CQP Options History — March 2012

In March 2012, CQP traded between $21.30 and $24.70. ATM implied volatility averaged 27.6%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded below realized volatility by 20.1% (HV 20d: 47.7%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.54.

Notable Days

  • 2012-03-06: Highest Volume — 1,339 contracts
  • 2012-03-15: Largest IV spike — 53.2% change
  • 2012-03-06: Highest IV Rank — 16.0%
  • 2012-03-06: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.51$21.30$24.70$23.88$21.30
Max Pain$22.73$20.00$23.00$20.00$23.00
ATM IV27.6%20.8%37.4%25.4%29.6%
Expected Move8.3%7.3%10.1%7.3%8.5%
HV 20d47.7%30.9%55.1%50.2%30.9%
HV 60d46.3%45.2%47.4%45.2%47.0%
IV Rank6.7%0.2%16.0%4.6%8.6%
IV Percentile10.9%0.4%35.3%3.6%15.5%
Term Structure3.0%0.4%5.5%1.1%5.5%
VWIV28.0%24.6%33.2%25.5%28.7%
Skew 25d6.4%-6.3%19.3%10.8%-6.3%
Skew 10d6.0%-3.7%19.4%11.8%2.1%
Call IV 25d24.6%13.7%29.9%17.2%26.8%
Put IV 25d31.0%20.5%38.0%28.0%20.5%
Bid-Ask Spread %83.3169.0096.5389.0178.66
Gamma HHI0.210.160.290.200.16
Net GEX202.4K125.4K243.6K211.9K125.4K
Net DEX-7.9M-12.1M-2.0M-9.8M-2.0M
Net VEX-28.9K-31.2K-25.3K-26.7K-26.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.012.981.490.47
Total Volume318.273611,339484140
Total OI9,665.1827,85511,1589,4739,146

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$23.88$20.0025.4%7.3%50.2%4.6%25.5%10.8%1.1%211.9K-9.8M-26.7K1.4989.011942906,1743,299
2012-03-02$24.40$20.0025.8%7.4%50.4%5.0%24.6%2.7%4.7%188.0K-10.5M-25.3K0.7290.071841336,1533,531
2012-03-05$24.14$23.0027.8%8.2%50.8%6.9%28.0%7.7%1.3%199.9K-10.1M-26.6K0.1876.82317586,1963,611
2012-03-06$23.49$23.0037.4%10.1%51.7%16.0%33.2%8.1%0.4%218.7K-8.6M-29.7K0.3871.929703696,3543,654
2012-03-07$24.06$23.0030.6%8.9%52.0%9.5%27.5%7.3%1.2%231.7K-10.5M-30.9K0.1179.58296337,0343,873
2012-03-08$24.43$23.0021.0%8.9%51.5%0.4%27.9%6.4%3.4%205.4K-11.6M-31.2K0.0169.0027037,1733,889
2012-03-09$24.70$23.0023.7%8.2%51.4%2.9%28.5%9.4%3.0%202.4K-12.1M-30.1K0.1773.70103187,1403,889
2012-03-12$24.33$23.0029.4%8.6%51.7%8.4%30.5%7.6%1.8%220.1K-11.6M-29.9K0.4279.15122517,1853,896
2012-03-13$24.63$23.0025.9%8.0%51.7%5.1%27.1%19.3%3.1%218.8K-11.9M-29.7K2.9896.53571707,1353,913
2012-03-14$23.74$23.0020.8%8.4%52.4%0.2%29.4%2.4%4.7%219.6K-9.7M-30.2K0.2489.83151377,1404,018
2012-03-15$23.47$23.0031.9%9.2%52.8%10.8%29.8%3.4%1.1%243.6K-9.1M-30.2K0.3689.1645167,1183,995
2012-03-16$24.20$23.0028.0%8.0%53.4%7.1%27.4%14.6%3.8%236.8K-10.8M-29.7K0.9589.651991907,1383,981
2012-03-19$23.91$23.0027.3%7.8%53.9%6.4%25.7%6.3%4.7%196.2K-6.7M-28.7K0.1885.34339625,3082,547
2012-03-20$23.66$23.0026.7%7.7%54.2%5.9%27.0%6.5%3.9%201.7K-6.3M-29.8K0.3586.45137485,4892,569
2012-03-21$23.70$23.0026.2%7.5%54.2%5.4%25.5%4.7%5.2%210.2K-6.3M-29.6K0.1886.3293175,5742,610
2012-03-22$23.53$23.0026.9%7.7%54.1%6.0%27.1%5.8%2.8%214.6K-6.0M-29.2K0.6188.64143875,6492,614
2012-03-23$23.01$23.0026.9%7.7%55.1%6.0%27.9%2.7%3.8%202.7K-5.1M-28.4K0.4289.852481045,7282,673
2012-03-26$23.01$23.0027.8%8.0%31.5%6.9%28.3%2.3%2.8%211.6K-5.1M-29.5K0.2883.1695275,8842,742
2012-03-27$22.63$23.0027.8%8.0%30.9%6.8%28.3%3.3%3.9%206.5K-4.9M-28.8K0.3384.17222735,9452,755
2012-03-28$21.56$23.0029.4%8.4%32.5%8.4%29.3%4.9%1.2%153.4K-3.0M-27.3K0.2980.365331526,0402,799
2012-03-29$21.36$23.0031.4%9.0%32.5%10.3%28.2%11.3%3.3%132.7K-2.3M-27.0K0.7575.48118886,1482,925
2012-03-30$21.30$23.0029.6%8.5%30.9%8.6%28.7%-6.3%5.5%125.4K-2.0M-26.3K0.4778.6695456,1902,956