CQP Options History — April 2012

In April 2012, CQP traded between $21.72 and $27.14. ATM implied volatility averaged 36.0%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 1.8% (HV 20d: 37.8%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.94.

Notable Days

  • 2012-04-26: Highest Volume — 23,971 contracts
  • 2012-04-13: Largest IV spike — 38.6% change
  • 2012-04-16: Highest IV Rank — 27.7%
  • 2012-04-16: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.88$21.72$27.14$21.72$26.30
Max Pain$22.35$20.00$25.00$23.00$25.00
ATM IV36.0%24.8%49.6%26.5%45.3%
Expected Move10.5%7.1%14.2%7.6%13.0%
HV 20d37.8%32.2%42.5%32.2%41.3%
HV 60d45.5%41.5%48.9%47.1%42.8%
IV Rank14.7%4.0%27.7%5.6%23.6%
IV Percentile40.3%4.8%79.4%9.1%68.7%
Term Structure-1.2%-7.4%6.1%4.4%-1.9%
VWIV37.7%25.7%60.1%28.0%42.7%
Skew 25d8.3%2.9%19.8%5.0%6.8%
Skew 10d14.8%2.8%29.2%2.8%29.2%
Call IV 25d31.8%18.8%46.5%25.9%35.0%
Put IV 25d40.1%28.8%55.9%30.9%41.8%
Bid-Ask Spread %82.9672.0788.3376.1087.77
Gamma HHI0.270.150.460.170.15
Net GEX331.1K143.0K742.5K151.2K271.0K
Net DEX-8.2M-17.8M-2.8M-2.8M-10.6M
Net VEX-36.6K-49.3K-26.8K-26.8K-49.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.027.440.520.46
Total Volume2,128.512523,971278497
Total OI12,567.19,19117,0619,19114,308

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$21.72$23.0026.5%7.6%32.2%5.6%28.0%5.0%4.4%151.2K-2.8M-26.8K0.5276.10183956,2282,963
2012-04-03$22.60$23.0025.5%7.3%34.8%4.7%25.7%3.6%4.3%203.9K-4.4M-27.8K0.2872.07330916,2873,031
2012-04-04$22.40$23.0029.3%8.4%33.5%8.3%28.6%9.9%4.3%190.5K-4.3M-28.2K1.1776.551291516,2973,040
2012-04-05$22.63$23.0024.8%7.1%33.2%4.0%25.9%2.9%6.1%197.0K-4.5M-28.4K0.4187.17102426,3803,169
2012-04-09$22.90$20.0029.4%9.5%33.2%8.4%37.0%7.8%0.2%208.5K-5.1M-27.7K1.3281.631712266,3943,211
2012-04-10$21.95$20.0034.4%10.6%35.8%13.2%38.0%7.8%0.1%143.0K-3.3M-28.1K1.9583.041362656,4793,392
2012-04-11$22.65$20.0033.2%10.3%37.6%12.0%36.3%9.3%0.2%173.2K-4.2M-29.8K1.1685.7758676,5153,624
2012-04-12$22.88$20.0035.2%10.1%35.9%14.0%35.5%5.4%-0.8%183.5K-4.8M-29.5K0.2082.77208426,5483,681
2012-04-13$23.50$20.0048.8%14.0%37.0%26.9%49.0%17.5%-4.1%200.7K-6.9M-32.4K0.2488.333,4388366,6403,677
2012-04-16$23.05$22.0049.6%14.2%35.8%27.7%48.3%9.5%-7.2%352.4K-6.9M-35.8K0.2584.641,1192759,3454,400
2012-04-17$24.25$22.0040.2%11.5%40.2%18.7%40.7%8.8%-5.5%635.7K-12.1M-35.2K0.3383.662,10768710,2144,600
2012-04-18$23.80$23.0036.1%10.4%40.6%14.8%34.3%6.4%-5.0%676.5K-10.7M-42.6K0.7685.3449938011,4615,108
2012-04-19$23.55$23.0034.6%9.9%40.8%13.4%35.3%9.9%-1.7%714.7K-9.2M-41.3K7.4487.196850611,5255,088
2012-04-20$23.72$23.0032.4%9.3%40.8%11.2%34.1%4.8%-1.9%742.5K-9.7M-42.2K1.1685.1230234911,5325,529
2012-04-23$24.50$23.0037.0%10.6%41.4%15.6%36.5%14.3%-4.3%303.5K-9.2M-43.1K0.5882.031,0996358,3534,676
2012-04-24$25.03$23.0036.2%10.4%41.9%14.9%36.9%6.7%1.6%317.3K-11.1M-47.8K0.1183.031,1421318,9795,182
2012-04-25$25.94$23.0034.8%10.0%42.5%13.5%38.8%19.8%-1.7%373.3K-14.5M-46.4K0.3884.985231989,5845,269
2012-04-26$27.14$23.0042.2%12.1%39.2%20.6%60.1%4.2%-4.9%331.0K-17.8M-45.4K0.0277.1823,3885839,7675,402
2012-04-27$27.10$25.0044.8%12.8%38.8%23.0%42.4%5.3%-7.4%252.4K-11.7M-45.0K0.1384.841,3351777,6515,813
2012-04-30$26.30$25.0045.3%13.0%41.3%23.6%42.7%6.8%-1.9%271.0K-10.6M-49.3K0.4687.773401578,3355,973