CQP Options History — April 2010

In April 2010, CQP traded between $16.80 and $19.10. ATM implied volatility averaged 35.4%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 2.7% (HV 20d: 38.1%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2010-04-28: Highest Volume — 40,027 contracts
  • 2010-04-14: Largest IV spike — 47.2% change
  • 2010-04-14: Highest IV Rank — 48.8%
  • 2010-04-29: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.99$16.80$19.10$16.80$17.82
Max Pain$16.79$15.00$20.00$15.00$20.00
ATM IV35.4%23.2%57.5%23.2%39.8%
Expected Move10.1%6.7%11.8%6.7%11.4%
HV 20d38.1%17.5%47.7%19.6%47.7%
HV 60d39.5%34.4%42.5%39.1%34.8%
IV Rank17.4%0.0%48.8%0.0%23.6%
IV Percentile25.0%0.0%81.3%0.0%42.9%
Term Structure1.1%-1.6%6.8%6.8%0.6%
VWIV38.2%22.7%81.1%22.7%32.1%
Skew 25d7.7%5.9%10.3%6.8%7.9%
Skew 10d23.2%13.0%46.6%13.2%25.1%
Call IV 25d33.8%30.5%37.7%33.2%37.7%
Put IV 25d41.6%38.8%45.6%39.9%45.6%
Bid-Ask Spread %28.8616.1544.2236.1716.15
Gamma HHI0.430.300.620.510.35
Net GEX37.2K-45.9K89.1K72.7K-45.9K
Net DEX-3.9M-5.4M295.4K-4.1M295.4K
Net VEX-15.4K-19.2K-13.2K-13.5K-18.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.012.900.390.93
Total Volume2,572.61912340,027197549
Total OI8,225.1436,7109,5296,7108,329

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$16.80$15.0023.2%6.7%19.6%0.0%22.7%6.8%6.8%72.7K-4.1M-13.5K0.3936.17142554,2862,424
2010-04-05$17.00$15.0024.1%9.3%19.7%1.3%48.0%8.4%1.7%78.6K-4.3M-13.4K1.0419.483793964,3342,401
2010-04-06$17.14$15.0027.9%9.3%17.5%6.6%38.3%6.1%2.3%79.7K-4.3M-14.3K0.3429.203471184,4292,731
2010-04-07$17.61$15.0026.7%9.6%18.7%4.9%35.2%6.3%0.8%89.1K-4.6M-14.1K0.4321.574942114,3642,737
2010-04-08$17.99$15.0025.7%9.6%19.2%3.5%37.3%9.5%1.1%85.4K-5.1M-14.2K0.6440.023182034,3642,737
2010-04-09$18.62$15.0033.2%10.1%21.1%14.2%32.0%7.3%0.6%62.8K-5.4M-13.2K0.6337.404602914,2512,926
2010-04-12$16.90$15.0042.4%9.9%43.5%27.3%38.9%8.6%3.0%65.0K-3.3M-14.4K0.6922.171,9991,3714,3513,047
2010-04-13$17.45$15.0039.1%10.1%44.4%22.5%35.2%7.6%-0.6%58.0K-4.1M-15.3K2.0737.274098454,8763,447
2010-04-14$18.00$17.5057.5%10.4%45.1%48.8%35.4%6.6%0.6%43.1K-4.7M-14.6K0.0140.9631425,1364,195
2010-04-15$17.99$17.5037.2%10.7%45.0%19.9%30.7%5.9%-1.6%43.6K-5.1M-16.7K0.8141.5568555,3124,162
2010-04-16$17.92$17.5037.3%10.7%45.1%20.0%37.3%8.2%-0.7%51.7K-4.8M-15.4K0.3644.22261955,3104,192
2010-04-19$17.60$17.5034.6%9.9%45.6%16.2%26.9%7.5%1.2%17.4K-2.9M-16.5K0.4530.463311484,4933,660
2010-04-20$18.05$17.5035.8%10.3%45.8%17.8%36.7%7.8%0.8%22.7K-4.1M-14.9K0.9126.671621474,6353,626
2010-04-21$18.40$17.5036.5%10.5%45.7%18.9%36.0%6.3%-0.1%24.0K-4.5M-14.8K1.5427.971652544,6503,740
2010-04-22$18.68$17.5036.2%10.4%45.7%18.4%42.1%7.8%-1.5%23.7K-4.5M-15.2K0.4818.103991934,6813,910
2010-04-23$19.10$17.5033.8%9.7%45.8%15.0%36.8%8.6%2.3%17.5K-5.0M-15.1K0.7120.118936334,7334,064
2010-04-26$19.07$17.5035.5%10.2%45.3%17.4%38.0%6.8%2.2%13.3K-4.8M-16.1K2.9018.681233574,7954,389
2010-04-27$18.76$17.5037.1%10.6%46.2%19.8%41.7%9.3%1.1%3.7K-3.8M-17.3K0.6426.201851184,7244,634
2010-04-28$18.58$17.5039.6%11.4%46.4%23.4%81.1%10.3%2.2%2.0K-3.5M-19.2K0.0126.3839,7073204,8324,697
2010-04-29$18.30$20.0041.2%11.8%47.0%25.5%39.4%8.8%0.6%-27.3K-411.7K-17.9K0.3525.313771313,2404,884
2010-04-30$17.82$20.0039.8%11.4%47.7%23.6%32.1%7.9%0.6%-45.9K295.4K-18.1K0.9316.152842653,3374,992