CQP Options History — August 2007

In August 2007, CQP traded between $16.89 and $18.74. ATM implied volatility averaged 43.2%. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 9.4% (HV 20d: 33.9%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.31.

Notable Days

  • 2007-08-09: Highest Volume — 153 contracts
  • 2007-08-09: Largest IV spike — 218.1% change
  • 2007-08-17: Largest Expected Move — 20.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.73$16.89$18.74$18.50$18.74
Max Pain$20.54$20.00$22.50$22.50$20.00
ATM IV43.2%22.3%111.5%68.6%47.3%
Expected Move10.3%6.4%20.4%19.7%13.5%
HV 20d33.9%24.8%38.1%25.8%38.1%
HV 60d25.7%20.3%28.8%20.3%28.8%
Term Structure-2.6%-25.6%24.1%-21.5%-1.4%
VWIV34.1%24.1%44.0%24.1%44.0%
Skew 25d6.8%-4.3%40.1%40.1%-0.6%
Skew 10d5.5%-5.8%44.4%44.4%7.3%
Call IV 25d26.7%18.6%42.2%42.2%32.6%
Put IV 25d33.5%18.2%82.2%82.2%32.0%
Bid-Ask Spread %122.9272.51170.99147.60135.43
Gamma HHI0.450.350.650.500.46
Net GEX-7.9K-19.8K-3.4K-19.8K-3.8K
Net DEX1.9M1.4M2.6M1.6M1.5M
Net VEX-8.3K-11.8K-6.7K-11.8K-8.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.001.250.000.00
Total Volume16.69601532010
Total OI3,041.9132,8703,2923,2922,891

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$18.50$22.5068.6%19.7%25.8%0.0%0.0%0.0%-21.5%-19.8K1.6M-11.8K0.00147.602001,2242,068
2007-08-02$18.49$22.5025.3%7.3%25.6%0.0%0.0%0.0%-10.8%-10.7K2.5M-8.4K0.0082.96001,2142,008
2007-08-03$18.43$22.5036.1%10.4%24.8%0.0%0.0%0.0%-20.2%-14.5K2.4M-8.9K0.00138.33001,2142,008
2007-08-06$17.43$22.50111.5%8.8%31.0%0.0%0.0%0.0%24.1%-15.0K2.3M-8.3K0.50155.0020101,2142,008
2007-08-07$17.99$22.5077.2%18.8%33.5%0.0%0.0%40.1%-21.7%-14.3K2.6M-7.0K0.00170.990161,2242,018
2007-08-08$18.50$20.0028.6%6.5%33.1%0.0%0.0%-4.3%3.5%-9.2K2.2M-7.8K0.03102.453111,2241,795
2007-08-09$17.99$20.0091.1%15.7%34.2%0.0%0.0%1.2%-24.3%-11.2K1.8M-9.0K0.53153.63100531,2241,796
2007-08-10$17.20$20.0053.4%8.4%37.0%0.0%0.0%4.4%-0.3%-5.1K2.4M-6.7K0.00123.32001,3041,849
2007-08-13$17.14$20.0029.7%8.2%36.5%0.0%0.0%9.9%-1.7%-5.9K1.6M-9.9K0.0072.51001,3041,849
2007-08-14$17.10$20.0035.4%9.7%35.6%0.0%0.0%30.3%14.7%-7.1K1.7M-9.1K0.43119.0023101,3041,849
2007-08-15$17.20$20.0038.6%8.5%35.1%0.0%0.0%-2.1%0.3%-5.2K2.2M-7.6K0.4099.831041,3081,859
2007-08-16$16.89$20.0034.6%9.9%34.0%0.0%0.0%-1.4%5.4%-6.8K2.1M-7.7K0.00152.80001,3181,860
2007-08-17$17.00$20.0071.0%20.4%34.3%0.0%0.0%26.8%-25.6%-7.1K1.4M-9.9K0.00169.45001,3181,860
2007-08-20$16.90$20.0027.7%7.9%33.4%0.0%0.0%10.5%4.5%-6.6K1.7M-7.9K0.00108.75001,2381,635
2007-08-21$17.07$20.0027.4%7.9%33.5%0.0%0.0%3.0%2.0%-6.1K1.7M-8.1K0.00102.94001,2381,635
2007-08-22$17.36$20.0030.8%8.8%34.5%0.0%0.0%-2.1%0.7%-5.3K1.9M-7.1K0.00131.10001,2381,635
2007-08-23$17.36$20.0028.7%8.2%34.2%0.0%0.0%9.9%0.2%-4.9K1.9M-6.9K0.0092.602001,2381,635
2007-08-24$17.55$20.0024.1%6.9%34.6%0.0%24.1%3.8%7.3%-7.0K1.7M-8.1K0.00106.491001,2431,635
2007-08-27$18.26$20.0022.3%6.4%37.6%0.0%0.0%-3.3%-0.9%-4.6K1.7M-8.0K0.00103.85001,2531,617
2007-08-28$18.00$20.0033.9%9.7%37.2%0.0%0.0%6.4%-7.3%-3.4K1.7M-7.7K0.00139.84011,2531,617
2007-08-29$18.20$20.0024.1%6.9%37.4%0.0%0.0%-2.8%7.9%-4.0K1.7M-7.8K0.00108.87001,2531,618
2007-08-30$18.44$20.0026.5%7.6%37.7%0.0%44.0%-0.3%5.9%-4.1K1.6M-8.4K1.25109.5020251,2531,618
2007-08-31$18.74$20.0047.3%13.5%38.1%0.0%0.0%-0.6%-1.4%-3.8K1.5M-8.8K0.00135.431001,2731,618