CQP Options History — May 2007

In May 2007, CQP traded between $20.07 and $20.99. ATM implied volatility averaged 57.5%. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 35.7% (HV 20d: 21.8%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 2.48.

Notable Days

  • 2007-05-18: Highest Volume — 208 contracts
  • 2007-05-02: Largest IV spike — 488.4% change
  • 2007-05-03: Largest Expected Move — 41.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.55$20.07$20.99$20.35$20.11
Max Pain$22.16$20.00$22.50$20.00$22.50
ATM IV57.5%18.9%145.5%24.3%21.6%
Expected Move15.5%5.4%41.7%7.0%6.2%
HV 20d21.8%14.7%25.0%25.0%14.9%
Term Structure-18.9%-65.9%17.0%1.9%0.4%
VWIV20.6%17.0%24.2%17.0%24.2%
Bid-Ask Spread %140.6554.17194.3595.6954.17
Gamma HHI0.550.260.850.850.70
Net GEX3.0K-10.4K16.5K11.9K-10.4K
Net DEX-81.4K-273.8K202.9K-37.1K202.9K
Net VEX-3.3K-4.4K-1.2K-2.8K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.480.0025.000.300.00
Total Volume25.27302081310
Total OI863.045766980766980

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$20.35$20.0024.3%7.0%0.0%0.0%0.0%0.0%1.9%11.9K-37.1K-2.8K0.3095.69103471295
2007-05-02$20.47$20.00142.7%40.9%0.0%0.0%0.0%0.0%-52.6%2.0K-195.2K-1.2K0.30194.35103471298
2007-05-03$20.85$20.00145.5%41.7%25.0%0.0%0.0%0.0%-52.9%12.1K-204.0K-1.4K1.00191.041010481301
2007-05-04$20.85$22.5023.3%7.1%24.2%0.0%0.0%0.0%1.2%1.7K-202.6K-2.8K1.00105.831010491301
2007-05-07$20.90$22.5092.5%6.9%23.5%0.0%0.0%0.0%2.6%2.3K-192.1K-2.8K2.14145.641430501301
2007-05-08$20.99$22.5020.8%7.1%22.8%0.0%0.0%0.0%-2.0%1.3K-237.3K-3.0K0.0079.8600515331
2007-05-09$20.99$22.5033.6%6.0%22.2%0.0%0.0%0.0%3.5%1.5K-194.0K-3.0K0.00114.3450515331
2007-05-10$20.80$22.5095.9%27.5%21.8%0.0%0.0%0.0%-42.4%7.9K-273.8K-3.5K0.00190.34100512331
2007-05-11$20.75$22.5097.3%27.9%21.8%0.0%0.0%0.0%-65.9%12.0K-215.3K-3.1K0.00142.84200522331
2007-05-14$20.45$22.5056.0%16.0%22.0%0.0%17.0%0.0%-39.7%15.2K-221.5K-3.4K0.00163.9101538331
2007-05-15$20.07$22.5024.2%7.0%21.5%0.0%24.2%0.0%-0.6%11.7K-59.4K-3.0K0.0082.52520538332
2007-05-16$20.51$22.5023.4%6.7%23.3%0.0%0.0%0.0%2.1%16.5K-135.9K-2.9K0.0095.5602528332
2007-05-17$20.56$22.5066.5%19.1%23.3%0.0%0.0%0.0%-28.0%11.9K-202.8K-3.2K0.00177.7100528332
2007-05-18$20.54$22.5067.1%19.2%23.2%0.0%0.0%0.0%-30.2%14.7K-240.1K-3.1K25.00192.598200528332
2007-05-21$20.58$22.5070.2%20.1%23.0%0.0%0.0%0.0%-20.0%-4.9K11.1K-4.3K0.00192.9550394502
2007-05-22$20.41$22.5074.3%21.3%23.1%0.0%0.0%0.0%-24.2%-5.9K63.2K-4.2K0.00158.91010399502
2007-05-23$20.40$22.5018.9%5.4%23.1%0.0%0.0%0.0%5.1%-6.2K140.5K-4.0K0.0059.0300399512
2007-05-24$20.35$22.5073.9%21.2%21.6%0.0%0.0%0.0%-25.0%-6.8K85.2K-4.1K0.00178.0630399512
2007-05-25$20.40$22.5023.5%6.7%21.7%0.0%0.0%0.0%17.0%-8.3K61.1K-3.8K0.00155.74050398512
2007-05-29$20.40$22.5021.0%6.0%19.8%0.0%0.0%0.0%-4.1%-7.6K133.6K-3.7K0.00136.79040398512
2007-05-30$20.30$22.5049.6%14.2%14.7%0.0%0.0%0.0%-62.7%-6.4K122.5K-4.4K0.00186.41030398552
2007-05-31$20.11$22.5021.6%6.2%14.9%0.0%0.0%0.0%0.4%-10.4K202.9K-4.2K0.0054.17010398582