CQP Options History — October 2007

In October 2007, CQP traded between $17.75 and $19.37. ATM implied volatility averaged 29.2%, placing in the 13.2% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 7.7% (HV 20d: 21.5%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 10 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 0.65.

Notable Days

  • 2007-10-18: Highest Volume — 85 contracts
  • 2007-10-31: Largest IV spike — 222.7% change
  • 2007-10-11: Highest IV Rank — 42.7%
  • 2007-10-11: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.44$17.75$19.37$18.21$19.03
Max Pain$17.93$17.50$20.00$20.00$17.50
ATM IV29.2%17.5%69.9%26.1%56.5%
Expected Move8.5%5.0%20.0%7.5%16.2%
HV 20d21.5%18.1%26.0%25.7%22.1%
HV 60d28.6%26.2%29.8%29.7%26.2%
IV Rank13.2%2.9%42.7%42.7%32.5%
IV Percentile42.1%2.9%80.2%80.2%77.9%
Term Structure0.8%-56.8%13.0%5.0%5.3%
VWIV52.2%26.3%93.1%26.3%93.1%
Skew 25d0.6%-4.1%9.7%-3.2%-4.1%
Skew 10d1.1%-4.7%11.4%-3.0%0.6%
Call IV 25d25.9%18.3%57.2%25.8%23.5%
Put IV 25d26.5%19.3%62.1%22.6%19.3%
Bid-Ask Spread %78.3128.83183.9662.21143.58
Gamma HHI0.340.290.430.310.43
Net GEX-678-2.8K1.2K554655
Net DEX1.5M1.1M1.9M1.6M1.1M
Net VEX-6.4K-7.5K-5.2K-6.3K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.002.861.001.00
Total Volume22.7390852010
Total OI2,915.1742,8163,0132,8163,013

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$18.21$20.0026.1%7.5%25.7%0.0%0.0%-3.2%5.0%5541.6M-6.3K1.0062.2110101,3121,504
2007-10-02$17.90$20.0028.4%8.2%26.0%0.0%0.0%-4.0%6.5%9531.8M-5.8K0.0053.59001,3191,509
2007-10-03$17.79$20.0027.2%7.8%25.8%0.0%0.0%2.9%0.7%1851.7M-6.0K0.0049.881501,3191,509
2007-10-04$17.75$20.0026.4%7.6%21.7%0.0%0.0%9.7%1.2%5101.8M-5.6K2.5099.6410251,3121,509
2007-10-05$17.86$17.5023.0%7.3%19.6%0.0%0.0%-4.1%0.8%-1.6K1.8M-5.3K0.0028.83001,3081,534
2007-10-08$17.91$17.5026.9%7.6%18.1%0.0%26.3%-3.2%0.2%-1.4K1.9M-5.2K0.0035.821101,3081,534
2007-10-09$18.23$17.5020.8%7.6%19.1%0.0%0.0%-3.1%0.8%-2.0K1.7M-6.0K0.0033.74001,3191,534
2007-10-10$18.16$17.5024.9%8.0%18.7%0.0%0.0%-2.4%-0.4%-2.8K1.6M-6.5K0.0074.83001,3191,534
2007-10-11$18.24$17.5069.9%20.0%18.6%42.7%71.2%4.9%-56.8%-2.8K1.3M-7.5K0.00183.962001,3191,534
2007-10-12$18.42$17.5028.1%8.1%18.6%10.9%0.0%0.3%0.0%-1.2K1.5M-6.5K0.0082.135101,3281,534
2007-10-15$19.00$17.5027.3%7.8%21.8%10.3%28.3%3.4%11.3%651.3M-7.3K2.86130.4314401,3771,534
2007-10-16$18.89$17.5018.2%5.2%21.8%3.4%0.0%2.7%10.5%-1.6K1.3M-7.3K1.6781.60351,3851,571
2007-10-17$18.90$17.5023.4%6.7%21.6%7.3%0.0%3.4%0.9%-2.0K1.3M-7.4K1.2570.1512151,3861,576
2007-10-18$18.55$17.5026.4%7.6%22.3%9.6%0.0%-0.8%4.5%-1.5K1.5M-6.6K0.0677.648051,3881,576
2007-10-19$18.40$17.5025.9%7.4%22.4%9.3%0.0%0.8%1.1%-1.7K1.6M-6.2K0.0057.15001,3851,576
2007-10-22$18.29$17.5028.3%8.1%22.2%11.1%0.0%-2.6%0.3%-1.1K1.8M-5.4K0.0066.272001,3751,571
2007-10-23$18.26$17.5026.5%7.6%20.5%9.7%0.0%-0.1%1.5%-9671.7M-5.7K0.0058.25001,3851,571
2007-10-24$18.53$17.5028.7%8.2%20.7%11.4%0.0%-0.9%-0.4%-7941.7M-5.6K0.0053.166501,3851,571
2007-10-25$18.42$17.5029.8%8.6%19.8%12.2%0.0%6.7%-2.0%1.2K1.7M-5.8K0.0040.221001,4301,571
2007-10-26$19.00$17.5028.1%8.1%21.8%11.0%41.7%1.8%8.3%3931.3M-7.0K0.00102.784401,4401,571
2007-10-29$19.37$17.5032.5%9.3%22.1%14.2%0.0%2.6%13.0%5351.1M-7.2K0.0098.132801,4401,571
2007-10-30$19.00$17.5017.5%5.0%22.3%2.9%0.0%3.1%7.0%5251.2M-7.0K1.00117.2510101,4321,571
2007-10-31$19.03$17.5056.5%16.2%22.1%32.5%93.1%-4.1%5.3%6551.1M-7.1K0.00143.580101,4421,571