CQP Options History — June 2011

In June 2011, CQP traded between $16.37 and $18.06. ATM implied volatility averaged 36.8%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 8.6% (HV 20d: 28.2%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.38.

Notable Days

  • 2011-06-20: Highest Volume — 668 contracts
  • 2011-06-24: Largest IV spike — 50.2% change
  • 2011-06-28: Highest IV Rank — 38.0%
  • 2011-06-28: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.45$16.37$18.06$17.96$17.97
Max Pain$18.09$18.00$19.00$19.00$18.00
ATM IV36.8%26.1%52.1%30.9%31.9%
Expected Move10.7%7.5%14.9%8.9%9.2%
HV 20d28.2%23.8%32.9%27.0%32.8%
HV 60d31.9%28.9%65.6%65.6%29.8%
IV Rank21.5%10.0%38.0%15.3%16.3%
IV Percentile53.8%12.3%96.4%28.2%34.1%
Term Structure6.4%-18.4%38.6%8.2%6.9%
VWIV35.3%26.6%40.9%29.0%31.9%
Skew 25d11.9%-0.9%36.8%16.5%11.9%
Skew 10d13.8%-0.5%38.7%13.9%16.1%
Call IV 25d28.7%18.6%36.0%20.5%21.1%
Put IV 25d40.6%30.7%55.5%37.0%33.0%
Bid-Ask Spread %103.2470.53146.7099.1996.77
Gamma HHI0.200.140.270.260.19
Net GEX38.2K-40.9K135.9K109.7K39.7K
Net DEX2.2M521.6K4.3M2.2M521.6K
Net VEX-14.8K-17.8K-10.5K-17.8K-16.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.380.008.610.280.49
Total Volume211.04567668202406
Total OI9,700.0915,00012,64111,9526,106

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$17.96$19.0030.9%8.9%27.0%15.3%29.0%16.5%8.2%109.7K2.2M-17.8K0.2899.19158447,5694,383
2011-06-02$18.06$19.0033.1%9.5%26.3%17.5%31.4%7.1%4.4%135.9K1.9M-16.8K1.6791.73611027,6904,404
2011-06-03$18.00$18.0037.7%10.9%25.9%22.5%38.2%3.6%2.1%115.7K2.2M-17.2K2.1475.8529627,7464,506
2011-06-06$17.90$18.0032.5%10.7%24.7%16.9%36.2%6.2%3.4%112.3K2.3M-17.4K0.0092.4111407,7734,562
2011-06-07$17.71$18.0033.3%10.1%23.8%17.8%38.5%8.2%5.2%82.2K2.8M-15.8K0.2271.72289637,8344,562
2011-06-08$17.54$18.0033.5%10.6%23.8%18.0%39.3%7.6%2.8%78.7K2.8M-16.2K1.6870.5325427,9774,576
2011-06-09$17.60$18.0034.9%10.0%23.8%19.5%34.9%7.2%9.8%87.3K2.8M-15.7K1.0083.1452527,9644,558
2011-06-10$17.79$18.0033.2%9.5%24.0%17.7%35.5%6.1%5.2%90.5K2.8M-14.8K2.6377.33591557,9694,556
2011-06-13$17.16$18.0041.3%11.8%27.5%26.3%40.9%3.0%-0.6%12.2K3.5M-14.0K2.6596.32601597,9614,642
2011-06-14$16.91$18.0039.9%11.4%27.5%24.9%37.2%-0.9%-1.2%3.9K3.6M-12.2K1.43110.75921327,9564,684
2011-06-15$16.69$18.0036.0%10.3%27.5%20.7%39.2%33.7%23.7%-13.1K4.0M-12.5K4.85119.5013637,9434,692
2011-06-16$16.37$18.0042.1%12.1%28.0%27.3%37.4%5.6%-2.5%-40.9K4.3M-11.5K1.51100.991141727,8404,640
2011-06-17$16.46$18.0043.6%12.5%28.0%28.8%37.7%8.7%8.3%-38.2K4.2M-10.5K8.61124.20282417,8894,752
2011-06-20$17.48$18.0031.4%9.0%30.7%15.8%40.4%36.8%18.3%-11.7K1.5M-12.7K0.81115.573692992,5172,483
2011-06-21$17.24$18.0040.2%11.5%31.0%25.2%34.4%17.3%0.9%-8.2K1.4M-13.9K0.13118.33347452,7972,591
2011-06-22$17.57$18.0026.1%7.5%31.3%10.0%26.6%7.1%5.8%-661.2M-14.6K0.03126.16337103,0042,598
2011-06-23$17.44$18.0033.1%9.5%30.6%17.5%34.7%19.0%16.0%14.7K1.1M-15.1K0.07122.567153,3102,608
2011-06-24$17.56$18.0049.7%14.2%30.7%35.4%36.3%12.2%38.6%12.4K784.0K-14.9K0.00139.477303,3192,613
2011-06-27$17.24$18.0038.8%11.1%31.3%23.7%32.7%12.5%0.7%13.1K1.1M-15.1K0.0592.417543,3172,613
2011-06-28$17.35$18.0052.1%14.9%30.7%38.0%30.1%17.5%-18.4%15.6K737.7K-16.9K0.10146.706973,3042,611
2011-06-29$17.91$18.0033.9%9.7%32.9%18.4%33.9%14.6%2.7%28.0K799.4K-15.1K0.0099.7214503,3722,611
2011-06-30$17.97$18.0031.9%9.2%32.8%16.3%31.9%11.9%6.9%39.7K521.6K-16.0K0.4996.772731333,4952,611