CQP Options History — September 2011

In September 2011, CQP traded between $13.33 and $15.98. ATM implied volatility averaged 57.1%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 7.5% (HV 20d: 49.6%). Max pain ranged from $15.00 to $19.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 3.55.

Notable Days

  • 2011-09-14: Highest Volume — 473 contracts
  • 2011-09-21: Largest IV spike — 46.6% change
  • 2011-09-21: Highest IV Rank — 52.8%
  • 2011-09-21: Largest Expected Move — 21.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.65$13.33$15.98$15.20$13.55
Max Pain$16.19$15.00$19.00$19.00$15.00
ATM IV57.1%40.1%74.2%49.5%66.1%
Expected Move15.8%11.5%21.3%14.2%19.0%
HV 20d49.6%34.3%117.5%117.5%40.8%
HV 60d74.3%73.7%75.1%73.9%75.0%
IV Rank37.1%21.5%52.8%30.1%45.4%
IV Percentile89.6%66.3%97.6%87.3%94.8%
Term Structure-4.2%-39.8%25.7%-39.8%-30.2%
VWIV51.6%41.7%77.3%77.3%60.4%
Skew 25d15.2%-12.2%45.2%26.1%31.3%
Skew 10d29.7%3.2%60.6%15.4%56.5%
Call IV 25d43.8%24.3%57.2%39.2%36.3%
Put IV 25d58.9%34.1%80.8%65.3%67.5%
Bid-Ask Spread %111.4965.58164.59136.11164.59
Gamma HHI0.130.100.160.120.16
Net GEX13.0K-11.0K30.3K8.3K21.6K
Net DEX1.4M648.9K2.5M2.0M1.1M
Net VEX-10.4K-13.0K-8.3K-10.2K-8.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.550.0046.501.001.87
Total Volume158.286154734043
Total OI6,468.815,2567,7866,8586,122

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$15.20$19.0049.5%14.2%117.5%30.1%77.3%26.1%-39.8%8.3K2.0M-10.2K1.00136.1120204,1042,754
2011-09-02$15.10$19.0070.3%20.1%117.5%49.2%43.6%22.9%-33.2%9.5K1.9M-10.7K46.5099.822934,1242,769
2011-09-06$15.40$17.0068.7%14.9%69.2%47.8%49.2%13.8%-3.9%14.7K1.7M-11.3K3.00132.0918544,1232,816
2011-09-07$15.73$16.0053.9%15.3%64.9%34.2%53.9%17.8%-6.5%15.3K1.6M-11.9K6.00113.7310604,1322,836
2011-09-08$15.60$17.0053.6%14.2%38.6%33.9%47.8%-4.4%9.5%11.2K1.3M-13.0K0.12113.656784,1342,831
2011-09-09$15.75$17.0051.3%14.8%34.3%31.8%55.5%8.0%-5.0%11.9K1.8M-10.8K2.2982.9128644,1722,831
2011-09-12$15.65$17.0058.3%14.4%34.3%38.2%46.2%10.6%-5.2%12.3K1.4M-12.7K7.35107.00342504,2002,836
2011-09-13$15.98$17.0060.6%14.4%34.5%40.4%49.4%5.7%8.3%13.2K1.5M-12.5K0.22114.73230514,2242,951
2011-09-14$14.92$17.0053.6%15.6%41.8%33.9%52.5%1.7%0.0%-1.4K2.3M-10.0K0.6887.172821914,4172,944
2011-09-15$14.81$16.0040.1%11.5%41.8%21.5%41.7%12.9%12.4%-9.2K2.1M-11.1K0.35128.53167584,5093,106
2011-09-16$14.61$16.0051.2%14.7%41.0%31.7%49.8%9.4%-2.7%-11.0K2.5M-9.6K1.7165.58621064,6363,150
2011-09-19$14.58$16.0047.1%13.5%40.2%28.0%46.7%-12.2%-13.0%14.5K1.1M-9.3K0.0070.1224913,2522,004
2011-09-20$14.30$16.0050.6%14.5%38.8%31.1%43.4%6.8%-7.5%15.4K1.1M-8.9K0.1378.39212273,3342,005
2011-09-21$14.10$15.0074.2%21.3%35.6%52.8%44.8%36.3%-24.0%19.0K873.6K-9.7K0.23101.61158373,4422,018
2011-09-22$13.33$15.0068.4%19.6%39.7%47.5%59.1%15.3%-7.8%12.5K1.2M-8.3K1.8289.8051933,5292,026
2011-09-23$13.96$15.0052.8%15.1%43.8%33.2%53.5%9.3%8.8%12.2K1.2M-8.6K0.3898.6282313,5512,074
2011-09-26$13.81$15.0047.0%13.5%42.0%27.9%54.0%28.7%1.9%17.3K750.7K-10.7K0.10142.72230233,6272,099
2011-09-27$14.00$15.0048.5%13.9%41.2%29.2%52.2%4.4%12.3%26.1K695.9K-10.7K0.04129.6316773,8432,117
2011-09-28$13.68$15.0070.9%20.3%41.6%49.8%0.0%45.2%25.7%30.3K648.9K-9.6K0.00142.871503,9702,124
2011-09-29$13.61$15.0062.4%17.9%41.5%42.0%60.4%28.7%10.6%28.2K837.7K-9.3K0.77141.6713103,9852,124
2011-09-30$13.55$15.0066.1%19.0%40.8%45.4%0.0%31.3%-30.2%21.6K1.1M-8.7K1.87164.5915283,9982,124