CQP Options History — June 2010

In June 2010, CQP traded between $15.35 and $17.55. ATM implied volatility averaged 47.5%, placing in the 48.7% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 12.6% (HV 20d: 60.0%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.70.

Notable Days

  • 2010-06-21: Highest Volume — 1,027 contracts
  • 2010-06-11: Largest IV drop — 14.5% change
  • 2010-06-09: Highest IV Rank — 68.4%
  • 2010-06-10: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.52$15.35$17.55$15.95$17.06
Max Pain$15.91$15.00$17.50$17.50$15.00
ATM IV47.5%39.5%57.3%52.6%43.6%
Expected Move13.6%11.3%16.1%15.1%12.5%
HV 20d60.0%32.3%96.4%96.4%38.6%
HV 60d63.7%62.3%65.1%62.4%65.1%
IV Rank48.7%32.6%68.4%59.0%41.0%
IV Percentile69.0%40.1%94.0%84.9%60.7%
Term Structure1.0%-2.5%5.6%1.6%1.5%
VWIV43.8%31.7%59.6%31.7%40.8%
Skew 25d8.6%3.5%16.6%4.3%10.8%
Skew 10d18.8%-8.6%34.6%5.2%18.4%
Call IV 25d43.1%31.5%51.1%49.4%37.0%
Put IV 25d51.7%35.2%61.0%53.7%47.8%
Bid-Ask Spread %39.4420.2668.9538.6026.46
Gamma HHI0.510.390.820.410.47
Net GEX89.1K-740332.7K7.3K105.6K
Net DEX-1.4M-2.9M278.3K-243.1K-2.7M
Net VEX-16.7K-19.9K-14.2K-14.8K-19.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.003.222.360.00
Total Volume347.818311,02774103
Total OI9,100.6826,57111,0249,4778,157

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$15.95$17.5052.6%15.1%96.4%59.0%31.7%4.3%1.6%7.3K-243.1K-14.8K2.3638.6022524,9204,557
2010-06-02$15.85$17.5052.7%15.1%95.8%59.2%45.4%5.8%-0.2%19.1K-214.0K-15.1K0.0041.904904,9284,555
2010-06-03$16.25$17.5054.3%15.6%94.3%62.3%42.1%11.1%0.1%46.4K-857.0K-15.8K0.0245.03557104,9734,555
2010-06-04$15.47$15.0055.1%15.5%81.4%63.9%59.6%11.5%-1.6%17.3K-80.6K-15.6K0.6236.6195595,3534,565
2010-06-07$15.40$15.0056.6%15.8%71.2%66.9%38.6%8.3%-1.3%3.0K185.5K-14.5K3.2223.9427875,2894,585
2010-06-08$15.35$15.0055.9%16.1%65.4%65.6%51.4%9.8%-2.5%-740278.3K-14.2K0.1620.99291475,2864,597
2010-06-09$15.55$15.0057.3%15.8%65.3%68.4%54.5%8.4%-2.0%8.0K14.2K-14.3K0.2620.26229605,1944,611
2010-06-10$16.07$15.0056.0%16.1%66.5%65.8%46.5%14.9%-1.8%39.9K-559.0K-14.9K0.0625.8412485,2464,617
2010-06-11$16.35$15.0047.9%13.7%66.9%49.6%48.6%6.6%0.8%70.2K-977.7K-15.2K0.0930.02505455,2754,615
2010-06-14$16.50$15.0049.5%14.2%67.1%52.7%48.5%3.5%-0.9%98.1K-1.2M-15.3K0.3023.946231875,5694,633
2010-06-15$16.99$15.0045.3%13.0%67.2%44.3%45.2%7.1%1.5%191.0K-2.1M-16.8K2.5342.78892255,9424,685
2010-06-16$17.10$15.0045.6%13.1%66.9%44.9%45.7%4.3%0.1%210.5K-2.4M-17.0K0.4655.682771276,0154,623
2010-06-17$17.05$15.0043.5%12.5%63.8%40.6%43.5%5.5%2.5%225.3K-2.0M-17.4K0.8728.502592265,9974,716
2010-06-18$17.15$15.0041.8%12.0%49.4%37.2%39.8%3.7%2.0%332.7K-2.0M-18.2K0.3341.48283946,2224,802
2010-06-21$17.20$15.0040.9%11.7%40.5%35.5%42.2%16.6%4.1%66.0K-2.2M-17.2K0.2935.587942334,0932,478
2010-06-22$17.03$17.5040.0%11.5%40.7%33.7%40.1%5.1%3.9%75.5K-2.2M-17.9K0.5142.27143734,4762,587
2010-06-23$17.05$17.5041.0%11.7%39.9%35.6%40.2%10.6%2.3%79.2K-2.2M-17.9K0.8245.8517144,5992,600
2010-06-24$17.00$17.5039.5%11.3%38.0%32.6%39.4%14.4%3.8%80.2K-2.1M-18.2K0.0741.66273204,6042,614
2010-06-25$16.60$17.5041.2%11.8%32.3%36.0%36.8%12.0%2.3%73.1K-1.8M-18.0K0.0568.95525254,6412,634
2010-06-28$17.55$17.5039.9%11.4%34.7%33.4%38.9%3.7%5.6%111.4K-2.9M-19.2K0.0965.51549525,0432,657
2010-06-29$16.81$15.0044.3%12.7%38.5%42.3%44.3%11.3%1.1%100.1K-2.4M-19.5K2.2265.78541205,4152,692
2010-06-30$17.06$15.0043.6%12.5%38.6%41.0%40.8%10.8%1.5%105.6K-2.7M-19.9K0.0026.4610305,4372,720