CQP Options History — August 2012

In August 2012, CQP traded between $23.89 and $25.81. ATM implied volatility averaged 28.8%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 9.4% (HV 20d: 19.4%). Max pain ranged from $23.00 to $24.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.72.

Notable Days

  • 2012-08-29: Highest Volume — 669 contracts
  • 2012-08-16: Largest IV spike — 18.2% change
  • 2012-08-02: Highest IV Rank — 18.6%
  • 2012-08-02: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$24.72$23.89$25.81$24.35$25.68
Max Pain$23.13$23.00$24.00$24.00$23.00
ATM IV28.8%23.3%40.3%39.1%25.7%
Expected Move8.6%7.2%11.6%11.2%7.4%
HV 20d19.4%15.3%23.0%23.0%17.7%
HV 60d32.8%19.3%37.6%37.6%19.3%
IV Rank9.9%3.6%18.6%17.5%7.0%
IV Percentile15.8%1.2%52.8%48.4%6.7%
Term Structure3.1%-0.4%6.0%-0.4%4.1%
VWIV30.2%23.9%37.8%33.3%28.5%
Skew 25d6.9%3.3%21.2%8.3%6.7%
Skew 10d12.1%2.7%18.4%16.5%16.6%
Call IV 25d26.6%21.9%33.4%32.2%22.7%
Put IV 25d33.5%28.1%43.1%40.6%29.4%
Bid-Ask Spread %89.5175.9997.1075.9992.60
Gamma HHI0.180.160.210.170.20
Net GEX207.7K107.9K321.4K107.9K298.9K
Net DEX-3.2M-6.8M-905.4K-1.8M-5.9M
Net VEX-48.3K-57.2K-43.0K-57.2K-47.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.013.070.391.17
Total Volume209.2612466912889
Total OI15,628.78314,44116,40715,77715,962

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$24.35$24.0039.1%11.2%23.0%17.5%33.3%8.3%-0.4%107.9K-1.8M-57.2K0.3975.9992366,9768,801
2012-08-02$24.30$24.0040.3%11.6%22.8%18.6%37.2%21.2%0.4%110.1K-1.9M-56.5K0.0190.9442667,0228,815
2012-08-03$24.43$24.0038.0%10.9%21.7%16.4%37.8%7.1%-0.4%130.3K-2.0M-55.8K0.2986.04112327,2338,817
2012-08-06$24.09$23.0033.0%9.7%22.3%11.6%36.0%7.9%1.0%125.0K-925.2K-53.8K1.2579.171461837,2268,828
2012-08-07$24.00$23.0029.9%9.4%22.4%8.7%32.2%6.6%3.2%140.2K-905.4K-53.7K0.1583.50143227,2818,792
2012-08-08$23.89$23.0031.3%10.0%22.4%15.2%35.0%3.3%1.4%130.2K-998.5K-51.8K1.1587.3433387,2518,790
2012-08-09$24.20$23.0027.8%9.4%21.5%10.1%32.8%6.9%3.4%174.3K-1.3M-52.4K1.1988.0016197,2538,813
2012-08-10$24.28$23.0027.1%9.5%20.6%9.0%31.0%6.9%1.7%209.4K-2.1M-49.3K0.3690.94139507,2698,823
2012-08-13$24.77$23.0026.9%8.3%21.7%8.8%35.1%6.6%5.1%198.2K-3.0M-49.0K0.8391.651331117,2888,823
2012-08-14$24.89$23.0025.9%8.6%18.6%7.4%28.8%4.9%6.0%284.4K-3.9M-48.2K0.0597.10322167,3498,847
2012-08-15$25.12$23.0023.3%8.3%18.7%3.6%29.4%6.7%4.9%287.5K-4.8M-48.9K0.3393.811867,5568,851
2012-08-16$24.86$23.0027.5%7.9%19.0%9.7%28.1%5.9%5.8%268.4K-3.8M-46.6K0.9094.4739357,3498,763
2012-08-17$24.99$23.0027.1%7.8%17.2%9.1%28.2%8.5%6.0%321.4K-4.4M-46.7K3.0783.2130927,3748,765
2012-08-20$24.53$23.0025.5%7.3%17.9%6.7%25.5%9.2%1.6%143.1K-2.3M-44.3K0.2488.8282206,3998,042
2012-08-21$24.63$23.0026.9%7.7%17.9%8.8%28.3%6.9%2.7%162.8K-2.9M-43.7K0.4390.33176756,4498,051
2012-08-22$24.58$23.0026.5%7.6%17.8%8.2%27.8%6.5%5.8%167.4K-2.8M-43.6K0.4089.962881146,5308,100
2012-08-23$24.43$23.0028.6%8.2%17.9%11.2%27.4%3.9%0.9%168.0K-2.5M-43.5K0.3394.1464216,6178,171
2012-08-24$24.81$23.0025.1%7.2%18.4%6.2%25.2%7.8%5.7%210.5K-3.1M-43.6K0.0386.949236,6628,188
2012-08-27$24.95$23.0027.7%7.9%15.3%9.9%28.7%4.3%2.3%232.3K-3.8M-43.4K0.3994.363011176,7218,189
2012-08-28$25.39$23.0025.6%7.3%16.3%6.9%23.9%5.7%3.7%307.6K-5.3M-43.1K0.3494.73181626,9368,300
2012-08-29$25.81$23.0026.2%7.5%16.9%7.8%27.0%3.7%3.2%314.5K-6.8M-43.0K1.2993.032923777,0188,309
2012-08-30$25.50$23.0028.0%8.0%17.7%10.3%27.5%3.5%2.9%284.9K-5.7M-47.0K1.9391.66561087,1948,669
2012-08-31$25.68$23.0025.7%7.4%17.7%7.0%28.5%6.7%4.1%298.9K-5.9M-47.0K1.1792.6041487,1898,773