CQP Options History — March 2010

In March 2010, CQP traded between $14.90 and $16.38. ATM implied volatility averaged 33.7%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 8.6% (HV 20d: 25.1%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.44.

Notable Days

  • 2010-03-11: Highest Volume — 1,389 contracts
  • 2010-03-24: Largest IV spike — 29.6% change
  • 2010-03-02: Highest IV Rank — 16.9%
  • 2010-03-02: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.40$14.90$16.38$14.90$16.38
Max Pain$14.89$12.50$15.00$15.00$15.00
ATM IV33.7%25.4%39.4%38.3%25.4%
Expected Move9.8%7.3%11.3%11.0%7.3%
HV 20d25.1%18.1%37.3%36.9%19.7%
HV 60d44.8%39.4%49.0%48.9%39.4%
IV Rank9.8%0.0%16.9%15.5%0.0%
IV Percentile10.7%0.0%24.6%21.0%0.0%
Term Structure4.5%-2.5%18.7%0.1%0.6%
VWIV33.7%21.1%43.3%38.4%30.0%
Skew 25d17.4%-0.5%74.2%16.8%11.4%
Skew 10d37.0%-0.7%125.0%27.1%22.8%
Call IV 25d33.3%27.1%37.7%32.0%30.1%
Put IV 25d50.7%31.5%106.4%48.7%41.5%
Bid-Ask Spread %25.4310.6546.3713.2035.50
Gamma HHI0.630.390.960.560.43
Net GEX172.8K46.1K1.2M119.2K56.8K
Net DEX-4.2M-5.9M-2.7M-5.1M-3.6M
Net VEX-13.6K-18.2K-11.0K-18.2K-13.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.001.420.720.17
Total Volume413.522601,3891,304261
Total OI8,482.0875,91510,47010,4706,519

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-03-01$14.90$15.0038.3%11.0%36.9%15.5%38.4%16.8%0.1%119.2K-5.1M-18.2K0.7213.207575476,6813,789
2010-03-02$15.27$15.0039.4%11.3%37.3%16.9%39.4%58.0%-2.5%130.6K-5.6M-15.3K0.6917.842231546,4293,581
2010-03-03$15.45$15.0036.0%10.3%32.8%12.6%28.6%41.6%2.5%127.6K-5.9M-15.1K1.2615.46951206,3093,582
2010-03-04$15.18$15.0037.3%10.7%33.0%14.2%37.3%51.5%0.7%127.4K-5.4M-15.7K0.2512.984801226,3913,663
2010-03-05$15.29$12.5029.0%10.0%31.6%3.6%34.8%45.6%4.8%237.5K-5.2M-13.2K0.2444.439992436,0923,699
2010-03-08$15.00$15.0036.9%10.9%32.5%13.7%43.3%6.0%2.0%119.9K-4.2M-14.4K0.3445.7368235,7683,847
2010-03-09$15.00$15.0034.8%10.6%30.9%11.1%37.1%6.6%2.6%130.5K-4.1M-14.4K0.0046.376005,7313,865
2010-03-10$15.03$15.0032.6%10.2%27.0%8.3%35.6%6.5%2.8%143.7K-4.2M-14.0K1.2045.68881065,7673,865
2010-03-11$15.10$15.0036.5%10.5%25.4%13.2%31.9%-0.5%3.8%162.0K-4.3M-14.2K0.0135.671,379105,7883,836
2010-03-12$15.06$15.0035.8%10.3%24.3%12.3%35.7%74.2%3.3%184.6K-3.8M-13.9K0.3832.77177685,5403,838
2010-03-15$15.28$15.0035.3%10.1%24.0%11.7%35.3%7.9%3.5%271.0K-4.6M-13.0K0.2616.83131345,6223,858
2010-03-16$15.25$15.0034.5%9.9%22.7%10.7%34.5%4.7%3.2%232.5K-4.5M-13.0K0.3916.172661035,5953,870
2010-03-17$15.20$15.0033.8%9.7%21.4%9.9%33.8%4.4%2.6%195.6K-4.2M-12.2K0.1116.49433495,5723,902
2010-03-18$15.19$15.0032.3%9.3%18.1%7.9%32.3%6.5%5.5%219.4K-4.2M-13.1K0.5417.7179435,5303,951
2010-03-19$15.02$15.0034.1%9.8%18.6%10.1%34.0%5.6%2.9%1.2M-3.8M-13.0K0.1317.48289375,4913,971
2010-03-22$15.31$15.0032.6%9.4%19.2%8.3%32.6%7.4%3.1%46.1K-3.1M-12.4K0.4210.653311403,9811,934
2010-03-23$15.67$15.0029.0%8.3%20.5%3.7%29.0%8.6%9.3%51.6K-3.5M-12.8K0.1118.67109124,1772,071
2010-03-24$15.90$15.0037.6%10.8%20.8%14.9%41.0%5.7%15.1%48.7K-3.7M-11.0K0.2717.16208574,2052,075
2010-03-25$15.86$15.0032.7%9.4%20.9%8.6%32.7%7.0%6.3%50.7K-3.7M-12.2K0.7021.342171524,1822,112
2010-03-26$15.68$15.0031.0%8.9%20.1%7.2%31.1%7.1%6.8%50.4K-2.7M-12.6K1.4228.88851213,7242,222
2010-03-29$15.90$15.0032.3%9.3%20.2%9.1%25.3%9.0%6.5%47.6K-2.9M-12.6K0.2624.03313813,7822,341
2010-03-30$16.24$15.0027.9%8.0%19.8%2.6%21.1%9.3%18.7%54.3K-3.3M-13.5K0.1533.90209323,9502,390
2010-03-31$16.38$15.0025.4%7.3%19.7%0.0%30.0%11.4%0.6%56.8K-3.6M-13.7K0.1735.50223384,1002,419