CQP Options History — November 2011

In November 2011, CQP traded between $15.88 and $17.39. ATM implied volatility averaged 46.1%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 5.9% (HV 20d: 52.0%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2011-11-14: Highest Volume — 901 contracts
  • 2011-11-02: Largest IV drop — 23.7% change
  • 2011-11-01: Highest IV Rank — 40.7%
  • 2011-11-01: Largest Expected Move — 17.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.51$15.88$17.39$16.20$16.24
Max Pain$16.38$16.00$17.00$16.00$16.00
ATM IV46.1%39.4%61.0%61.0%40.9%
Expected Move13.2%11.3%17.5%17.5%11.7%
HV 20d52.0%40.9%59.0%56.9%40.9%
HV 60d49.5%46.5%59.6%59.6%49.8%
IV Rank27.0%20.8%40.7%40.7%22.3%
IV Percentile65.8%46.4%91.7%91.7%51.2%
Term Structure3.6%-10.5%23.6%-4.2%1.7%
VWIV45.1%37.5%54.4%52.7%37.5%
Skew 25d7.4%-7.0%17.8%-4.1%3.3%
Skew 10d13.4%-17.3%40.5%-17.3%-10.0%
Call IV 25d41.3%27.6%49.7%49.7%27.6%
Put IV 25d48.7%30.9%60.9%45.6%30.9%
Bid-Ask Spread %102.2184.77118.76102.47116.99
Gamma HHI0.160.130.240.140.18
Net GEX94.5K60.7K153.9K60.7K97.1K
Net DEX-873.5K-2.3M-51.6K-780.8K-701.4K
Net VEX-14.6K-16.9K-13.2K-14.1K-16.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.002.590.461.10
Total Volume321.76254901589241
Total OI8,428.9527,0769,6977,0769,194

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$16.20$16.0061.0%17.5%56.9%40.7%52.7%-4.1%-4.2%60.7K-780.8K-14.1K0.46102.474031864,6792,397
2011-11-02$16.13$16.0046.5%13.3%56.9%27.4%48.1%5.1%19.1%62.1K-447.2K-13.6K0.88102.5972634,9262,533
2011-11-03$16.28$17.0051.4%14.7%54.3%31.9%54.4%17.8%-5.2%66.4K-530.1K-13.8K0.0394.8318864,9422,571
2011-11-04$16.45$16.0050.1%15.1%52.0%30.6%54.1%13.3%2.1%73.4K-679.6K-14.1K1.4285.3957815,0832,575
2011-11-07$16.31$16.0051.4%14.7%51.7%31.9%52.2%10.1%3.4%73.3K-514.1K-13.4K0.4697.60139645,1042,653
2011-11-08$16.61$16.0045.0%14.0%51.3%26.0%50.2%11.4%2.7%82.7K-875.8K-13.7K0.18102.97200375,2082,705
2011-11-09$16.45$16.0050.8%13.4%51.7%31.4%45.1%13.7%7.1%83.2K-642.5K-13.2K0.2599.255031245,3062,732
2011-11-10$16.54$16.0043.0%12.3%51.7%24.2%43.2%12.8%23.6%92.0K-775.3K-13.7K0.23110.72163385,5342,794
2011-11-11$16.86$16.0043.4%12.4%51.6%24.5%42.3%10.8%2.4%118.0K-1.3M-14.2K0.00105.795405,6682,782
2011-11-14$17.39$16.0044.3%12.7%52.2%25.4%41.1%10.9%1.2%151.6K-2.3M-14.7K0.1893.237661355,7062,782
2011-11-15$17.20$17.0039.4%11.3%51.7%20.8%41.1%9.0%5.0%153.9K-2.0M-15.2K1.50106.511532306,1042,861
2011-11-16$17.17$17.0041.4%11.9%51.3%22.7%42.1%5.4%1.1%142.1K-1.9M-15.4K0.83105.1152436,1773,014
2011-11-17$16.24$17.0048.0%13.8%52.4%28.7%43.0%4.9%-10.5%73.5K-487.3K-14.6K0.52102.044512346,2113,055
2011-11-18$16.82$17.0041.8%12.0%53.5%23.0%40.8%10.0%-1.6%151.8K-1.1M-15.4K0.16106.26190306,4903,207
2011-11-21$15.88$17.0049.5%14.2%58.0%30.1%47.0%2.0%-1.0%70.0K-51.6K-13.8K2.59101.171333455,5612,629
2011-11-22$16.43$17.0044.0%12.6%59.0%25.1%42.1%7.6%1.0%83.0K-647.6K-15.2K0.23106.16113265,5902,844
2011-11-23$16.28$17.0042.7%12.3%55.2%23.9%42.9%6.0%5.6%80.1K-322.7K-14.6K0.49100.61156775,6702,841
2011-11-25$16.20$16.0045.5%13.0%46.5%26.4%44.7%6.3%3.8%76.6K-217.3K-14.2K0.5984.773932305,7222,893
2011-11-28$16.25$16.0047.3%13.6%46.1%28.1%42.9%6.6%1.0%86.1K-781.9K-16.9K0.22103.27201456,0963,027
2011-11-29$16.70$16.0040.2%11.5%46.9%21.6%40.6%-7.0%17.4%106.5K-1.2M-16.5K0.12118.76121146,1153,027
2011-11-30$16.24$16.0040.9%11.7%40.9%22.3%37.5%3.3%1.7%97.1K-701.4K-16.0K1.10116.991151266,1733,021