CQP Options History — November 2010

In November 2010, CQP traded between $18.69 and $20.03. ATM implied volatility averaged 31.3%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 6.4% (HV 20d: 24.8%). Max pain ranged from $19.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2010-11-02: Highest Volume — 1,453 contracts
  • 2010-11-04: Largest IV spike — 45.0% change
  • 2010-11-10: Highest IV Rank — 61.0%
  • 2010-11-17: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.44$18.69$20.03$18.96$19.93
Max Pain$19.33$19.00$21.00$21.00$19.00
ATM IV31.3%23.6%45.3%31.3%29.4%
Expected Move9.0%6.8%10.0%9.0%8.4%
HV 20d24.8%20.1%27.7%24.5%20.1%
HV 60d22.0%20.6%22.6%21.7%22.1%
IV Rank27.4%9.6%61.0%24.5%23.3%
IV Percentile21.9%3.2%84.1%17.1%15.5%
Term Structure4.6%-0.9%8.7%3.6%3.4%
VWIV31.4%26.3%36.3%29.4%26.3%
Skew 25d9.7%2.9%17.4%8.2%11.3%
Skew 10d12.4%-6.8%22.7%19.2%13.4%
Call IV 25d26.8%16.2%33.3%30.9%22.0%
Put IV 25d36.4%29.9%41.0%39.1%33.3%
Bid-Ask Spread %87.1474.53100.9774.5391.75
Gamma HHI0.410.320.550.350.55
Net GEX195.0K96.1K332.0K102.6K332.0K
Net DEX-2.5M-5.4M650.7K-302.2K-4.8M
Net VEX-35.9K-41.2K-28.3K-29.3K-36.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.016.140.960.40
Total Volume433.0951031,453417230
Total OI13,536.28611,52514,82011,52513,791

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$18.96$21.0031.3%9.0%24.5%24.5%29.4%8.2%3.6%102.6K-302.2K-29.3K0.9674.532132046,4615,064
2010-11-02$18.72$21.0032.8%9.4%23.6%27.8%32.8%6.7%-0.2%96.1K359.4K-28.3K0.1279.301,2951586,5455,136
2010-11-03$18.95$21.0023.6%6.8%23.0%9.6%30.5%2.9%7.2%129.8K-376.4K-32.3K2.70100.971875047,0415,184
2010-11-04$18.86$20.0034.3%9.8%22.9%34.8%27.2%5.9%-0.9%127.7K228.0K-31.9K1.3390.631752337,1455,407
2010-11-05$18.69$19.0025.4%9.7%22.9%13.7%35.9%3.0%3.3%106.7K650.7K-31.6K0.2283.61247557,2485,575
2010-11-08$19.55$19.0025.1%8.8%27.7%13.1%31.7%14.2%5.7%184.5K-2.2M-32.6K0.5988.395883477,3735,599
2010-11-09$19.31$19.0034.8%9.8%27.3%36.0%32.7%7.2%4.7%166.0K-1.9M-36.2K0.1584.528301277,8695,870
2010-11-10$19.21$19.0045.3%9.9%26.9%61.0%29.2%6.3%5.2%174.4K-2.0M-37.8K1.9780.091512988,2625,902
2010-11-11$19.45$19.0034.0%9.8%27.3%34.3%33.5%14.0%6.7%194.4K-2.4M-40.0K0.4889.93105508,2405,964
2010-11-12$19.58$19.0031.4%9.0%27.5%28.0%34.2%5.4%6.2%202.5K-2.9M-39.9K6.1489.78804918,3185,996
2010-11-15$19.66$19.0032.6%9.3%26.6%30.8%32.9%13.8%7.6%188.3K-3.2M-41.2K0.2986.83158468,3186,342
2010-11-16$19.65$19.0031.4%9.0%26.3%27.9%36.3%7.3%5.9%180.0K-2.8M-38.8K0.3285.163301078,1896,352
2010-11-17$19.47$19.0035.0%10.0%26.4%36.6%33.1%7.2%6.3%159.0K-2.3M-39.9K0.2284.24128288,3166,419
2010-11-18$19.58$19.0032.3%9.3%26.5%30.1%32.8%12.5%8.7%186.5K-2.6M-39.5K0.2290.18191428,3286,439
2010-11-19$19.54$19.0032.2%9.2%25.6%30.0%32.6%11.7%5.6%190.2K-2.4M-38.9K0.6989.00108758,3746,446
2010-11-22$19.60$19.0030.0%8.6%24.8%24.6%30.0%11.6%2.4%239.8K-3.9M-33.1K0.9592.381721637,6245,414
2010-11-23$19.67$19.0028.1%8.0%24.9%20.1%29.3%15.6%5.1%246.3K-4.2M-38.1K0.2185.12156337,7225,522
2010-11-24$19.90$19.0027.9%8.0%24.9%19.6%28.0%10.3%3.2%315.3K-4.7M-37.2K0.7686.642141637,8065,547
2010-11-26$19.98$19.0028.9%8.3%21.6%22.1%28.7%10.3%4.4%288.7K-5.2M-35.8K0.0187.9110217,8845,646
2010-11-29$20.03$19.0030.9%8.9%20.5%26.8%32.7%17.4%2.3%284.1K-5.4M-35.9K0.9788.951571537,9375,647
2010-11-30$19.93$19.0029.4%8.4%20.1%23.3%26.3%11.3%3.4%332.0K-4.8M-36.3K0.4091.75164668,0265,765