CQP Options History — April 2008

In April 2008, CQP traded between $10.48 and $16.14. ATM implied volatility averaged 55.1%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded below realized volatility by 7.1% (HV 20d: 62.2%). Max pain ranged from $10.00 to $17.50. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 15.86.

Notable Days

  • 2008-04-22: Highest Volume — 645 contracts
  • 2008-04-17: Largest IV spike — 90.1% change
  • 2008-04-21: Highest IV Rank — 64.6%
  • 2008-04-21: Largest Expected Move — 31.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.08$10.48$16.14$15.10$12.35
Max Pain$13.86$10.00$17.50$17.50$12.50
ATM IV55.1%31.4%110.3%32.5%68.8%
Expected Move15.8%9.3%31.6%9.3%19.7%
HV 20d62.2%26.4%113.8%29.5%113.6%
HV 60d42.4%24.8%68.6%24.8%68.4%
IV Rank27.7%11.8%64.6%12.6%36.8%
IV Percentile72.8%50.8%96.4%55.6%79.4%
Term Structure4.5%-13.6%64.5%2.8%-2.1%
VWIV72.9%39.9%151.5%71.9%68.8%
Skew 25d13.1%-15.3%78.3%5.6%20.0%
Skew 10d18.8%-1.9%49.3%8.0%28.8%
Call IV 25d48.0%25.6%87.1%32.9%59.9%
Put IV 25d61.1%29.3%159.4%38.5%79.9%
Bid-Ask Spread %111.4762.64174.69102.8784.19
Gamma HHI0.370.260.740.290.28
Net GEX-2.9K-14.5K4.5K1.5K-5.5K
Net DEX528.6K93.0K1.1M196.8K855.6K
Net VEX-2.6K-4.7K-1.2K-1.2K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio15.860.00170.001.500.23
Total Volume156.5450645527
Total OI1,646.0458512,6058512,560

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-04-01$15.10$17.5032.5%9.3%29.5%12.6%0.0%5.6%2.8%1.5K196.8K-1.2K1.50102.8723587264
2008-04-02$15.21$17.5032.7%9.4%29.7%12.7%0.0%5.5%2.5%2.0K178.3K-1.3K0.00104.3100589267
2008-04-03$15.42$17.5034.3%9.8%30.3%13.8%0.0%6.2%2.0%2.7K156.8K-1.3K0.00105.9400589267
2008-04-04$15.49$15.0032.7%9.7%29.4%12.7%0.0%10.1%-9.8%3.4K119.6K-1.4K0.00151.3300589267
2008-04-07$15.79$15.0057.8%17.1%30.0%29.5%71.9%20.7%-13.6%4.5K93.0K-1.6K3.00174.693090589267
2008-04-08$16.04$15.0031.4%9.8%29.5%11.8%0.0%1.6%2.4%3.9K148.2K-1.7K0.00130.38100619325
2008-04-09$16.14$15.0045.8%10.9%29.1%21.5%39.9%10.8%1.7%4.0K125.2K-1.8K0.00122.3460612325
2008-04-10$15.84$15.0037.8%10.8%29.9%16.1%0.0%-3.0%3.4%3.8K123.9K-1.9K170.00111.361170618325
2008-04-11$15.42$15.0038.3%11.0%31.2%16.4%0.0%-15.3%-3.2%-2.2K339.8K-2.0K0.00114.830282619485
2008-04-14$15.50$15.0032.8%9.4%31.3%12.8%0.0%-6.5%5.0%-8.5K652.5K-2.6K18.75114.678150619732
2008-04-15$15.02$15.0037.2%10.7%26.4%15.7%0.0%3.8%-3.8%-14.5K828.8K-2.5K0.00139.200290622882
2008-04-16$13.82$15.0040.7%11.7%37.8%18.1%54.1%9.9%6.6%-12.8K978.7K-2.7K38.50113.3162316221,052
2008-04-17$11.63$15.0077.4%22.2%70.5%42.6%51.0%-5.6%57.4%-8.4K1.1M-1.8K0.26124.83235606221,201
2008-04-18$12.20$12.5073.3%21.0%73.1%39.9%73.3%12.3%7.8%-5.7K910.8K-3.2K0.08113.98463398191,243
2008-04-21$10.48$12.50110.3%31.6%88.3%64.6%151.5%78.3%64.5%-2.0K769.6K-2.8K1.81139.22841528401,252
2008-04-22$12.02$12.5060.2%17.3%104.1%31.1%73.3%15.1%5.6%-4.8K857.7K-3.1K0.7092.703802658401,252
2008-04-23$13.05$10.0073.4%21.0%109.2%39.9%73.7%16.6%-8.0%-4.2K741.0K-3.8K0.81101.4067541,1151,460
2008-04-24$13.60$10.0067.4%19.3%110.5%35.9%0.0%31.0%1.8%-5.5K551.2K-4.7K0.0088.710611,1161,481
2008-04-25$13.60$10.0073.8%21.1%110.5%40.2%0.0%37.1%-8.2%-5.3K534.6K-4.5K0.0481.4918071,1161,462
2008-04-28$13.60$10.0075.1%21.5%110.5%41.0%0.0%32.1%-5.4%-4.9K590.6K-4.2K0.0077.92001,1421,463
2008-04-29$12.51$12.5079.0%22.7%113.8%43.7%71.7%2.4%-11.3%-5.4K742.2K-4.0K2.2562.6428631,0341,463
2008-04-30$12.35$12.5068.8%19.7%113.6%36.8%68.8%20.0%-2.1%-5.5K855.6K-3.7K0.2384.192251,0451,515