CQP Options History — November 2012

In November 2012, CQP traded between $17.87 and $21.16. ATM implied volatility averaged 32.4%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 5.2% (HV 20d: 37.6%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 2.03.

Notable Days

  • 2012-11-02: Highest Volume — 7,675 contracts
  • 2012-11-13: Largest IV spike — 35.0% change
  • 2012-11-14: Highest IV Rank — 70.6%
  • 2012-11-13: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.23$17.87$21.16$21.16$20.85
Max Pain$22.38$21.00$23.00$21.00$22.00
ATM IV32.4%25.4%49.5%32.5%26.1%
Expected Move9.0%7.3%10.9%9.3%7.5%
HV 20d37.6%28.8%45.9%28.8%41.9%
HV 60d34.0%30.4%37.2%30.4%36.9%
IV Rank28.7%11.2%70.6%28.7%12.9%
IV Percentile39.9%4.4%97.6%42.1%9.5%
Term Structure2.7%-0.5%5.4%3.6%4.7%
VWIV30.3%22.5%35.3%33.5%27.4%
Skew 25d5.2%0.3%14.0%0.9%14.0%
Skew 10d10.4%-6.6%24.0%-6.6%17.2%
Call IV 25d28.6%15.3%35.3%33.8%15.3%
Put IV 25d33.8%26.9%39.4%34.7%29.3%
Bid-Ask Spread %79.5271.8986.1485.6883.80
Gamma HHI0.520.270.700.270.51
Net GEX-361.3K-584.1K-11.3K-11.3K-419.6K
Net DEX10.9M4.8M18.9M4.8M7.8M
Net VEX-51.0K-61.5K-38.3K-42.9K-53.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.030.0725.120.100.92
Total Volume1,086.3811517,6751,037194
Total OI23,874.71420,60827,64621,86522,579

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$21.16$21.0032.5%9.3%28.8%28.7%33.5%0.9%3.6%-11.3K4.8M-42.9K0.1085.689429511,14010,725
2012-11-02$20.83$21.0033.0%9.5%29.0%30.1%31.6%0.8%0.3%-71.2K6.3M-42.2K6.3873.031,0406,63511,63410,747
2012-11-05$20.73$23.0034.8%9.6%29.0%34.4%34.1%6.5%0.8%-285.0K10.6M-60.9K0.4980.9260529512,18715,126
2012-11-06$21.01$23.0034.3%9.3%29.5%33.3%31.2%7.1%2.7%-17.3K6.8M-53.2K0.0781.398756512,09811,937
2012-11-07$20.45$23.0037.0%9.7%30.5%39.9%34.4%4.5%3.2%-212.1K9.8M-49.3K25.1284.191313,29112,44311,953
2012-11-08$20.15$23.0032.5%9.9%30.5%28.7%33.1%5.1%1.8%-449.0K13.9M-61.5K0.5779.3029116712,46815,178
2012-11-09$19.89$23.0034.9%10.0%30.1%34.8%35.1%2.9%2.3%-404.2K13.9M-54.8K1.5871.9715524512,59413,658
2012-11-12$19.63$23.0034.1%9.9%30.0%32.9%34.1%7.6%2.8%-488.4K15.0M-51.3K1.0174.7918118312,62413,824
2012-11-13$18.73$23.0046.1%10.9%33.2%62.4%33.5%6.8%-0.3%-415.9K17.7M-43.9K0.6580.0967943912,64513,951
2012-11-14$17.87$23.0049.5%10.8%35.9%70.6%35.3%4.0%1.0%-302.2K18.9M-38.3K1.0577.0538940813,06214,172
2012-11-15$18.65$23.0036.2%10.4%39.3%37.9%34.7%6.1%2.1%-344.9K17.6M-43.6K0.4272.6940116712,82113,983
2012-11-16$19.67$23.0031.8%9.1%43.0%27.0%32.1%8.9%3.7%-584.1K14.5M-51.2K0.3275.5094630412,89114,026
2012-11-19$20.25$22.0029.3%8.4%44.7%20.8%28.1%0.3%3.0%-450.6K10.7M-53.0K0.1772.65551968,04912,559
2012-11-20$20.74$22.0027.1%7.8%45.3%15.4%28.1%6.8%5.4%-408.2K8.5M-53.4K0.1285.62719848,26412,576
2012-11-21$20.79$22.0025.4%7.3%45.1%11.2%27.6%3.9%4.0%-415.3K8.3M-54.1K0.2280.30124278,48312,592
2012-11-23$21.13$22.0025.8%7.4%45.6%12.2%25.1%3.1%5.0%-358.0K7.0M-53.7K0.2184.06178388,56012,608
2012-11-26$20.75$22.0028.6%8.2%45.9%19.3%22.5%3.9%-0.5%-432.3K8.6M-52.4K0.9083.68106958,61712,623
2012-11-27$20.50$22.0028.3%8.1%45.7%18.5%26.3%4.0%2.9%-465.5K8.9M-51.8K0.9771.895445258,65512,707
2012-11-28$20.50$22.0027.5%7.9%45.7%16.4%25.2%8.7%4.2%-524.0K10.1M-53.0K1.0085.251291299,11413,158
2012-11-29$20.50$22.0026.8%7.7%41.4%14.6%24.5%3.4%3.5%-528.4K9.5M-52.7K0.2886.14270769,19613,142
2012-11-30$20.85$22.0026.1%7.5%41.9%12.9%27.4%14.0%4.7%-419.6K7.8M-53.6K0.9283.80101939,43013,149