CQP Options History — January 2013

In January 2013, CQP traded between $21.60 and $24.25. ATM implied volatility averaged 22.1%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 1.6% (HV 20d: 23.7%). Max pain ranged from $21.00 to $24.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.59.

Notable Days

  • 2013-01-04: Highest Volume — 1,990 contracts
  • 2013-01-10: Largest IV spike — 34.6% change
  • 2013-01-31: Highest IV Rank — 17.2%
  • 2013-01-09: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.61$21.60$24.25$21.60$23.15
Max Pain$22.33$21.00$24.00$21.00$24.00
ATM IV22.1%17.4%25.8%25.8%25.0%
Expected Move6.6%5.8%7.4%7.4%7.2%
HV 20d23.7%18.2%28.0%24.6%22.2%
HV 60d32.4%29.7%33.8%32.3%30.3%
IV Rank9.1%0.0%17.2%12.2%17.2%
IV Percentile2.9%0.0%9.5%7.1%9.5%
Term Structure2.8%0.7%5.6%1.4%0.7%
VWIV23.1%16.7%28.4%25.6%24.0%
Skew 25d5.9%2.1%13.3%6.0%2.9%
Skew 10d9.3%-0.3%16.9%13.1%0.5%
Call IV 25d18.6%12.3%23.3%20.3%16.1%
Put IV 25d24.5%19.0%28.4%26.3%19.0%
Bid-Ask Spread %76.6663.0192.3182.2281.15
Gamma HHI0.260.230.320.310.25
Net GEX143.4K-82.4K339.1K-82.4K12.0K
Net DEX-4.6M-8.5M3.7M3.7M706.6K
Net VEX-55.8K-57.8K-53.2K-55.7K-54.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.013.470.160.50
Total Volume792.6673071,9905241,682
Total OI18,631.61915,02720,52015,02719,047

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$21.60$21.0025.8%7.4%24.6%12.2%25.6%6.0%1.4%-82.4K3.7M-55.7K0.1682.22450744,80510,222
2013-01-03$22.38$21.0025.0%7.2%26.5%10.3%24.7%4.1%2.3%-1.5K689.9K-55.2K0.3467.286482235,14210,265
2013-01-04$22.85$21.0021.1%7.1%26.9%0.6%25.2%5.2%2.6%39.2K-1.4M-53.3K0.1282.471,7762145,37710,353
2013-01-07$22.84$21.0022.3%7.1%26.8%3.6%26.1%5.0%2.6%139.4K-3.3M-56.2K0.9481.277667236,78210,514
2013-01-08$23.45$22.0018.6%7.4%27.9%0.0%26.3%7.2%1.5%-17.4K-5.7M-55.9K0.2684.794111087,14910,926
2013-01-09$23.89$22.0017.4%7.4%28.0%0.0%26.0%3.9%1.8%-11.5K-7.4M-53.2K0.4680.785592567,27110,999
2013-01-10$23.91$22.0023.5%6.7%27.7%13.8%22.5%6.2%2.9%22.5K-7.8M-54.0K0.2176.611,0832327,54411,144
2013-01-11$23.82$22.0023.6%6.8%27.7%14.1%21.9%4.7%2.4%95.1K-7.9M-56.6K0.0163.9330438,19911,274
2013-01-14$23.91$22.0022.9%6.6%27.5%12.5%21.8%5.4%1.7%104.5K-7.9M-55.7K0.3976.643901528,27011,275
2013-01-15$24.05$22.0022.9%6.6%26.5%12.4%21.9%13.3%3.9%124.6K-8.1M-56.7K0.3978.464981958,31811,332
2013-01-16$24.04$22.0022.8%6.5%21.8%12.2%28.4%6.7%3.1%126.4K-8.3M-56.9K0.1968.82267528,49611,368
2013-01-17$24.10$22.0021.9%6.3%21.2%10.1%23.5%5.4%3.4%233.4K-8.5M-55.9K1.3272.093464568,56211,323
2013-01-18$24.07$23.0020.7%5.9%20.7%7.5%18.4%4.5%4.7%267.8K-8.5M-57.8K0.0568.321,251648,83511,685
2013-01-22$24.19$23.0022.2%6.4%20.7%10.8%17.6%9.7%2.4%259.2K-4.6M-56.8K0.2667.085241347,67110,922
2013-01-23$24.25$23.0021.2%6.1%20.5%8.5%21.1%2.1%2.8%333.2K-5.3M-55.8K0.2263.01373838,05110,970
2013-01-24$24.00$23.0021.0%6.0%20.6%8.1%16.7%6.3%3.2%313.5K-4.7M-56.3K0.1387.96535688,30510,972
2013-01-25$24.00$23.0020.3%5.8%19.3%6.5%24.5%6.4%4.6%297.5K-4.1M-56.7K2.0692.311463018,34411,008
2013-01-28$24.00$23.0021.2%6.1%19.4%8.6%24.8%6.0%3.5%290.0K-4.0M-56.3K0.5682.482681498,41411,267
2013-01-29$24.00$23.0020.1%5.8%18.2%6.0%21.8%7.6%5.6%339.1K-4.3M-56.7K0.3578.993481238,60411,300
2013-01-30$23.26$24.0024.1%6.9%22.4%15.2%22.9%5.3%1.2%127.9K-387.2K-55.4K3.4773.11923197,58511,374
2013-01-31$23.15$24.0025.0%7.2%22.2%17.2%24.0%2.9%0.7%12.0K706.6K-54.3K0.5081.151,1225607,62511,422