CQP Options History — July 2007

In July 2007, CQP traded between $18.61 and $19.90. ATM implied volatility averaged 54.0%. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 28.7% (HV 20d: 25.4%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 2.18.

Notable Days

  • 2007-07-31: Highest Volume — 156 contracts
  • 2007-07-10: Largest IV spike — 221.0% change
  • 2007-07-03: Largest Expected Move — 37.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.34$18.61$19.90$19.57$18.61
Max Pain$22.14$20.00$22.50$20.00$22.50
ATM IV54.0%24.3%130.6%45.6%33.5%
Expected Move14.6%7.0%37.4%13.1%9.6%
HV 20d25.4%19.7%30.0%19.7%26.7%
HV 60d20.5%19.0%22.1%19.0%20.3%
Term Structure-15.7%-101.2%15.7%-10.1%-11.8%
VWIV59.8%28.2%86.4%32.6%86.4%
Bid-Ask Spread %151.58117.14196.30125.54131.55
Gamma HHI0.450.370.590.440.45
Net GEX-19.3K-23.7K-14.5K-18.3K-18.1K
Net DEX1.4M391.0K2.2M945.5K2.2M
Net VEX-11.7K-13.7K-10.0K-11.8K-10.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.180.008.001.503.88
Total Volume50.762015620156
Total OI3,097.4762,7043,3482,7043,288

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$19.57$20.0045.6%13.1%19.7%0.0%0.0%0.0%-10.1%-18.3K945.5K-11.8K0.00125.540201,1111,593
2007-07-03$19.90$20.00130.6%37.4%20.8%0.0%0.0%0.0%-101.2%-15.6K391.0K-12.6K1.50196.3030451,1111,593
2007-07-05$19.68$20.0030.4%8.7%21.1%0.0%0.0%0.0%-4.9%-20.4K924.3K-11.7K0.86117.7435301,1211,603
2007-07-06$19.28$22.5031.1%7.5%22.2%0.0%0.0%0.0%-2.3%-15.8K1.4M-10.5K1.33128.9330401,1461,633
2007-07-09$19.00$22.5034.5%7.2%22.5%0.0%32.6%0.0%4.4%-15.9K1.6M-10.0K5.00135.9910501,1461,669
2007-07-10$19.00$22.50110.7%18.5%22.3%0.0%69.8%0.0%-13.8%-14.5K724.8K-12.6K1.75187.5340701,1461,719
2007-07-11$19.60$22.5032.0%7.8%25.3%0.0%28.2%0.0%3.1%-21.0K1.4M-11.0K2.80131.8525701,1861,789
2007-07-12$19.40$22.5048.9%14.0%25.5%0.0%54.6%0.0%-34.0%-15.3K1.5M-11.3K1.33129.2915201,2111,844
2007-07-13$19.52$22.5031.3%9.0%25.7%0.0%41.4%0.0%-4.0%-21.5K1.6M-11.4K3.00147.1710301,2211,864
2007-07-16$19.09$22.5030.8%8.8%26.7%0.0%83.7%0.0%-5.9%-19.1K1.7M-11.0K8.00134.8410801,2311,884
2007-07-17$19.41$22.5073.0%20.9%27.5%0.0%81.9%0.0%-17.1%-20.2K745.7K-13.7K4.00184.6910401,2311,964
2007-07-18$18.93$22.5076.1%21.8%28.8%0.0%86.4%0.0%-19.4%-18.6K1.2M-12.9K0.00172.370301,2412,004
2007-07-19$19.34$22.5075.8%21.7%30.0%0.0%0.0%0.0%-5.9%-21.2K1.7M-11.6K0.00148.130101,2412,034
2007-07-20$19.21$22.5049.5%14.2%28.3%0.0%0.0%0.0%-6.4%-22.4K1.7M-11.8K1.00156.8720201,2412,044
2007-07-23$19.50$22.5049.5%14.2%28.6%0.0%0.0%0.0%-60.3%-21.6K1.1M-13.3K0.50172.9560301,2442,044
2007-07-24$19.65$22.5024.3%7.0%27.4%0.0%0.0%0.0%5.2%-16.7K2.2M-10.1K0.00117.141001,2842,064
2007-07-25$19.68$22.5042.9%12.3%26.5%0.0%0.0%0.0%-16.3%-23.7K1.1M-13.3K0.00162.591001,2742,064
2007-07-26$19.31$22.5077.7%22.3%25.7%0.0%0.0%0.0%-26.8%-21.6K1.2M-13.1K0.00189.22001,2742,064
2007-07-27$19.37$22.5043.2%12.4%25.5%0.0%0.0%0.0%15.7%-23.7K1.7M-11.8K0.00159.651001,2742,064
2007-07-30$19.02$22.5063.4%18.2%25.8%0.0%0.0%0.0%-18.7%-20.3K2.0M-11.0K0.00152.85001,2242,064
2007-07-31$18.61$22.5033.5%9.6%26.7%0.0%0.0%0.0%-11.8%-18.1K2.2M-10.4K3.88131.55321241,2242,064