CQP Options History — December 2010

In December 2010, CQP traded between $19.11 and $21.31. ATM implied volatility averaged 26.4%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 10.2% (HV 20d: 16.2%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2010-12-28: Highest Volume — 1,602 contracts
  • 2010-12-08: Largest IV drop — 19.8% change
  • 2010-12-14: Highest IV Rank — 36.2%
  • 2010-12-06: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.99$19.11$21.31$19.77$21.31
Max Pain$19.32$19.00$20.00$19.00$20.00
ATM IV26.4%18.9%34.8%29.0%18.9%
Expected Move7.8%5.4%9.4%8.3%5.4%
HV 20d16.2%14.2%22.2%19.7%14.9%
HV 60d20.8%19.7%22.9%22.1%19.7%
IV Rank16.2%0.0%36.2%22.4%0.0%
IV Percentile11.0%0.0%41.3%14.7%0.0%
Term Structure3.7%1.4%6.0%3.7%5.6%
VWIV26.9%16.2%35.1%30.4%18.7%
Skew 25d7.7%-3.5%16.8%12.6%9.5%
Skew 10d13.4%0.0%23.4%10.0%12.1%
Call IV 25d22.5%12.2%29.8%20.8%12.2%
Put IV 25d30.1%21.6%37.3%33.4%21.6%
Bid-Ask Spread %83.1735.0792.7690.3535.07
Gamma HHI0.430.280.630.480.31
Net GEX328.7K122.7K546.0K300.3K355.6K
Net DEX-4.7M-9.1M-1.9M-4.4M-9.1M
Net VEX-31.9K-36.8K-28.9K-36.8K-30.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.052.880.400.72
Total Volume472.51121,602240820
Total OI12,854.6369,62014,47913,92212,115

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-12-01$19.77$19.0029.0%8.3%19.7%22.4%30.4%12.6%3.7%300.3K-4.4M-36.8K0.4090.35172688,1175,805
2010-12-02$19.50$19.0030.4%8.7%20.2%25.8%29.9%10.5%4.3%279.5K-3.2M-36.2K0.5491.532611408,0705,836
2010-12-03$19.11$19.0029.9%8.6%21.5%24.5%29.4%-3.5%3.2%246.2K-1.9M-35.1K0.2992.22299888,2185,862
2010-12-06$19.49$19.0031.9%9.4%22.2%29.3%29.5%9.4%6.0%320.2K-3.0M-32.8K0.2272.96362808,2145,919
2010-12-07$19.75$19.0029.3%8.8%16.0%23.1%28.3%8.0%4.2%366.6K-4.4M-34.4K0.3181.58287888,1965,895
2010-12-08$19.83$19.0023.5%8.9%15.3%9.3%28.5%5.6%4.4%415.6K-4.5M-31.4K0.2482.10234568,3045,905
2010-12-09$19.85$20.0024.9%9.2%15.1%12.7%35.1%7.0%3.8%469.5K-4.9M-34.2K0.6083.7387528,3985,817
2010-12-10$19.75$20.0028.2%9.0%14.8%20.3%33.2%7.4%1.4%433.7K-4.5M-32.6K1.7381.4041718,4415,829
2010-12-13$19.77$20.0032.5%8.6%14.6%30.7%30.6%8.4%5.1%476.6K-4.7M-32.1K0.3484.17219758,4355,877
2010-12-14$19.75$20.0034.8%8.9%14.5%36.2%30.5%7.5%3.6%495.3K-4.8M-31.1K0.8783.28108948,3715,937
2010-12-15$19.73$20.0029.4%8.4%14.5%23.2%31.4%8.5%2.2%406.5K-4.3M-29.6K0.6486.542241438,3985,922
2010-12-16$19.65$19.0029.2%8.4%14.2%22.8%30.9%16.8%2.7%546.0K-3.6M-28.9K2.8891.85571648,4696,010
2010-12-17$19.55$19.0027.4%7.9%14.2%18.5%27.9%8.6%4.9%122.7K-2.9M-31.3K0.0787.911,105728,4656,012
2010-12-20$19.78$19.0023.8%6.8%14.8%10.1%23.8%4.1%3.6%169.0K-3.1M-30.8K0.4484.444982176,3503,270
2010-12-21$19.86$19.0023.4%6.7%14.8%9.1%23.9%7.5%2.4%191.2K-3.6M-30.1K1.2792.76911166,6893,413
2010-12-22$19.97$19.0023.3%6.7%14.9%8.7%23.2%10.3%2.8%199.1K-3.7M-29.2K0.4186.26220906,6633,503
2010-12-23$20.31$19.0023.8%6.8%15.5%9.9%23.8%5.4%2.8%212.8K-4.7M-30.5K0.1090.05580576,8243,532
2010-12-27$20.45$19.0023.0%6.6%15.6%8.1%22.1%5.0%4.5%250.2K-5.3M-30.9K0.2981.55286847,1423,541
2010-12-28$20.73$19.0021.1%6.0%16.2%3.5%16.2%5.8%3.6%280.7K-6.2M-29.1K0.0584.571,520827,2823,564
2010-12-29$20.81$20.0021.4%6.1%16.0%4.3%23.0%6.2%3.4%328.3K-7.6M-33.1K1.6283.432694378,3643,616
2010-12-30$21.00$19.0021.4%6.1%15.7%4.2%22.3%8.6%2.9%366.6K-8.2M-31.6K0.2282.04313688,4843,728
2010-12-31$21.31$20.0018.9%5.4%14.9%0.0%18.7%9.5%5.6%355.6K-9.1M-30.5K0.7235.074763448,3463,769