CQP Options History — September 2010

In September 2010, CQP traded between $17.22 and $18.68. ATM implied volatility averaged 31.2%, placing in the 16.0% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 11.3% (HV 20d: 19.9%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2010-09-13: Highest Volume — 778 contracts
  • 2010-09-09: Largest IV spike — 23.8% change
  • 2010-09-09: Highest IV Rank — 28.0%
  • 2010-09-08: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.00$17.22$18.68$17.22$18.68
Max Pain$17.81$17.00$18.00$17.50$18.00
ATM IV31.2%23.5%37.2%36.2%23.5%
Expected Move9.1%6.7%10.8%10.4%6.7%
HV 20d19.9%13.6%22.5%20.0%21.3%
HV 60d31.1%25.0%33.1%32.7%25.0%
IV Rank16.0%0.5%28.0%25.9%0.5%
IV Percentile11.4%0.4%33.3%27.8%0.4%
Term Structure4.1%-0.7%9.0%4.7%9.0%
VWIV31.8%24.2%40.6%35.8%24.2%
Skew 25d8.1%4.0%12.2%10.9%8.9%
Skew 10d17.7%6.1%25.0%24.3%16.7%
Call IV 25d28.2%21.0%35.3%28.3%21.0%
Put IV 25d36.3%29.9%41.9%39.2%29.9%
Bid-Ask Spread %50.2025.9867.4239.4525.98
Gamma HHI0.280.210.380.270.30
Net GEX165.2K108.8K236.3K120.3K192.8K
Net DEX-3.4M-5.2M-1.8M-1.9M-4.0M
Net VEX-23.3K-25.2K-22.2K-23.6K-24.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.021.760.410.12
Total Volume302.816477893357
Total OI10,5478,51912,32210,8469,966

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-09-01$17.22$17.5036.2%10.4%20.0%25.9%35.8%10.9%4.7%120.3K-1.9M-23.6K0.4139.4566276,6554,191
2010-09-02$17.23$17.5034.7%10.0%19.7%23.1%40.6%11.8%4.2%126.9K-1.8M-22.9K1.1237.6859666,6964,196
2010-09-03$17.33$18.0032.1%10.7%18.2%17.8%34.5%6.3%-0.7%147.4K-2.1M-23.1K0.4230.35109466,7304,203
2010-09-07$17.54$18.0034.7%9.8%18.2%23.1%34.9%6.2%4.1%174.7K-2.5M-22.4K0.0931.30375346,7674,214
2010-09-08$17.43$18.0030.1%10.8%17.0%13.7%35.9%7.2%0.9%198.4K-2.4M-22.9K0.3332.59112377,0554,230
2010-09-09$17.40$17.0037.2%10.7%13.6%28.0%37.1%5.7%0.1%187.9K-2.5M-22.6K1.7643.541001767,1184,243
2010-09-10$17.62$17.0034.6%9.9%14.0%22.8%34.9%9.1%3.7%228.4K-3.0M-23.1K0.4437.40214947,1634,374
2010-09-13$18.37$17.0033.3%9.5%20.0%20.1%31.6%6.1%1.2%199.1K-4.9M-23.1K0.4326.145452337,2654,408
2010-09-14$18.14$18.0031.3%9.0%20.3%16.1%31.1%7.8%5.4%209.4K-4.7M-23.3K0.5762.98160927,5294,544
2010-09-15$18.00$18.0031.6%9.0%20.2%16.7%32.9%8.0%5.0%221.8K-4.7M-22.8K0.7160.842621857,5674,599
2010-09-16$17.95$18.0031.5%9.0%19.9%16.6%31.4%9.3%5.3%236.3K-4.5M-23.3K0.1363.92265357,5964,721
2010-09-17$18.49$18.0029.9%8.6%21.8%13.4%29.7%11.1%2.7%173.2K-5.2M-23.5K0.0764.66433307,5794,743
2010-09-20$18.41$18.0031.3%9.0%21.9%16.3%29.1%12.2%3.7%113.9K-3.4M-23.1K0.3261.763841225,4923,027
2010-09-21$18.25$18.0028.7%8.2%22.1%10.9%29.8%8.1%6.2%123.3K-3.3M-22.2K0.8861.1474655,7543,139
2010-09-22$18.09$18.0029.7%8.5%22.5%12.9%29.8%4.5%4.9%108.8K-2.8M-23.6K0.6460.332011285,8173,194
2010-09-23$18.05$18.0029.0%8.3%21.3%11.5%28.9%6.4%5.3%111.5K-3.0M-23.9K0.6260.8847295,8333,285
2010-09-24$18.31$18.0028.8%8.3%21.6%11.3%29.5%4.0%6.1%137.9K-3.3M-22.9K0.5759.77123705,8473,312
2010-09-27$18.35$18.0030.8%8.8%21.6%15.1%29.8%8.1%5.3%134.6K-3.4M-23.6K0.4962.3143215,9223,332
2010-09-28$18.46$18.0029.3%8.4%21.5%12.3%27.6%9.3%5.1%153.3K-3.6M-23.5K0.7963.724273385,9343,343
2010-09-29$18.64$18.0026.9%7.7%21.3%7.3%28.2%9.6%3.5%168.7K-3.8M-25.2K0.0267.4217146,2663,638
2010-09-30$18.68$18.0023.5%6.7%21.3%0.5%24.2%8.9%9.0%192.8K-4.0M-24.7K0.1225.98318396,3263,640