CQP Options History — June 2012

In June 2012, CQP traded between $19.81 and $22.90. ATM implied volatility averaged 42.8%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 10.3% (HV 20d: 53.1%). Max pain ranged from $19.00 to $24.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.43.

Notable Days

  • 2012-06-04: Highest Volume — 2,821 contracts
  • 2012-06-04: Largest IV spike — 39.0% change
  • 2012-06-05: Highest IV Rank — 38.9%
  • 2012-06-05: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.44$19.81$22.90$22.90$22.61
Max Pain$19.81$19.00$24.00$24.00$20.00
ATM IV42.8%30.0%61.3%41.5%30.0%
Expected Move12.1%8.6%15.6%11.9%8.6%
HV 20d53.1%33.8%57.4%33.8%53.0%
HV 60d44.5%36.7%45.9%36.7%43.4%
IV Rank21.2%9.0%38.9%19.9%9.0%
IV Percentile56.7%18.3%93.7%57.1%18.3%
Term Structure3.1%-4.9%8.8%5.0%8.8%
VWIV41.3%28.5%55.5%42.6%28.5%
Skew 25d7.3%4.2%13.1%4.7%5.4%
Skew 10d18.3%-15.0%31.6%-15.0%10.5%
Call IV 25d39.0%26.6%50.9%42.7%29.9%
Put IV 25d46.3%35.3%57.4%47.4%35.3%
Bid-Ask Spread %77.4567.3793.5793.5778.94
Gamma HHI0.270.180.370.180.22
Net GEX-32.3K-126.6K108.9K16.1K108.9K
Net DEX4.2M-625.1K8.7M2.5M-625.1K
Net VEX-60.2K-70.3K-57.1K-70.3K-60.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.072.100.470.88
Total Volume449.762222,821270799
Total OI17,389.47613,74120,30418,73115,556

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$22.90$24.0041.5%11.9%33.8%19.9%42.6%4.7%5.0%16.1K2.5M-70.3K0.4793.57184868,22810,503
2012-06-04$20.05$22.0057.7%15.6%55.2%35.4%52.2%5.1%-3.5%-110.7K8.1M-57.3K0.5167.371,8729498,32010,498
2012-06-05$19.81$19.0061.3%15.6%55.2%38.9%54.6%8.0%-4.9%-126.6K8.7M-57.4K0.1076.00835868,13911,083
2012-06-06$20.23$19.0055.0%14.7%56.3%32.8%47.5%7.8%0.9%-95.6K7.3M-60.2K0.5569.25180998,66111,089
2012-06-07$20.78$19.0048.0%14.3%57.4%26.1%48.3%6.3%-1.9%-95.7K6.8M-61.0K0.1269.89136168,68311,093
2012-06-08$20.90$19.0044.0%13.6%55.1%22.4%45.4%7.3%-0.8%-99.1K6.8M-60.8K0.7473.7384628,72911,106
2012-06-11$20.81$19.0051.8%13.7%54.5%29.8%55.5%8.8%2.4%-91.4K6.5M-59.9K0.9473.701241168,77311,137
2012-06-12$20.90$19.0046.7%13.8%54.6%24.9%44.9%4.2%2.8%-100.8K6.7M-59.1K0.3172.613321048,78411,178
2012-06-13$21.00$19.0046.0%13.3%53.8%24.3%44.7%6.5%3.6%-79.9K6.4M-59.4K0.2673.5762169,07211,231
2012-06-14$21.17$19.0044.2%12.7%53.9%22.6%43.2%8.9%0.4%-77.2K5.7M-59.4K2.1079.65711499,08311,198
2012-06-15$21.25$19.0042.8%12.3%53.7%21.2%41.5%6.0%3.3%-42.7K5.2M-59.6K0.2078.36365739,12611,178
2012-06-18$21.15$19.0039.0%11.2%52.8%17.5%37.2%7.0%7.1%-55.0K4.3M-57.1K0.3271.363421105,4538,288
2012-06-19$21.87$20.0037.5%10.8%53.3%16.1%38.1%7.1%5.0%-29.4K2.5M-60.2K0.2875.57333935,7618,377
2012-06-20$22.29$20.0034.7%10.0%53.5%13.5%31.6%7.7%6.6%-5611.6M-60.5K0.0781.26611446,0358,380
2012-06-21$22.08$20.0034.7%9.9%53.3%13.4%35.1%5.7%6.6%22.1K1.9M-61.8K0.4277.4140176,6198,421
2012-06-22$22.11$20.0035.6%10.2%53.2%14.3%34.1%7.2%6.7%28.2K1.6M-61.3K0.1678.131936,5958,356
2012-06-25$21.87$20.0037.2%10.7%53.3%15.8%37.4%12.6%4.2%15.2K2.4M-59.4K0.1983.2984166,6088,359
2012-06-26$21.94$20.0037.5%10.8%53.0%16.2%38.2%7.8%4.3%22.2K1.9M-60.0K0.2581.76346856,6778,374
2012-06-27$22.15$20.0037.0%10.6%53.1%15.6%31.8%13.1%3.7%47.3K1.2M-59.7K0.1287.61143176,8068,342
2012-06-28$22.40$20.0035.9%10.3%53.3%14.6%34.3%6.8%4.7%67.0K805.1K-60.2K0.1383.52302406,9218,359
2012-06-29$22.61$20.0030.0%8.6%53.0%9.0%28.5%5.4%8.8%108.9K-625.1K-60.4K0.8878.944253747,1798,377