CQP Options History — March 2011

In March 2011, CQP traded between $15.31 and $22.95. ATM implied volatility averaged 51.1%, placing in the 42.4% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 43.2% (HV 20d: 94.3%). Max pain ranged from $19.00 to $21.00. Net GEX was positive for 20 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.50.

Notable Days

  • 2011-03-09: Highest Volume — 7,070 contracts
  • 2011-03-08: Largest IV spike — 135.4% change
  • 2011-03-08: Highest IV Rank — 100.0%
  • 2011-03-08: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.50$15.31$22.95$22.95$19.09
Max Pain$19.57$19.00$21.00$20.00$19.00
ATM IV51.1%31.3%109.8%31.7%39.9%
Expected Move14.2%9.0%23.3%9.1%11.4%
HV 20d94.3%25.9%113.8%25.9%109.7%
HV 60d61.4%28.8%70.9%29.2%70.9%
IV Rank42.4%24.4%100.0%33.2%24.9%
IV Percentile81.0%33.3%100.0%36.5%67.5%
Term Structure-0.4%-12.6%26.5%2.5%-5.4%
VWIV48.7%27.8%76.1%27.8%42.0%
Skew 25d9.7%2.5%23.2%6.6%7.6%
Skew 10d24.2%-5.6%57.1%11.1%24.7%
Call IV 25d44.7%27.1%77.0%27.1%35.8%
Put IV 25d54.4%33.7%82.0%33.7%43.4%
Bid-Ask Spread %76.6928.06104.0392.69104.03
Gamma HHI0.200.140.300.300.20
Net GEX91.0K-85.0K279.2K279.2K169.8K
Net DEX78.1K-11.9M4.2M-11.7M-1.2M
Net VEX-36.0K-42.6K-25.8K-29.8K-37.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.500.0712.380.480.25
Total Volume1,290.957937,070151248
Total OI18,400.21714,36926,60214,36915,357

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-03-01$22.95$20.0031.7%9.1%25.9%33.2%27.8%6.6%2.5%279.2K-11.7M-29.8K0.4892.69102499,5204,849
2011-03-02$22.91$20.0031.3%9.0%25.9%32.3%31.5%2.5%3.0%223.2K-11.9M-30.0K0.3698.49255939,5574,878
2011-03-03$20.89$20.0039.9%11.4%41.3%51.5%44.3%7.0%0.7%252.9K-4.4M-40.0K0.8987.331,6371,4499,6084,921
2011-03-04$19.76$21.0045.4%12.5%45.2%63.8%44.2%4.5%0.3%203.3K-1.7M-41.1K0.6641.8559539410,2125,406
2011-03-07$19.85$20.0046.6%12.5%45.3%66.4%43.0%6.8%1.3%211.2K-1.9M-42.6K0.2628.0643811410,4215,711
2011-03-08$15.31$20.00109.8%23.3%100.1%100.0%76.1%4.3%-9.5%27.9K4.1M-25.8K1.1555.222,2262,56610,6335,763
2011-03-09$16.94$20.0077.1%20.5%109.0%64.8%68.3%9.7%-12.6%49.4K2.5M-35.3K0.5062.644,7012,36911,6036,778
2011-03-10$16.46$20.0068.5%19.6%109.1%55.6%70.2%23.2%-6.3%59.5K3.8M-35.4K3.9975.765112,04114,3968,099
2011-03-11$17.15$20.0064.3%18.4%110.5%51.1%52.3%9.8%-6.0%59.6K3.4M-38.2K0.3370.9231010314,7358,913
2011-03-14$17.20$20.0062.5%17.9%109.4%49.1%61.2%15.1%-3.7%44.6K3.3M-36.4K12.3875.101401,73314,8928,858
2011-03-15$17.45$20.0059.9%17.2%109.8%46.3%58.1%13.3%-5.1%-72.1K4.2M-34.9K2.1485.5516334914,98510,285
2011-03-16$17.66$20.0052.0%14.9%109.9%37.9%53.5%8.0%2.2%-27.6K2.8M-39.7K1.8268.1349590115,10310,428
2011-03-17$18.00$19.0051.4%14.7%110.3%37.2%44.2%7.7%-0.5%-85.0K2.2M-39.0K1.5184.67619215,36211,165
2011-03-18$18.14$19.0047.9%13.7%110.1%33.4%47.2%8.9%2.8%7.6K1.6M-39.0K0.5660.6547326515,38511,217
2011-03-21$18.44$19.0041.1%11.8%110.5%26.2%39.9%6.5%8.7%57.0K831.3K-36.6K0.1473.82376528,8146,544
2011-03-22$18.69$19.0039.5%11.3%110.8%24.4%39.9%8.4%-0.9%83.2K457.0K-37.4K0.2268.06354799,0066,584
2011-03-23$18.10$19.0040.5%11.6%111.1%25.6%39.4%7.4%26.5%54.8K1.0M-37.0K0.5187.84173889,2386,626
2011-03-24$17.17$19.0051.7%14.8%111.7%37.6%50.9%4.8%-6.0%3.8K2.8M-32.8K2.8285.276851,9349,2806,665
2011-03-25$17.90$19.0047.1%13.5%112.9%32.6%54.7%13.0%-4.2%86.8K1.4M-33.7K2.1588.39731579,4385,771
2011-03-28$18.11$19.0046.3%13.3%113.0%31.8%43.8%17.8%1.8%105.4K962.9K-33.7K0.7289.9183609,4905,848
2011-03-29$18.56$19.0040.7%11.7%113.5%25.7%40.0%18.7%0.6%129.1K4.6K-34.0K0.0794.378769,5215,883
2011-03-30$18.85$19.0039.7%11.4%113.8%24.7%46.6%12.1%1.1%170.0K-818.0K-37.1K0.6485.153732399,5745,883
2011-03-31$19.09$19.0039.9%11.4%109.7%24.9%42.0%7.6%-5.4%169.8K-1.2M-37.6K0.25104.03199499,4105,947