CQP Options History — May 2011

In May 2011, CQP traded between $16.84 and $18.17. ATM implied volatility averaged 41.0%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 12.1% (HV 20d: 28.9%). Max pain ranged from $19.00 to $19.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.86.

Notable Days

  • 2011-05-20: Highest Volume — 1,771 contracts
  • 2011-05-19: Largest IV spike — 22.2% change
  • 2011-05-04: Highest IV Rank — 34.0%
  • 2011-05-10: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.44$16.84$18.17$18.15$18.03
Max Pain$19.00$19.00$19.00$19.00$19.00
ATM IV41.0%33.0%48.4%37.0%33.0%
Expected Move11.7%9.4%14.6%10.6%9.4%
HV 20d28.9%26.5%30.9%28.1%29.5%
HV 60d68.3%65.6%68.9%68.5%65.6%
IV Rank26.1%17.4%34.0%21.7%17.4%
IV Percentile67.0%38.9%87.3%52.4%38.9%
Term Structure1.6%-8.2%21.2%-1.6%7.1%
VWIV40.2%31.4%47.0%40.2%31.4%
Skew 25d4.1%-4.2%9.6%4.0%6.0%
Skew 10d9.6%-11.3%24.8%21.6%2.6%
Call IV 25d39.1%30.7%50.2%39.9%30.7%
Put IV 25d43.3%36.4%49.2%43.9%36.7%
Bid-Ask Spread %94.5282.55115.6493.6288.65
Gamma HHI0.200.170.260.230.26
Net GEX75.8K32.7K136.8K136.8K105.9K
Net DEX2.5M1.0M3.4M1.0M2.2M
Net VEX-19.8K-26.6K-17.0K-26.6K-17.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.104.092.720.41
Total Volume256.524511,771108224
Total OI12,181.52411,30912,67212,05311,875

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$18.15$19.0037.0%10.6%28.1%21.7%40.2%4.0%-1.6%136.8K1.0M-26.6K2.7293.6229797,5534,500
2011-05-03$17.56$19.0040.6%11.7%30.1%25.7%39.0%5.9%2.5%93.3K2.1M-22.9K1.0890.461051137,5684,490
2011-05-04$17.29$19.0048.4%13.9%30.3%34.0%44.7%7.4%-6.1%73.7K2.7M-21.2K4.09105.1623947,5674,560
2011-05-05$17.10$19.0044.6%12.8%29.1%30.0%47.0%-2.6%-3.7%54.9K2.9M-20.3K0.84106.21102867,5614,603
2011-05-06$17.52$19.0039.5%10.7%30.4%24.5%40.0%2.5%5.4%70.5K2.7M-20.2K0.1986.90455887,5714,567
2011-05-09$17.17$19.0045.5%11.9%30.9%30.9%44.0%6.0%-1.9%69.1K2.8M-20.2K0.2882.92116327,7554,627
2011-05-10$16.99$19.0043.6%14.6%30.4%28.8%37.3%4.4%2.3%79.0K2.1M-23.0K0.30109.6957177,7784,653
2011-05-11$17.00$19.0046.4%12.6%29.3%31.8%40.7%-4.2%-0.7%53.1K3.0M-18.7K0.1192.39125147,8104,664
2011-05-12$17.02$19.0040.3%11.6%27.2%25.3%40.4%1.1%0.1%32.9K3.4M-17.1K1.1087.0739437,8424,664
2011-05-13$17.10$19.0042.5%12.2%26.7%27.7%41.4%2.9%4.2%48.5K3.0M-19.1K0.5185.7237197,8544,699
2011-05-16$16.84$19.0040.6%11.6%26.5%25.7%41.5%5.6%6.0%33.1K3.4M-17.6K0.1782.5558107,8914,709
2011-05-17$17.05$19.0043.3%12.4%27.1%28.5%44.0%7.3%0.1%36.0K3.4M-17.4K2.7196.1417467,9374,709
2011-05-18$17.18$19.0036.3%10.4%27.4%21.0%36.2%-1.9%21.2%64.9K2.4M-20.9K0.46115.6435167,9464,726
2011-05-19$17.03$19.0044.3%12.7%26.8%29.6%41.0%4.6%-0.4%32.7K3.3M-17.0K1.4285.5045647,7934,689
2011-05-20$17.90$19.0038.0%10.9%30.1%22.8%38.4%3.7%4.9%88.3K2.4M-19.2K0.10104.931,6071647,8084,751
2011-05-23$17.90$19.0041.9%12.0%29.3%27.0%42.6%3.1%-8.2%94.1K1.8M-20.0K0.1998.096661267,0404,269
2011-05-24$18.17$19.0042.2%12.1%29.7%27.4%36.8%7.8%1.7%128.5K1.6M-20.6K0.6186.42121747,3224,307
2011-05-25$17.80$19.0038.0%10.9%30.1%22.8%39.4%6.5%-0.2%105.8K2.1M-19.2K0.12101.4785107,3604,343
2011-05-26$17.80$19.0040.6%11.6%29.2%25.6%41.2%9.6%0.1%101.9K2.1M-18.9K0.5191.62117607,3434,343
2011-05-27$17.71$19.0035.0%10.0%29.1%19.6%37.3%7.1%1.1%88.5K2.4M-17.8K0.2293.71139307,3844,381
2011-05-31$18.03$19.0033.0%9.4%29.5%17.4%31.4%6.0%7.1%105.9K2.2M-17.3K0.4188.65159657,4944,381