CQP Options History — June 2007

In June 2007, CQP traded between $18.50 and $20.22. ATM implied volatility averaged 41.7%. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 29.2% (HV 20d: 12.6%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.39.

Notable Days

  • 2007-06-21: Highest Volume — 732 contracts
  • 2007-06-25: Largest IV spike — 343.3% change
  • 2007-06-01: Largest Expected Move — 25.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.73$18.50$20.22$20.22$19.50
Max Pain$20.42$20.00$22.50$22.50$20.00
ATM IV41.7%13.7%104.0%88.0%72.6%
Expected Move8.7%3.9%25.2%25.2%20.8%
HV 20d12.6%6.5%19.8%13.3%19.8%
HV 60d17.8%16.5%19.2%16.8%19.2%
Term Structure-5.3%-62.8%35.0%-35.6%-23.2%
VWIV20.5%20.5%20.5%20.5%20.5%
Bid-Ask Spread %146.0841.16196.75194.96167.54
Gamma HHI0.680.340.880.700.45
Net GEX-17.3K-36.0K-3.8K-9.4K-14.0K
Net DEX474.6K147.0K1.0M147.0K728.7K
Net VEX-6.8K-12.3K-3.8K-4.5K-12.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.003.990.003.50
Total Volume111.30732045
Total OI1,548.959892,6839902,683

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$20.22$22.5088.0%25.2%13.3%0.0%0.0%0.0%-35.6%-9.4K147.0K-4.5K0.00194.9600398592
2007-06-04$20.20$0.0028.1%5.4%13.3%0.0%0.0%0.0%1.5%-15.2K247.5K-3.9K0.00116.5300398592
2007-06-05$20.15$0.0028.9%5.7%13.2%0.0%0.0%0.0%0.1%-11.8K279.8K-4.0K0.00129.7400398592
2007-06-06$20.11$0.0030.1%5.8%13.0%0.0%0.0%0.0%-0.1%-12.5K248.7K-4.0K0.00122.8101398592
2007-06-07$19.94$0.0043.0%5.8%13.2%0.0%0.0%0.0%-4.0%-21.6K284.5K-3.8K0.00178.85013398591
2007-06-08$20.08$0.0028.4%5.9%13.4%0.0%0.0%0.0%-1.1%-14.3K307.2K-3.9K0.00118.7100398601
2007-06-11$20.07$0.0084.4%4.9%13.4%0.0%0.0%0.0%-0.8%-11.9K241.4K-4.1K0.00176.88100398601
2007-06-12$20.03$0.0037.3%5.9%12.5%0.0%0.0%0.0%-0.4%-14.1K236.8K-4.4K3.99125.66102407395601
2007-06-13$20.01$0.00104.0%5.5%10.6%0.0%0.0%0.0%-0.8%-29.0K614.0K-6.6K0.00159.51004441,008
2007-06-14$20.01$0.0021.6%6.2%6.7%0.0%0.0%0.0%-2.9%-32.4K537.7K-6.7K0.00157.43004441,008
2007-06-15$20.02$0.0018.8%5.4%6.6%0.0%0.0%0.0%0.4%-28.3K617.2K-6.4K0.0041.162004441,008
2007-06-18$20.02$0.0018.1%5.2%6.6%0.0%0.0%0.0%-1.9%-36.0K487.1K-6.2K0.00179.22790371938
2007-06-19$19.99$0.0013.7%3.9%6.5%0.0%0.0%0.0%35.0%-23.5K380.6K-6.9K1.00196.751010450938
2007-06-21$19.41$0.0015.9%4.6%11.7%0.0%0.0%0.0%-8.2%-28.0K555.4K-7.0K0.63135.34450282550960
2007-06-22$19.23$0.0016.9%4.8%11.9%0.0%20.5%0.0%2.4%-3.8K652.5K-9.2K0.00139.280601,0001,122
2007-06-25$18.82$20.0074.7%21.4%13.6%0.0%0.0%0.0%-62.8%-4.9K438.1K-10.1K0.00156.880951,0001,172
2007-06-26$18.50$20.0026.1%7.5%14.2%0.0%0.0%0.0%-5.3%-11.2K919.8K-9.2K1.75124.501402451,0001,267
2007-06-27$19.04$20.0033.8%9.7%18.5%0.0%0.0%0.0%-8.2%-11.9K537.1K-11.9K0.00138.7201651,1001,466
2007-06-28$19.24$20.0050.5%14.5%19.1%0.0%0.0%0.0%10.4%-12.5K1.0M-11.3K1.63161.1935571,1001,563
2007-06-29$19.50$20.0072.6%20.8%19.8%0.0%0.0%0.0%-23.2%-14.0K728.7K-12.3K3.50167.5410351,1011,582