CQP Options History — July 2012

In July 2012, CQP traded between $22.96 and $25.50. ATM implied volatility averaged 34.2%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 14.1% (HV 20d: 20.1%). Max pain ranged from $19.00 to $24.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.41.

Notable Days

  • 2012-07-05: Highest Volume — 1,518 contracts
  • 2012-07-05: Largest IV drop — 15.9% change
  • 2012-07-16: Highest IV Rank — 16.9%
  • 2012-07-10: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.31$22.96$25.50$22.96$24.43
Max Pain$21.52$19.00$24.00$21.00$24.00
ATM IV34.2%27.8%38.5%34.8%37.6%
Expected Move10.3%8.0%11.7%10.0%10.8%
HV 20d20.1%18.0%24.0%19.4%23.8%
HV 60d40.6%37.6%43.6%43.5%37.6%
IV Rank12.9%6.9%16.9%13.6%16.1%
IV Percentile32.5%12.7%45.6%34.9%45.2%
Term Structure1.1%-4.0%7.7%6.7%-1.7%
VWIV36.4%29.6%42.8%32.2%36.4%
Skew 25d8.5%3.9%14.1%14.1%6.9%
Skew 10d14.5%-1.3%28.0%14.2%15.9%
Call IV 25d31.5%24.6%37.5%24.6%34.5%
Put IV 25d40.0%35.5%44.0%38.7%41.4%
Bid-Ask Spread %78.7771.6589.8575.9971.65
Gamma HHI0.190.160.220.220.17
Net GEX166.8K92.1K248.5K92.1K104.8K
Net DEX-4.6M-9.6M-1.3M-1.3M-2.1M
Net VEX-61.1K-65.0K-57.3K-61.0K-57.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.031.831.410.28
Total Volume380.619631,51817169
Total OI17,027.28615,53518,51716,14415,786

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-07-02$22.96$21.0034.8%10.0%19.4%13.6%32.2%14.1%6.7%92.1K-1.3M-61.0K1.4175.99711007,4398,705
2012-07-03$23.43$21.0033.1%9.5%18.6%11.9%29.6%8.4%6.9%113.8K-2.3M-60.5K0.0777.388267,4768,770
2012-07-05$23.65$21.0027.8%8.0%18.0%6.9%30.5%6.5%7.7%137.9K-2.9M-60.1K0.0672.031,426927,4358,770
2012-07-06$23.23$19.0031.0%10.8%18.7%10.0%38.4%10.3%2.4%159.7K-2.5M-65.0K0.0981.899698,7328,783
2012-07-09$23.12$19.0031.3%11.4%19.1%10.0%39.5%7.6%-1.4%162.1K-1.9M-64.3K0.3474.28175608,7318,779
2012-07-10$23.19$19.0030.1%11.7%18.7%8.9%39.4%6.5%-1.5%184.9K-1.8M-63.1K0.1281.3081108,7418,794
2012-07-11$23.40$19.0032.6%11.1%18.8%11.3%36.1%8.0%-1.3%201.9K-2.5M-63.7K0.1179.045768,7638,794
2012-07-12$23.92$19.0035.4%10.2%19.7%14.0%39.7%13.6%-0.7%244.2K-4.3M-64.6K0.6983.806204268,6378,797
2012-07-13$24.34$22.0038.0%10.9%20.0%16.4%36.2%7.3%2.1%236.6K-5.9M-64.8K0.5181.47153788,9869,146
2012-07-16$24.23$22.0038.5%11.0%20.4%16.9%36.8%3.9%-1.4%248.5K-6.2M-63.6K0.1185.31654709,0139,125
2012-07-17$25.00$22.0036.1%10.3%21.7%14.6%41.4%11.4%2.9%226.4K-8.8M-60.7K0.2580.83147379,3539,164
2012-07-18$24.81$22.0034.1%9.8%20.3%12.7%33.4%8.5%2.0%190.3K-8.8M-61.5K0.1182.98280329,1409,194
2012-07-19$24.95$22.0034.6%9.9%19.7%13.2%36.3%6.0%0.5%172.2K-9.0M-58.7K1.8377.0641759,0599,180
2012-07-20$25.50$22.0033.4%9.6%19.7%12.0%35.9%9.8%3.9%190.9K-9.6M-58.4K0.4277.822951249,0439,210
2012-07-23$25.19$22.0034.1%9.8%20.8%12.7%42.8%5.9%3.0%123.3K-5.2M-57.3K0.7372.62116857,0848,451
2012-07-24$25.28$23.0036.2%10.4%19.8%14.7%39.0%8.5%-1.0%134.4K-4.9M-58.0K0.2475.808081987,1128,467
2012-07-25$25.08$23.0036.9%10.6%20.5%15.4%34.6%9.5%-1.9%154.7K-4.4M-61.1K0.3176.36124387,6448,644
2012-07-26$25.00$23.0034.4%9.9%20.7%13.0%36.1%7.8%-0.8%142.4K-4.5M-60.1K0.4881.59136657,7458,676
2012-07-27$25.25$23.0032.5%9.3%20.7%11.1%33.4%9.6%1.2%162.7K-4.9M-59.9K0.0389.85716247,7478,713
2012-07-30$24.54$24.0036.6%10.5%24.0%15.0%37.3%7.5%-4.0%118.3K-2.5M-58.2K0.5075.242081037,0108,735
2012-07-31$24.43$24.0037.6%10.8%23.8%16.1%36.4%6.9%-1.7%104.8K-2.1M-57.9K0.2871.6554156,9848,802