CQP Options History — December 2009

In December 2009, CQP traded between $10.26 and $12.91. ATM implied volatility averaged 39.2%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 10.9% (HV 20d: 50.1%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.93.

Notable Days

  • 2009-12-22: Highest Volume — 1,258 contracts
  • 2009-12-03: Largest IV spike — 45.0% change
  • 2009-12-18: Highest IV Rank — 25.8%
  • 2009-12-18: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.34$10.26$12.91$11.26$12.91
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV39.2%27.6%54.6%30.6%35.0%
Expected Move11.7%7.9%15.7%8.8%10.0%
HV 20d50.1%43.0%59.1%52.5%53.1%
HV 60d54.5%51.5%57.2%55.8%56.4%
IV Rank10.8%0.0%25.8%2.3%7.1%
IV Percentile17.3%0.0%46.8%1.2%8.7%
Term Structure4.3%-23.6%14.0%8.1%6.8%
VWIV41.2%30.1%83.2%33.4%35.1%
Skew 25d5.4%-7.0%14.3%3.2%5.0%
Skew 10d9.6%-6.9%31.4%-3.2%4.4%
Call IV 25d39.6%34.1%44.9%44.8%40.6%
Put IV 25d45.1%35.2%54.3%48.0%45.6%
Bid-Ask Spread %44.0322.0185.9685.9636.94
Gamma HHI0.480.370.610.580.43
Net GEX17.1K6.7K31.4K21.4K31.4K
Net DEX-505.2K-1.2M-213.5K-548.3K-1.2M
Net VEX-4.9K-8.2K-3.6K-4.2K-8.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.005.620.490.21
Total Volume293.227101,258194519
Total OI3,490.1362,4284,7292,9764,729

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-12-01$11.26$10.0030.6%8.8%52.5%2.3%33.4%3.2%8.1%21.4K-548.3K-4.2K0.4985.96130642,088888
2009-12-02$11.30$10.0028.8%8.3%50.6%0.6%30.5%10.7%10.6%22.9K-527.6K-4.3K0.3747.7859222,158940
2009-12-03$10.80$10.0041.8%12.0%52.0%13.0%39.9%12.5%12.6%17.2K-370.1K-4.1K0.3033.44116352,187962
2009-12-04$10.85$10.0046.6%14.1%48.0%17.5%0.0%14.3%2.4%16.4K-347.6K-4.1K1.2536.1620252,233984
2009-12-07$10.55$10.0042.4%14.9%44.1%13.5%44.0%10.8%-0.5%13.8K-303.9K-3.8K0.0049.213402,253984
2009-12-08$10.85$10.0035.9%14.2%44.1%7.5%48.9%3.0%4.4%11.2K-298.5K-3.8K0.3052.88111332,273984
2009-12-09$10.71$10.0038.4%13.9%44.0%10.0%0.0%11.9%3.9%10.5K-317.4K-3.6K1.2043.5310122,257989
2009-12-10$10.70$10.0044.2%12.7%43.8%15.6%44.4%7.9%6.5%9.0K-278.4K-3.6K0.3422.0129102,267999
2009-12-11$10.82$10.0046.2%13.2%43.0%17.5%46.5%4.7%4.7%10.0K-339.1K-3.8K2.5032.546152,2671,009
2009-12-14$10.91$10.0047.5%13.6%43.2%18.8%46.6%2.8%5.6%12.1K-358.2K-3.7K0.1148.67912,2671,014
2009-12-15$11.40$10.0034.5%9.9%46.4%6.1%39.9%8.2%3.9%23.1K-502.9K-4.0K0.0258.6422852,2701,015
2009-12-16$11.37$10.0034.2%9.8%46.3%5.8%39.4%5.6%3.8%24.9K-548.4K-4.2K0.4371.28732,4031,013
2009-12-17$11.00$10.0043.3%12.4%46.9%14.8%30.1%-1.3%6.2%14.2K-413.2K-3.9K0.1435.45240332,4501,016
2009-12-18$10.26$10.0054.6%15.7%51.9%25.8%83.2%-7.0%-23.6%9.3K-369.1K-3.9K0.0168.1920722,4751,026
2009-12-21$10.85$10.0045.5%13.0%56.4%16.8%0.0%5.1%0.3%15.4K-213.5K-3.9K4.0038.945201,790638
2009-12-22$11.07$10.0040.2%11.5%55.4%11.7%0.0%2.4%14.0%16.4K-248.9K-4.1K5.6252.561901,0681,795658
2009-12-23$11.75$10.0027.6%7.9%58.7%0.0%32.6%4.9%6.0%6.7K-366.0K-6.3K0.7725.472401851,9711,705
2009-12-24$12.20$10.0036.6%10.5%57.6%8.7%36.6%4.7%4.9%14.5K-607.5K-7.2K1.3441.022683602,2091,876
2009-12-28$12.67$10.0036.4%10.4%59.1%8.5%36.5%4.5%5.8%22.7K-950.4K-8.0K0.1124.67848912,3882,136
2009-12-29$12.60$10.0037.4%10.7%53.0%9.5%38.4%3.2%2.2%24.5K-945.8K-8.0K0.6838.134252882,4352,133
2009-12-30$12.76$10.0034.9%10.0%53.1%7.0%34.9%2.8%6.2%29.2K-1.1M-8.2K0.3525.183541242,5322,117
2009-12-31$12.91$10.0035.0%10.0%53.1%7.1%35.1%5.0%6.8%31.4K-1.2M-8.2K0.2136.94429902,5372,192