CQP Options History — December 2011

In December 2011, CQP traded between $15.94 and $18.35. ATM implied volatility averaged 36.7%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 1.7% (HV 20d: 35.1%). Max pain ranged from $16.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2011-12-14: Highest Volume — 3,541 contracts
  • 2011-12-15: Largest IV spike — 91.7% change
  • 2011-12-15: Highest IV Rank — 29.6%
  • 2011-12-15: Largest Expected Move — 14.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.97$15.94$18.35$15.94$18.02
Max Pain$16.57$16.00$17.50$16.00$16.00
ATM IV36.7%25.5%49.0%41.8%32.0%
Expected Move11.3%9.2%14.0%12.0%9.2%
HV 20d35.1%21.3%41.8%41.5%27.9%
HV 60d46.8%43.7%49.8%49.7%43.7%
IV Rank18.4%8.1%29.6%23.1%14.0%
IV Percentile34.3%8.7%72.2%54.0%15.9%
Term Structure3.9%-6.4%36.4%-1.2%4.9%
VWIV38.3%26.7%57.8%42.3%31.6%
Skew 25d8.9%1.4%16.2%3.4%5.5%
Skew 10d21.9%3.2%47.2%15.2%13.0%
Call IV 25d34.1%21.3%46.2%41.2%28.6%
Put IV 25d43.1%28.7%60.3%44.6%34.1%
Bid-Ask Spread %91.5422.75114.86114.8622.75
Gamma HHI0.230.170.400.170.19
Net GEX127.2K87.5K194.1K87.5K158.4K
Net DEX-2.3M-5.0M-211.6K-272.9K-4.1M
Net VEX-16.6K-21.1K-13.8K-15.8K-15.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.042.591.600.21
Total Volume579.476653,54165173
Total OI9,979.9059,34713,0079,3479,823

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$15.94$16.0041.8%12.0%41.5%23.1%42.3%3.4%-1.2%87.5K-272.9K-15.8K1.60114.8625406,2613,086
2011-12-02$16.06$16.0039.4%11.3%41.4%20.9%35.4%8.8%3.4%88.9K-323.2K-15.0K0.23114.5192216,2503,097
2011-12-05$16.37$17.5039.0%12.1%41.8%20.5%39.6%15.3%6.1%102.5K-446.9K-14.5K1.96114.061042046,2683,098
2011-12-06$16.45$17.5037.3%11.1%41.7%18.9%36.0%6.4%1.5%103.0K-439.6K-14.4K0.10110.19213216,3163,242
2011-12-07$16.31$17.5039.5%11.8%41.3%21.0%38.1%14.3%1.0%99.8K-356.6K-14.9K0.21114.0292196,4273,248
2011-12-08$16.22$17.5038.7%11.3%41.2%20.2%42.6%6.5%6.7%96.2K-211.6K-14.3K1.0499.211121176,4523,248
2011-12-09$16.22$17.5033.2%11.3%41.2%15.2%36.0%13.1%36.4%96.9K-308.5K-14.5K2.59103.9722576,4463,347
2011-12-12$16.65$17.5029.2%11.4%41.7%11.4%35.0%7.8%-0.7%124.7K-908.6K-13.8K0.78107.872702106,4503,353
2011-12-13$16.75$17.5030.6%11.7%40.1%12.7%34.3%9.4%-3.5%130.4K-1.2M-14.4K0.05109.9611166,6023,399
2011-12-14$16.91$17.5025.5%13.6%40.1%8.1%57.8%13.9%-4.7%151.7K-1.8M-15.8K0.2995.962,7398026,6053,399
2011-12-15$16.90$16.0049.0%14.0%40.1%29.6%54.8%16.2%-6.4%184.4K-3.6M-19.7K0.1281.211,2941588,3703,905
2011-12-16$17.07$16.0047.8%13.7%34.6%28.6%54.9%14.9%-1.5%194.1K-4.3M-21.1K0.2983.654411289,0433,964
2011-12-19$17.18$16.0039.2%11.2%32.4%20.6%43.5%7.0%3.6%151.8K-4.0M-20.0K0.0595.061,759927,0753,151
2011-12-20$17.04$16.0035.2%10.1%24.4%17.0%39.2%5.4%4.3%122.3K-3.2M-18.7K0.1679.43404646,4813,180
2011-12-21$17.21$16.0034.2%9.8%21.7%16.1%37.0%6.3%5.5%116.7K-3.0M-17.8K0.5993.632321386,3213,223
2011-12-22$17.22$16.0035.4%10.1%21.3%17.2%37.6%7.4%6.6%110.7K-3.0M-18.6K0.1297.77294366,3273,249
2011-12-23$18.35$16.0046.7%13.4%30.1%27.6%27.2%10.4%8.8%141.9K-5.0M-17.9K0.2777.928092206,4553,253
2011-12-27$17.94$16.0032.6%9.3%31.8%14.5%26.7%1.4%3.8%136.9K-4.3M-17.2K0.3091.51325966,3883,156
2011-12-28$17.75$16.0032.8%9.4%31.1%14.7%26.8%8.4%4.5%136.5K-3.7M-17.6K0.0486.9813356,5503,242
2011-12-29$17.71$16.0032.3%9.2%28.9%14.3%28.8%5.9%3.4%135.5K-3.7M-17.3K0.2827.8971206,5853,243
2011-12-30$18.02$16.0032.0%9.2%27.9%14.0%31.6%5.5%4.9%158.4K-4.1M-15.9K0.2122.75143306,5803,243