CQP Options History — October 2012

In October 2012, CQP traded between $21.26 and $23.22. ATM implied volatility averaged 34.5%, placing in the 32.6% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 1.0% (HV 20d: 33.6%). Max pain ranged from $21.00 to $24.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.41.

Notable Days

  • 2012-10-31: Highest Volume — 2,097 contracts
  • 2012-10-11: Largest IV spike — 29.8% change
  • 2012-10-12: Highest IV Rank — 47.4%
  • 2012-10-09: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.37$21.26$23.22$23.22$21.26
Max Pain$21.57$21.00$24.00$24.00$21.00
ATM IV34.5%28.2%40.0%30.3%34.0%
Expected Move10.5%8.4%11.7%8.7%9.7%
HV 20d33.6%22.2%40.7%40.7%28.8%
HV 60d28.3%27.1%30.5%28.6%30.5%
IV Rank32.6%12.4%47.4%13.8%32.4%
IV Percentile49.1%21.8%70.2%30.2%48.0%
Term Structure1.0%-3.3%11.7%11.7%1.0%
VWIV36.8%24.2%44.4%29.3%33.3%
Skew 25d6.7%-4.1%15.4%5.5%2.9%
Skew 10d11.2%-7.5%30.0%13.1%-2.1%
Call IV 25d33.1%27.4%36.2%28.8%32.0%
Put IV 25d39.8%29.6%44.7%34.3%34.8%
Bid-Ask Spread %79.4874.8686.0383.3776.47
Gamma HHI0.200.180.240.180.24
Net GEX114.4K4.3K222.1K136.4K75.2K
Net DEX344.0K-2.4M5.5M-2.0M3.8M
Net VEX-59.9K-67.4K-44.9K-66.3K-44.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.062.410.290.17
Total Volume782.9053142,0978612,097
Total OI23,423.95221,48925,89021,48922,123

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$23.22$24.0030.3%8.7%40.7%13.8%29.3%5.5%11.7%136.4K-2.0M-66.3K0.2983.3766619510,81210,677
2012-10-02$23.04$24.0029.4%8.4%40.2%12.4%30.2%4.2%10.0%119.7K-917.4K-67.4K0.9078.1854248911,09410,783
2012-10-03$22.79$24.0030.2%8.6%40.1%14.8%24.2%6.8%9.5%93.6K-466.7K-67.2K0.1379.102793511,50510,996
2012-10-04$22.76$24.0029.7%8.5%38.8%21.8%31.7%4.4%8.9%97.8K-244.4K-65.8K1.4576.9516524011,63011,031
2012-10-05$22.88$21.0028.2%11.2%38.8%18.1%44.4%9.2%-1.1%107.1K-683.5K-66.4K0.0982.556475711,70611,153
2012-10-08$22.85$21.0030.7%11.6%38.8%24.3%42.0%8.1%-2.0%122.3K-1.5M-64.1K0.4480.1944019412,14111,191
2012-10-09$22.94$21.0029.1%11.7%39.0%20.3%42.8%9.1%-2.7%120.0K-1.3M-66.0K0.0677.785313112,50511,325
2012-10-10$22.46$21.0030.2%11.2%39.0%23.1%40.0%5.5%-2.2%123.3K-266.1K-63.2K0.1181.936256712,85011,350
2012-10-11$22.51$21.0039.2%11.2%39.1%45.3%38.8%6.1%-0.6%94.8K45.7K-63.7K0.0981.418627412,65211,353
2012-10-12$22.30$21.0040.0%11.5%37.0%47.4%42.1%7.5%-1.5%61.3K1.6M-60.9K0.1281.524675712,78111,394
2012-10-15$22.07$21.0040.0%11.5%36.9%47.2%40.5%8.5%-0.7%58.9K2.4M-60.4K0.4276.9534814613,18711,439
2012-10-16$21.30$21.0039.8%11.4%36.9%46.9%39.0%5.2%-1.9%4.3K5.5M-55.3K0.8576.6587374413,18811,460
2012-10-17$21.92$21.0037.7%10.8%39.5%41.6%37.3%8.8%-1.8%68.3K3.0M-59.4K0.1276.965766813,46911,854
2012-10-18$21.71$21.0038.3%11.0%27.3%43.2%37.3%5.5%-2.6%43.4K3.6M-57.4K0.1978.195029313,67611,777
2012-10-19$22.04$21.0037.1%10.6%27.9%40.1%37.8%7.5%-1.7%37.6K1.7M-59.0K2.4176.0133881414,07611,814
2012-10-22$22.23$21.0037.1%10.6%27.4%40.3%36.6%7.2%-1.9%219.1K-1.5M-56.6K0.3382.6849516112,26910,426
2012-10-23$22.30$21.0036.8%10.6%22.2%39.5%39.5%8.8%-0.3%201.5K-836.7K-55.6K0.1779.195299012,27210,504
2012-10-24$22.25$21.0037.0%10.6%22.2%40.0%38.5%-4.1%-2.0%201.1K-743.5K-55.1K0.1086.034074112,08410,537
2012-10-25$22.50$21.0036.0%10.3%22.2%37.5%40.9%8.5%-3.3%222.1K-1.4M-53.3K0.1882.133927211,89810,558
2012-10-26$22.49$21.0034.6%9.9%22.2%34.0%26.5%15.4%5.9%194.7K-2.4M-49.9K0.0774.869266611,79810,565
2012-10-31$21.26$21.0034.0%9.7%28.8%32.4%33.3%2.9%1.0%75.2K3.8M-44.9K0.1776.471,79929811,55510,568