CQP Options History — May 2012

In May 2012, CQP traded between $22.95 and $26.48. ATM implied volatility averaged 43.0%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 3.1% (HV 20d: 39.9%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.82.

Notable Days

  • 2012-05-17: Highest Volume — 2,658 contracts
  • 2012-05-21: Largest IV drop — 12.0% change
  • 2012-05-04: Highest IV Rank — 25.6%
  • 2012-05-18: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.23$22.95$26.48$26.48$23.38
Max Pain$23.50$23.00$25.00$25.00$24.00
ATM IV43.0%38.7%47.4%44.0%41.9%
Expected Move12.2%11.1%13.3%12.6%12.0%
HV 20d39.9%33.9%45.0%41.2%33.9%
HV 60d42.0%36.9%45.9%42.8%36.9%
IV Rank21.4%17.3%25.6%22.3%20.4%
IV Percentile61.9%48.0%73.8%65.5%58.3%
Term Structure0.6%-4.2%5.9%2.3%5.9%
VWIV42.9%35.2%48.0%48.0%40.7%
Skew 25d5.8%1.3%9.4%8.9%3.5%
Skew 10d11.4%-10.5%30.3%27.5%-10.5%
Call IV 25d40.9%38.3%44.3%41.3%38.7%
Put IV 25d46.7%41.7%50.2%50.2%42.2%
Bid-Ask Spread %86.5681.4098.5882.1386.34
Gamma HHI0.150.130.210.140.18
Net GEX135.5K-150.5K298.2K281.5K67.7K
Net DEX-3.1M-10.5M2.3M-10.5M607.2K
Net VEX-57.8K-72.6K-49.2K-49.2K-70.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.820.0213.600.590.37
Total Volume611.318862,658762250
Total OI16,819.81814,51319,99114,51318,685

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$26.48$25.0044.0%12.6%41.2%22.3%48.0%8.9%2.3%281.5K-10.5M-49.2K0.5982.134792838,4726,041
2012-05-02$26.17$25.0039.8%11.4%40.3%18.4%39.7%7.0%1.6%262.9K-9.8M-50.1K0.6091.4767408,6806,277
2012-05-03$25.60$25.0044.1%12.7%41.2%22.5%45.1%9.4%-0.5%231.5K-8.0M-49.7K0.4382.146222658,6876,248
2012-05-04$24.50$23.0047.4%12.4%44.9%25.6%45.4%6.4%3.9%183.3K-5.5M-52.1K0.3384.645551859,0386,407
2012-05-07$24.29$23.0045.3%12.8%45.0%23.6%44.6%6.6%-1.6%146.6K-4.0M-49.7K1.0684.993483689,1026,537
2012-05-08$24.08$23.0044.8%12.1%42.0%23.1%45.0%5.4%2.3%146.3K-3.6M-51.2K1.6185.111542489,2136,876
2012-05-09$24.25$23.0041.9%12.0%40.8%20.4%41.7%4.6%0.9%154.9K-3.8M-51.3K0.7787.333062379,3057,018
2012-05-10$25.20$23.0045.0%12.9%42.6%23.3%41.8%9.0%-4.1%249.0K-6.8M-53.6K0.2398.584811109,4537,246
2012-05-11$25.53$23.0040.6%11.6%42.0%19.1%41.3%1.3%1.8%298.2K-8.5M-52.9K0.7090.542972089,5417,298
2012-05-14$25.04$23.0043.7%12.5%42.0%22.0%43.8%4.3%-0.2%257.0K-6.1M-52.1K0.1291.12263329,6257,452
2012-05-15$24.13$23.0043.5%12.5%40.6%21.8%44.4%5.4%-1.0%176.2K-3.3M-50.4K2.3292.471653839,7577,471
2012-05-16$24.23$23.0042.2%12.1%40.0%20.6%42.5%5.6%0.6%162.7K-3.4M-52.2K0.3190.5772229,7547,808
2012-05-17$23.70$23.0044.8%12.8%40.7%23.0%44.1%3.0%0.0%146.1K-2.1M-50.4K13.6087.781822,4769,7807,826
2012-05-18$22.95$23.0046.4%13.3%42.2%24.6%45.9%5.0%-2.1%-150.5K2.3M-63.2K0.5382.452321249,78510,206
2012-05-21$23.60$23.0040.9%11.7%41.7%19.3%41.4%6.9%1.5%75.6K-762.7K-62.7K0.0481.40365167,4178,331
2012-05-22$23.16$23.0044.0%12.6%41.2%22.3%42.1%5.3%-1.7%62.2K42.6K-61.2K0.8882.191621437,5798,335
2012-05-23$23.45$23.0043.5%12.5%39.0%21.9%35.2%4.7%-0.4%78.7K-442.7K-62.8K9.9486.292022,0087,6548,464
2012-05-24$23.15$24.0043.1%12.3%34.2%21.4%43.2%8.2%-4.2%22.4K1.6M-72.6K0.0283.198427,75410,314
2012-05-25$23.15$24.0040.8%11.7%34.2%19.3%40.6%6.0%2.5%23.9K1.7M-71.5K4.1383.0724997,80110,314
2012-05-29$23.44$24.0039.8%11.4%33.9%18.3%40.1%5.0%4.2%41.5K1.2M-70.6K0.4284.61200857,81810,358
2012-05-30$23.60$24.0038.7%11.1%33.9%17.3%46.3%5.6%2.0%62.7K577.3K-71.5K1.0685.922933127,95110,358
2012-05-31$23.38$24.0041.9%12.0%33.9%20.4%40.7%3.5%5.9%67.7K607.2K-70.8K0.3786.34182688,15810,527