CQP Options History — October 2010

In October 2010, CQP traded between $18.84 and $20.74. ATM implied volatility averaged 27.7%, placing in the 15.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 8.0% (HV 20d: 19.8%). Max pain ranged from $18.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.87.

Notable Days

  • 2010-10-27: Highest Volume — 9,674 contracts
  • 2010-10-14: Largest IV spike — 49.3% change
  • 2010-10-28: Highest IV Rank — 34.0%
  • 2010-10-28: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.96$18.84$20.74$18.99$19.18
Max Pain$19.19$18.00$21.00$18.00$21.00
ATM IV27.7%19.6%35.8%23.2%31.4%
Expected Move8.9%6.7%10.3%6.7%9.0%
HV 20d19.8%15.9%24.3%21.7%24.3%
HV 60d23.5%20.4%25.4%25.1%22.0%
IV Rank15.1%0.0%34.0%0.0%24.8%
IV Percentile11.0%0.0%35.7%0.0%17.9%
Term Structure0.8%-4.2%9.5%9.5%-0.0%
VWIV32.3%21.6%40.2%21.6%30.6%
Skew 25d9.4%2.0%13.8%11.6%2.0%
Skew 10d18.7%5.2%31.1%24.6%15.7%
Call IV 25d26.3%17.5%33.3%17.5%33.3%
Put IV 25d35.7%29.1%39.5%29.1%35.3%
Bid-Ask Spread %58.4921.0478.8921.0474.37
Gamma HHI0.420.330.480.340.39
Net GEX166.3K88.3K225.1K222.1K102.4K
Net DEX-4.8M-6.2M-191.8K-4.7M-191.8K
Net VEX-26.2K-30.3K-23.2K-23.3K-28.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.082.980.621.46
Total Volume959.6191219,674398847
Total OI10,371.2389,52311,33010,00211,326

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-10-01$18.99$18.0023.2%6.7%21.7%0.0%21.6%11.6%9.5%222.1K-4.7M-23.3K0.6221.042451536,3533,649
2010-10-04$18.84$18.0026.0%9.5%22.1%5.6%33.6%10.1%-0.7%200.4K-4.3M-25.2K0.5122.3780416,3623,683
2010-10-05$19.24$18.0024.4%9.1%22.8%2.4%31.8%12.9%-0.6%225.1K-5.3M-23.2K0.6229.401631016,3323,694
2010-10-06$19.61$18.0022.5%8.4%22.9%0.0%32.6%10.3%1.9%215.4K-5.8M-24.9K0.2338.05337796,2863,742
2010-10-07$19.45$18.0025.4%9.7%23.3%5.7%31.7%10.0%-0.3%205.6K-5.7M-24.0K0.7128.412261616,3563,801
2010-10-08$19.55$18.0019.6%8.8%23.2%0.0%32.6%8.8%1.4%209.3K-5.8M-24.1K1.7023.232554336,3673,851
2010-10-11$19.88$19.0022.9%9.2%19.4%6.1%33.2%6.0%0.5%188.3K-5.9M-24.9K0.6062.058645176,2594,223
2010-10-12$20.18$19.0019.7%8.6%18.7%0.1%31.2%9.8%2.0%161.4K-5.9M-26.1K0.2150.84248536,2234,538
2010-10-13$20.40$19.0021.2%8.8%18.1%2.9%31.7%10.2%0.8%153.8K-6.2M-25.8K1.4363.984185966,2594,574
2010-10-14$20.50$19.0031.6%9.1%17.8%22.4%33.5%6.0%0.5%100.0K-6.1M-25.8K0.1971.175931156,1694,863
2010-10-15$20.37$19.0032.6%9.3%16.2%24.3%30.4%13.8%0.5%104.6K-5.6M-28.1K0.6275.252521566,1424,880
2010-10-18$20.74$19.0029.4%8.4%16.4%20.6%32.7%7.7%-0.2%159.2K-6.0M-24.9K1.6074.871492395,8213,702
2010-10-19$20.50$19.0032.5%9.3%16.8%27.0%33.1%13.0%0.8%147.9K-5.1M-27.0K0.5778.092061185,7993,863
2010-10-20$20.57$20.0029.6%8.5%15.9%20.9%35.4%11.7%1.3%148.7K-5.3M-26.2K0.1872.34251465,8523,917
2010-10-21$20.53$20.0028.8%8.3%15.9%19.3%32.0%11.2%3.2%153.1K-5.2M-27.8K0.0878.42201165,8793,936
2010-10-22$20.10$20.0029.4%8.4%18.4%20.7%32.0%7.7%2.8%167.5K-4.3M-26.1K2.9878.89441315,9693,948
2010-10-25$20.43$20.0029.5%8.5%18.8%20.8%32.1%6.1%1.4%177.1K-4.8M-26.0K0.4971.617223515,9964,046
2010-10-26$20.45$20.0032.5%9.3%18.9%27.2%40.2%8.1%-1.5%182.2K-4.8M-28.3K0.3962.753531376,6384,222
2010-10-27$20.18$20.0034.5%9.9%19.9%31.4%34.0%9.3%-4.2%180.4K-3.8M-28.7K0.1375.018,5861,0886,6294,317
2010-10-28$19.50$21.0035.8%10.3%24.1%34.0%31.6%11.6%-1.4%88.3K-773.5K-30.3K2.9876.161464356,1055,225
2010-10-29$19.18$21.0031.4%9.0%24.3%24.8%30.6%2.0%-0.0%102.4K-191.8K-28.6K1.4674.373445036,1975,129