Option Greeks measure how an option's price responds to changes in the stock price (delta and gamma), time (theta), implied volatility (vega), and interest rates (rho).

Gamma, theta, and vega are largest for strikes near the Constellation Energy stock price and shrink for strikes far above or below it. Theta grows as expiration gets closer, while vega is larger for expirations further out. Call delta runs from 0 to 1 and put delta from -1 to 0, near 0.50 and -0.50 at the money, and roughly estimates the chance that an option finishes in the money.

Constellation Energy IV rank is 66, so implied volatility is in the upper part of its one-year range. Higher implied volatility raises option premiums and daily time decay (theta), and spreads delta and gamma across a wider range of strikes. Over the past year, 30-day implied volatility ranged from 38.3% to 60.0%. See the CEG implied volatility history for a longer view.

Across all open Constellation Energy options on Nov 4, 2026, net gamma exposure was -$31.16M and net delta exposure was -$855.22M per 1% move in the stock. The CEG gamma exposure chart shows where that gamma sits by strike.

Constellation Energy spun off from Exelon in 2022 and is now the largest US independent power producer.