CQP Options History — May 2008

In May 2008, CQP traded between $8.69 and $12.15. ATM implied volatility averaged 75.6%, placing in the 41.4% IV rank vs the trailing year. The 30-day expected move averaged 22.4%. IV traded below realized volatility by 39.4% (HV 20d: 115.1%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.49.

Notable Days

  • 2008-05-29: Highest Volume — 732 contracts
  • 2008-05-09: Largest IV spike — 60.4% change
  • 2008-05-15: Highest IV Rank — 55.8%
  • 2008-05-12: Largest Expected Move — 28.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.75$8.69$12.15$11.40$11.41
Max Pain$17.02$12.50$17.50$12.50$17.50
ATM IV75.6%55.5%97.2%65.2%73.1%
Expected Move22.4%17.9%28.4%18.7%21.0%
HV 20d115.1%100.0%132.3%115.8%100.0%
HV 60d80.9%70.0%89.1%70.1%89.1%
IV Rank41.4%28.0%55.8%34.5%39.7%
IV Percentile83.7%72.6%95.6%75.8%80.6%
Term Structure-4.0%-13.5%20.9%-10.3%-0.7%
VWIV83.0%57.4%136.8%70.8%57.4%
Skew 25d8.6%-8.5%26.9%11.5%14.8%
Skew 10d18.7%-12.7%45.2%22.2%21.9%
Call IV 25d76.3%60.8%94.3%71.4%64.9%
Put IV 25d84.9%66.0%107.0%82.8%79.7%
Bid-Ask Spread %56.2537.7788.2950.4945.21
Gamma HHI0.250.210.300.270.24
Net GEX-3.3K-6.6K-400-4.3K-6.6K
Net DEX893.2K611.3K1.1M916.9K908.6K
Net VEX-3.0K-4.7K-1.9K-3.3K-4.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.006.740.660.50
Total Volume168.9054732760
Total OI3,1142,5794,1302,5854,130

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$11.40$12.5065.2%18.7%115.8%34.5%0.0%11.5%-10.3%-4.3K916.9K-3.3K0.0050.49071,0651,520
2008-05-02$11.20$12.5062.6%17.9%115.6%32.7%70.8%-6.0%20.9%-3.5K1.0M-2.9K0.6688.29100661,0651,520
2008-05-05$10.52$17.5075.6%21.4%115.9%41.4%74.6%-8.5%-12.0%-3.7K1.1M-2.5K4.0859.5712491,0761,576
2008-05-06$11.06$17.5075.4%22.0%117.9%41.3%78.2%-1.3%-10.6%-4.4K1.0M-2.7K0.9067.061091,0681,545
2008-05-07$11.30$17.5068.1%20.6%118.5%36.4%0.0%0.8%-12.7%-3.4K1.0M-2.8K0.0044.500201,0581,549
2008-05-08$11.26$17.5055.5%20.2%118.6%28.0%73.6%2.1%-10.2%-3.6K1.0M-2.7K0.0066.602501,0581,549
2008-05-09$9.85$17.5089.0%23.0%125.6%50.4%94.9%17.8%-8.1%-3.2K982.7K-2.2K6.7480.44624181,0721,507
2008-05-12$8.69$17.5083.1%28.4%130.3%46.4%99.4%12.7%-13.5%-6.3K1.1M-1.9K1.1959.212122521,0631,915
2008-05-13$9.01$17.5071.4%26.2%132.3%38.6%88.0%3.4%-13.5%-4.0K1.0M-2.4K0.0559.2413571,2002,095
2008-05-14$8.90$17.5081.4%25.7%130.6%45.3%136.8%11.1%-12.7%-3.7K1.0M-2.3K0.3843.1429111,2212,079
2008-05-15$8.75$17.5097.2%27.9%117.8%55.8%99.1%6.3%-12.3%-3.6K1.0M-2.2K3.1353.8415471,2352,076
2008-05-16$9.52$17.5085.9%24.6%121.1%48.3%86.3%17.3%-9.7%-5.6K1.0M-2.4K0.4057.40134531,2502,071
2008-05-19$10.65$17.5080.8%23.2%116.9%44.9%76.8%16.4%3.6%-3.3K795.3K-3.0K0.1937.77286551,1901,873
2008-05-20$11.23$17.5079.2%22.7%107.3%43.8%80.4%1.5%9.4%-2.8K725.5K-3.4K0.5842.8681471,3151,906
2008-05-21$12.05$17.5077.5%22.2%106.2%42.7%77.5%0.4%-4.1%-1.6K649.4K-3.5K0.8463.7225211,3461,951
2008-05-22$11.65$17.5072.8%20.9%105.3%39.5%72.3%5.6%0.3%-1.3K711.8K-3.3K0.0946.85115101,3491,969
2008-05-23$12.15$17.5072.5%20.8%106.7%39.3%73.0%6.8%6.9%-1.3K636.4K-3.5K0.0162.519111,3711,979
2008-05-27$12.01$17.5072.4%20.7%106.7%39.2%72.2%22.7%2.2%-902611.3K-3.5K1.9856.571162301,4251,979
2008-05-28$11.48$17.5073.1%20.9%103.9%39.7%0.0%18.4%4.4%-400683.5K-3.7K0.0052.31041,4712,066
2008-05-29$11.59$17.5076.6%22.0%103.9%42.1%57.4%26.9%-2.2%-1.5K713.5K-3.8K5.0543.591216111,4712,170
2008-05-30$11.41$17.5073.1%21.0%100.0%39.7%0.0%14.8%-0.7%-6.6K908.6K-4.7K0.5045.2140201,5842,546