CQP Options History — October 2011

In October 2011, CQP traded between $12.40 and $17.75. ATM implied volatility averaged 54.1%, placing in the 34.4% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 3.7% (HV 20d: 50.4%). Max pain ranged from $13.00 to $16.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.36.

Notable Days

  • 2011-10-27: Highest Volume — 1,547 contracts
  • 2011-10-05: Largest IV drop — 32.9% change
  • 2011-10-03: Highest IV Rank — 67.3%
  • 2011-10-03: Largest Expected Move — 25.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.65$12.40$17.75$12.72$17.36
Max Pain$13.86$13.00$16.00$15.00$16.00
ATM IV54.1%41.2%89.8%89.8%50.2%
Expected Move15.6%11.8%25.8%25.8%14.4%
HV 20d50.4%44.7%56.4%45.6%50.2%
HV 60d78.1%75.9%81.2%75.9%78.7%
IV Rank34.4%22.5%67.3%67.3%30.8%
IV Percentile81.2%63.1%99.2%99.2%77.8%
Term Structure6.0%-70.4%41.5%-70.4%3.9%
VWIV50.1%31.4%70.2%70.2%46.4%
Skew 25d27.0%-2.9%108.2%81.4%11.1%
Skew 10d19.4%-5.0%37.7%19.5%15.7%
Call IV 25d38.3%23.3%69.2%34.3%43.6%
Put IV 25d65.3%38.1%136.5%115.7%54.6%
Bid-Ask Spread %103.6376.23149.30149.3089.39
Gamma HHI0.250.100.680.140.15
Net GEX51.6K1.7K188.9K23.3K79.0K
Net DEX388.1K-2.2M1.6M665.9K-1.7M
Net VEX-9.1K-14.6K-6.1K-9.3K-14.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.0413.201.660.35
Total Volume339.476201,547109668
Total OI6,392.1435,5557,0536,1346,796

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$12.72$15.0089.8%25.8%45.6%67.3%70.2%81.4%-70.4%23.3K665.9K-9.3K1.66149.3041683,9992,135
2011-10-04$12.40$15.0083.9%24.0%44.7%61.8%53.7%23.2%19.1%1.7K1.6M-6.1K0.34133.93137463,9942,157
2011-10-05$12.76$15.0056.3%16.1%45.5%36.4%42.7%10.2%14.4%9.2K1.5M-6.9K0.76149.2954414,0612,174
2011-10-06$13.51$15.0056.5%16.2%51.4%36.6%53.8%8.5%-5.2%14.7K1.3M-7.6K2.33112.756144,0612,183
2011-10-07$13.08$13.0061.5%17.8%51.8%41.2%52.4%40.1%41.5%12.7K1.3M-7.6K0.9294.9866614,0652,186
2011-10-10$13.55$13.0047.3%16.0%54.2%28.1%57.7%108.2%0.6%10.0K1.5M-6.6K0.20109.0549104,0492,206
2011-10-11$13.96$13.0052.9%15.5%54.9%33.2%56.3%34.4%10.8%24.6K1.2M-7.4K0.5594.4282454,0882,216
2011-10-12$14.07$13.0054.8%14.2%49.9%35.0%31.4%29.9%0.6%31.7K1.1M-7.4K0.15100.71192294,1222,189
2011-10-13$14.20$13.0053.1%15.2%50.1%33.4%62.4%30.3%22.6%36.0K882.1K-8.2K5.6697.87291644,2482,196
2011-10-14$14.52$13.0041.2%11.8%50.6%22.5%43.6%36.7%16.2%51.3K697.9K-8.8K0.04112.995024,2282,291
2011-10-17$14.74$13.0046.9%13.5%50.9%27.8%52.7%18.0%6.2%65.0K657.8K-8.3K0.3596.52128454,2732,292
2011-10-18$14.47$13.0051.6%14.8%50.8%32.0%57.2%16.3%5.0%51.0K1.0M-7.2K13.2091.905664,3122,302
2011-10-19$14.30$13.0050.4%14.4%50.7%31.0%46.1%18.7%25.9%10.1K1.0M-7.8K0.8495.5143364,3142,328
2011-10-20$15.20$13.0052.2%15.0%50.4%32.6%49.9%25.5%7.6%156.7K-55.5K-8.8K0.1395.92665854,3372,338
2011-10-21$15.17$13.0049.5%14.2%48.2%30.1%52.8%18.3%9.2%188.9K-288.3K-9.5K0.2497.12340804,6992,354
2011-10-24$15.14$14.0048.3%13.9%47.9%29.1%45.4%16.5%5.3%37.0K336.4K-9.3K0.1985.93429803,6271,928
2011-10-25$15.20$14.0047.5%13.6%47.8%28.3%40.6%0.1%10.0%46.2K156.8K-10.3K0.09103.87332293,9781,991
2011-10-26$16.15$14.0046.2%13.2%50.7%27.1%48.0%12.4%4.5%64.7K-508.0K-11.2K0.2184.047701594,1482,017
2011-10-27$17.50$14.0049.6%14.2%56.4%30.2%51.0%29.4%0.4%78.3K-2.2M-13.6K0.0676.231,463844,5372,155
2011-10-28$17.75$16.0046.8%13.4%56.0%27.7%37.1%-2.9%-3.2%90.5K-2.0M-14.6K0.29104.43337994,4622,199
2011-10-31$17.36$16.0050.2%14.4%50.2%30.8%46.4%11.1%3.9%79.0K-1.7M-14.3K0.3589.394961724,5162,280