CQP Options History — July 2008

In July 2008, CQP traded between $7.19 and $9.06. ATM implied volatility averaged 78.2%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 23.2%. IV traded above realized volatility by 24.8% (HV 20d: 53.5%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.39.

Notable Days

  • 2008-07-29: Highest Volume — 333 contracts
  • 2008-07-07: Largest IV spike — 42.9% change
  • 2008-07-28: Highest IV Rank — 54.9%
  • 2008-07-28: Largest Expected Move — 27.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.19$7.19$9.06$8.89$7.65
Max Pain$9.55$7.50$12.50$12.50$7.50
ATM IV78.2%51.3%97.1%64.9%82.5%
Expected Move23.2%14.7%27.8%18.6%23.7%
HV 20d53.5%34.3%67.1%34.3%67.1%
HV 60d80.1%70.1%92.3%89.6%70.1%
IV Rank42.0%23.6%54.9%32.9%44.9%
IV Percentile84.1%61.9%96.4%67.9%86.5%
Term Structure-4.9%-21.1%35.7%-1.6%-2.7%
VWIV84.3%67.8%118.8%84.0%71.1%
Skew 25d0.9%-13.8%20.7%1.8%-12.4%
Skew 10d6.8%-26.0%36.3%-4.0%5.1%
Call IV 25d73.3%59.6%85.4%68.7%85.0%
Put IV 25d74.2%65.3%92.2%70.5%72.6%
Bid-Ask Spread %74.4321.97107.1380.5793.01
Gamma HHI0.570.340.730.730.45
Net GEX-5.4K-11.9K-49-9.7K-1.7K
Net DEX1.7M1.3M2.0M2.0M1.3M
Net VEX-3.3K-4.9K-2.0K-4.0K-2.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.008.508.500.00
Total Volume67033319031
Total OI4,232.1823,8504,5254,1093,906

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$8.89$12.5064.9%18.6%34.3%32.9%84.0%1.8%-1.6%-9.7K2.0M-4.0K8.5080.57201701,1732,936
2008-07-02$9.06$12.5064.6%18.5%35.9%32.7%0.0%4.9%-0.6%-11.9K2.0M-4.5K0.0779.86269201,1703,096
2008-07-03$8.69$12.5051.3%14.7%37.1%23.6%0.0%-1.7%35.7%-9.7K1.8M-4.9K0.0079.92001,4093,116
2008-07-07$8.18$7.5073.4%23.8%39.5%38.7%0.0%-13.8%0.9%-5.3K2.0M-3.5K3.00107.1310301,4093,106
2008-07-08$8.87$7.5052.3%21.2%51.6%24.3%78.1%5.5%-0.7%-9.2K1.8M-4.5K3.5768.8814501,3993,076
2008-07-09$8.70$10.0061.6%25.3%50.7%30.6%0.0%3.5%-10.7%-7.9K2.0M-4.0K0.0069.002201,4013,106
2008-07-10$8.45$10.0083.2%23.8%50.8%45.4%81.5%7.4%-6.5%-7.0K1.9M-3.8K0.0076.720301,4133,106
2008-07-11$8.54$10.0086.9%24.9%50.1%47.9%0.0%7.7%-12.8%-7.2K1.9M-3.8K0.0077.53301,4013,083
2008-07-14$8.45$10.0086.8%24.9%50.1%47.8%0.0%0.8%-14.7%-6.4K2.0M-3.5K0.0070.69051,3983,083
2008-07-15$8.03$10.0084.5%24.2%51.6%46.3%0.0%-5.9%-11.1%-5.0K1.9M-3.0K0.0085.410101,3983,078
2008-07-16$8.24$10.0079.8%22.9%53.3%43.1%0.0%6.9%-4.1%-5.0K2.0M-3.0K0.0084.66001,3983,078
2008-07-17$8.50$10.0085.7%24.6%55.5%47.1%88.4%3.7%-10.0%-6.3K2.0M-3.4K0.0049.88601,3983,068
2008-07-18$8.09$10.0081.1%23.3%55.8%44.0%0.0%-7.6%-3.4%-5.1K1.9M-3.1K0.4040.691041,4023,068
2008-07-21$8.47$10.0085.3%24.5%59.5%46.8%84.2%-2.0%-11.5%-7.0K1.5M-3.6K1.1872.6534401,3252,525
2008-07-22$8.30$10.0083.8%24.0%59.4%45.8%85.3%-3.7%-10.9%-5.3K1.5M-3.2K0.0066.732501,3592,515
2008-07-23$7.93$10.0084.5%24.2%57.7%46.2%0.0%4.8%-1.2%-4.2K1.5M-2.8K0.1185.0388101,3632,515
2008-07-24$7.46$10.0079.4%22.8%60.3%42.8%79.4%4.9%-5.9%-2.2K1.5M-2.3K0.8365.5660501,3722,525
2008-07-25$7.19$7.5086.0%24.7%61.0%47.3%88.1%20.7%-14.1%-9691.5M-2.0K0.0089.759601,4222,522
2008-07-28$7.20$7.5097.1%27.8%60.9%54.9%118.8%-5.6%-21.1%-491.5M-2.1K0.0421.972711,5002,522
2008-07-29$7.70$7.5081.2%23.3%66.9%44.0%67.8%13.3%5.1%-8881.4M-2.6K0.9792.571691641,5272,522
2008-07-30$7.50$7.5085.3%24.4%67.0%46.8%85.3%-12.7%-6.7%-1.1K1.4M-2.6K5.0079.15151,4762,443
2008-07-31$7.65$7.5082.5%23.7%67.1%44.9%71.1%-12.4%-2.7%-1.7K1.3M-2.8K0.0093.013101,4682,438