CQP Options History — December 2007

In December 2007, CQP traded between $15.47 and $17.05. ATM implied volatility averaged 31.4%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 15.2% (HV 20d: 16.2%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.10.

Notable Days

  • 2007-12-27: Highest Volume — 40 contracts
  • 2007-12-11: Largest IV spike — 320.9% change
  • 2007-12-24: Highest IV Rank — 62.1%
  • 2007-12-24: Largest Expected Move — 27.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.26$15.47$17.05$17.05$16.06
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV31.4%16.7%95.6%29.1%27.7%
Expected Move8.9%6.0%27.4%8.4%7.9%
HV 20d16.2%14.0%23.6%14.1%23.6%
HV 60d19.4%18.9%21.1%19.6%21.1%
IV Rank13.4%2.3%62.1%11.7%10.6%
IV Percentile38.6%1.2%94.9%53.1%44.8%
Term Structure-1.9%-49.8%10.1%-2.4%8.0%
Skew 25d6.0%-5.0%46.6%0.5%2.6%
Skew 10d11.2%-10.5%105.9%1.9%5.3%
Call IV 25d36.0%21.9%91.5%29.4%34.9%
Put IV 25d42.0%26.6%138.1%30.0%37.5%
Bid-Ask Spread %107.0944.21190.3480.20115.21
Gamma HHI0.570.480.970.540.51
Net GEX3.7K1.2K6.3K2.0K5.1K
Net DEX1.2M-38.1K1.7M1.6M84.6K
Net VEX-1.9K-3.0K-1.3K-2.5K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.004.500.000.00
Total Volume9.404085
Total OI2,130.255992,6532,643674

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-12-03$17.05$20.0029.1%8.4%14.1%11.7%0.0%0.5%-2.4%2.0K1.6M-2.5K0.0080.20081,4131,230
2007-12-04$17.01$20.0026.0%7.5%14.1%9.3%0.0%-0.6%-0.4%2.1K1.6M-2.4K0.00103.35041,4131,230
2007-12-05$16.95$20.0027.0%7.7%14.1%10.1%0.0%-3.1%-2.4%1.8K1.7M-2.3K0.0044.21001,4131,230
2007-12-06$16.99$20.0024.2%6.9%14.1%8.0%0.0%0.6%0.1%1.5K1.7M-2.2K0.0095.32001,4131,230
2007-12-07$16.88$0.0022.6%7.4%14.0%6.8%0.0%11.2%1.8%1.2K1.7M-2.1K0.00102.54001,4131,230
2007-12-10$16.50$0.0016.7%6.5%14.3%2.3%0.0%0.1%1.3%3.5K1.7M-1.9K0.0097.051001,4131,230
2007-12-11$16.52$0.0070.4%20.4%14.3%43.0%0.0%46.6%-49.8%2.4K1.4M-3.0K0.00190.34501,4131,230
2007-12-12$16.30$0.0035.8%6.5%14.3%16.8%0.0%-5.0%1.9%2.1K1.7M-1.9K1.00104.5910101,4131,230
2007-12-13$16.30$0.0021.5%6.2%14.3%5.9%0.0%7.1%2.9%3.9K1.7M-1.8K0.0099.95001,4231,230
2007-12-14$16.34$0.0021.1%6.1%14.4%5.6%0.0%2.6%2.4%3.7K1.7M-1.8K0.0099.45001,4231,230
2007-12-17$16.05$0.0022.7%6.5%15.0%6.8%0.0%0.0%4.2%3.5K1.7M-1.6K2.00111.215101,4231,230
2007-12-18$15.78$0.0024.7%7.1%15.6%8.3%0.0%0.0%4.6%4.2K1.6M-1.5K0.00105.87001,4231,168
2007-12-19$15.47$0.0030.0%8.6%16.2%12.4%0.0%0.0%0.2%4.1K1.6M-1.3K2.0095.675101,4231,144
2007-12-20$15.50$0.0027.1%7.8%16.3%10.2%0.0%0.0%2.9%4.3K1.6M-1.3K4.5078.264181,4281,144
2007-12-21$15.89$0.0027.5%7.9%18.7%10.4%0.0%0.0%6.2%5.5K1.6M-1.5K0.0093.94501,4321,144
2007-12-24$16.01$0.0095.6%27.4%19.1%62.1%0.0%0.0%-23.1%5.7K-38.1K-1.9K0.50180.502010432167
2007-12-26$16.05$0.0025.6%7.3%19.0%9.0%0.0%0.0%3.3%6.3K9.2K-1.7K0.00114.0400452177
2007-12-27$15.99$0.0021.1%6.0%18.1%5.6%0.0%0.0%10.1%6.1K28.8K-1.6K1.00109.842020452177
2007-12-28$15.54$0.0031.2%8.9%20.3%13.3%0.0%0.0%-9.4%5.4K68.9K-1.6K0.00120.2709468197
2007-12-31$16.06$0.0027.7%7.9%23.6%10.6%0.0%0.0%8.0%5.1K84.6K-1.6K0.00115.2150468206