CQP Options History — August 2011

In August 2011, CQP traded between $12.07 and $18.16. ATM implied volatility averaged 57.2%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded below realized volatility by 43.3% (HV 20d: 100.5%). Max pain ranged from $18.00 to $20.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 1.78.

Notable Days

  • 2011-08-04: Highest Volume — 439 contracts
  • 2011-08-08: Largest IV spike — 130.6% change
  • 2011-08-08: Highest IV Rank — 100.0%
  • 2011-08-09: Largest Expected Move — 30.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.64$12.07$18.16$18.16$15.61
Max Pain$19.09$18.00$20.00$18.00$19.00
ATM IV57.2%30.6%125.4%30.6%49.5%
Expected Move16.2%8.8%30.3%8.8%14.2%
HV 20d100.5%24.7%122.9%24.7%122.4%
HV 60d63.0%27.6%73.8%27.6%73.8%
IV Rank38.0%14.9%100.0%14.9%30.1%
IV Percentile87.8%30.6%100.0%30.6%87.7%
Term Structure-4.4%-57.7%26.0%11.5%-3.1%
VWIV47.4%28.4%66.6%28.4%45.7%
Skew 25d14.6%-11.7%42.5%-1.3%14.5%
Skew 10d22.9%-3.8%46.8%-3.8%25.8%
Call IV 25d41.5%27.5%73.6%27.5%29.2%
Put IV 25d56.1%26.2%73.8%26.2%43.7%
Bid-Ask Spread %107.9281.64133.81121.33128.72
Gamma HHI0.130.100.290.290.11
Net GEX14.8K-2.9K84.1K84.1K17.6K
Net DEX1.6M168.2K2.1M168.2K1.3M
Net VEX-12.7K-18.3K-8.4K-18.3K-13.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.780.0027.000.000.14
Total Volume167.7832643999168
Total OI6,839.4356,2487,3176,9336,800

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-08-01$18.16$18.0030.6%8.8%24.7%14.9%28.4%-1.3%11.5%84.1K168.2K-18.3K0.00121.339904,1932,740
2011-08-02$17.61$18.0034.9%10.0%27.0%19.5%33.1%1.8%0.0%55.1K663.1K-17.0K0.2683.8190234,2052,740
2011-08-03$17.16$18.0044.8%12.8%28.4%30.1%34.7%-2.8%-4.6%42.1K846.0K-16.7K0.77130.7543334,2502,743
2011-08-04$15.53$18.0039.7%11.4%43.8%24.7%30.9%-11.7%26.0%5.3K1.9M-13.2K1.2798.121932464,2332,774
2011-08-05$15.59$20.0054.4%14.6%43.9%40.5%47.0%18.6%3.5%4.2K2.0M-13.3K0.3489.403041034,1532,838
2011-08-08$12.07$20.00125.4%26.0%98.3%100.0%66.6%-4.1%-45.1%-2.9K2.1M-8.4K0.6881.641831243,9522,806
2011-08-09$13.05$20.0076.7%30.3%104.1%55.2%62.5%0.1%-57.7%2.1K2.0M-9.5K0.67108.372031363,9572,762
2011-08-10$15.15$20.0077.4%20.1%119.4%55.8%63.7%36.2%-0.9%-1.4K2.1M-11.3K0.5799.012071174,0372,820
2011-08-11$15.92$20.0051.2%14.7%121.2%31.7%54.2%22.1%-2.4%3.1K1.9M-12.3K0.64106.32121784,1482,814
2011-08-12$16.01$20.0059.9%17.2%120.9%39.7%53.9%17.0%0.2%9.5K1.5M-13.9K0.40101.79125504,1882,839
2011-08-15$16.32$19.0064.2%18.4%121.2%43.7%52.5%12.0%-8.0%13.4K1.4M-14.1K0.20118.77223454,2582,854
2011-08-16$16.09$19.0050.0%14.3%120.8%30.6%46.9%9.0%1.1%18.0K1.7M-12.8K0.7099.9557404,3632,883
2011-08-17$16.10$19.0049.4%14.2%120.5%30.0%37.0%12.2%-1.2%22.5K1.7M-12.6K27.00100.661274,4142,903
2011-08-18$15.65$19.0052.0%14.9%120.2%32.4%51.5%17.9%8.0%12.9K1.9M-12.1K1.2897.8129374,3382,885
2011-08-19$15.27$19.0083.8%24.0%120.2%61.7%36.4%19.2%-44.6%2.1K2.0M-11.6K3.33102.556204,3432,890
2011-08-22$14.73$19.0071.0%20.4%120.5%49.9%57.9%23.0%-18.7%2.4K2.0M-9.7K0.1498.95125183,6132,635
2011-08-23$15.35$19.0048.0%13.8%122.0%28.8%36.2%42.5%14.2%3.3K1.8M-11.1K0.24133.8149123,6882,638
2011-08-24$15.47$19.0053.4%15.3%122.2%33.8%49.4%29.1%-0.7%8.4K1.5M-12.6K1.06114.7135373,7172,638
2011-08-25$15.22$19.0056.0%16.1%121.7%36.2%60.6%24.3%-2.7%4.7K1.7M-11.6K0.35117.7563223,7482,675
2011-08-26$15.68$19.0052.8%15.1%122.5%33.1%51.4%32.9%-5.7%10.8K1.4M-13.3K0.90117.5060543,8012,676
2011-08-29$16.05$19.0040.2%11.5%122.9%21.6%42.5%14.8%19.7%7.0K1.6M-12.2K0.10116.96197193,8502,729
2011-08-30$15.84$19.0050.6%14.5%122.6%31.2%46.8%8.1%9.6%16.1K1.5M-12.4K0.00113.413704,0342,742
2011-08-31$15.61$19.0049.5%14.2%122.4%30.1%45.7%14.5%-3.1%17.6K1.3M-13.2K0.14128.72148204,0582,742