 0.87 51.56 N/A N/A 2,929 2,543 61,343 81,322 2024-11-20 $235.26 $232.50 42.2% 12.1% 52.8% 36.1% 43.0% 0.3% -1.2% 2.0M -288.8M -3.4M 1.12 49.88 N/A N/A 1,862 2,090 62,589 82,522 2024-11-21 $251.51 $235.00 42.4% 12.2% 58.9% 36.4% 43.3% 0.1% -1.1% 11.9M -593.7M -3.4M 0.33 49.54 N/A N/A 7,652 2,516 63,036 83,416 2024-11-22 $250.03 $230.00 41.4% 12.0% 58.9% 34.9% 42.9% -0.5% -1.8% 13.1M -568.5M -3.4M 1.00 52.09 N/A N/A 5,221 5,241 64,151 83,753 2024-11-25 $247.39 $230.00 40.4% 12.0% 58.5% 33.2% 42.2% -0.8% 2.2% 9.0M -488.3M -3.4M 1.51 48.95 N/A N/A 3,908 5,899 62,594 76,216 2024-11-26 $264.65 $235.00 42.4% 12.4% 63.8% 34.7% 44.0% -1.1% -1.0% 13.7M -771.2M -3.4M 0.69 50.84 N/A N/A 13,865 9,565 63,194 80,892 2024-11-27 $252.81 $245.00 41.1% 12.3% 65.5% 32.1% 43.2% -2.5% -0.5% 6.2M -502.5M -3.4M 1.84 51.32 N/A N/A 3,871 7,109 62,695 83,759 2024-11-29 $256.86 $245.00 40.6% 12.3% 65.8% 29.5% 43.7% -0.9% -1.3% 8.5M -595.4M -3.4M 0.16 54.07 N/A N/A 4,947 813 64,255 86,816
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