CQP Options History — April 2013

In April 2013, CQP traded between $25.89 and $27.41. ATM implied volatility averaged 24.1%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 1.2% (HV 20d: 25.3%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.82.

Notable Days

  • 2013-04-26: Highest Volume — 2,347 contracts
  • 2013-04-03: Largest IV spike — 31.4% change
  • 2013-04-29: Highest IV Rank — 31.7%
  • 2013-04-29: Largest Expected Move — 8.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.70$25.89$27.41$27.37$27.30
Max Pain$25.91$25.00$27.00$25.00$27.00
ATM IV24.1%16.7%28.9%19.8%26.1%
Expected Move7.1%4.8%8.3%5.7%7.5%
HV 20d25.3%16.3%30.1%16.5%28.1%
HV 60d21.4%19.1%23.4%20.1%22.6%
IV Rank21.5%6.0%31.7%12.5%25.7%
IV Percentile20.9%1.2%49.2%3.6%29.0%
Term Structure-0.3%-3.8%6.2%4.3%-0.3%
VWIV24.8%13.6%29.5%14.7%25.0%
Skew 25d3.9%-2.2%7.2%0.1%5.9%
Skew 10d9.1%-1.4%16.7%-1.4%5.5%
Call IV 25d22.4%9.9%26.8%14.9%21.2%
Put IV 25d26.4%13.2%31.2%15.1%27.1%
Bid-Ask Spread %32.4418.0475.2870.4724.72
Gamma HHI0.220.180.280.230.20
Net GEX271.4K196.5K484.4K257.9K386.0K
Net DEX-8.0M-11.4M-5.8M-10.8M-7.5M
Net VEX-30.1K-35.1K-21.4K-27.0K-27.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.023.320.720.42
Total Volume441.409952,347537345
Total OI13,408.86412,27314,03913,02613,007

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$27.37$25.0019.8%5.7%16.5%12.5%14.7%0.1%4.3%257.9K-10.8M-27.0K0.7270.473122255,6727,354
2013-04-02$27.25$25.0016.7%4.8%16.3%6.0%13.6%3.3%6.2%371.9K-11.4M-21.4K1.0974.891191305,8217,365
2013-04-03$26.23$25.0021.9%6.3%22.4%17.0%21.2%-2.2%3.7%242.3K-7.2M-34.4K0.6471.793472225,7977,405
2013-04-04$26.20$25.0020.3%5.8%22.4%13.6%22.3%2.0%5.2%257.5K-6.8M-34.8K1.4320.87871245,8887,540
2013-04-05$26.30$26.0021.8%7.5%22.1%16.8%25.4%3.1%-1.6%246.0K-7.1M-35.1K0.7721.9978605,9547,624
2013-04-08$26.99$26.0020.9%7.3%23.2%14.8%26.5%4.8%-1.9%248.1K-9.6M-29.4K0.3221.75228725,9797,638
2013-04-09$26.88$26.0021.3%7.4%23.4%15.7%27.0%3.5%-1.3%253.8K-9.3M-31.9K2.5820.15902326,0257,646
2013-04-10$26.73$26.0021.1%7.1%23.7%15.3%24.6%4.3%-1.1%239.8K-8.8M-32.4K1.2622.2772916,0387,820
2013-04-11$26.88$26.0025.1%7.2%23.6%23.8%25.4%2.6%-1.0%222.2K-9.1M-30.5K0.3821.8769266,0307,830
2013-04-12$26.62$26.0025.4%7.3%23.9%24.3%25.7%4.4%-1.7%238.8K-8.5M-32.8K0.2422.5384206,0447,821
2013-04-15$25.89$26.0028.3%8.1%26.1%30.4%29.5%4.4%-1.5%219.7K-5.9M-34.7K0.2623.47188496,0647,821
2013-04-16$26.32$26.0027.9%8.0%26.6%29.6%26.7%4.6%-2.2%216.1K-7.4M-32.2K0.8633.7866576,1037,854
2013-04-17$25.89$26.0026.7%7.6%27.4%27.0%26.1%4.2%-1.2%196.5K-5.8M-34.1K0.1920.77465906,1287,858
2013-04-18$25.91$26.0026.0%7.5%27.3%25.7%28.1%5.4%-0.0%202.6K-6.0M-32.9K3.3219.28371236,2647,759
2013-04-19$26.71$26.0024.3%7.0%29.2%22.1%24.8%2.9%-2.0%484.4K-8.7M-23.6K0.6338.30108686,2697,770
2013-04-22$26.31$26.0026.5%7.6%29.2%26.6%27.7%5.0%-1.6%280.7K-6.6M-27.9K1.4720.06741095,3597,210
2013-04-23$26.90$26.0025.3%7.2%30.1%24.1%25.4%5.1%-0.9%327.4K-7.9M-25.5K0.3518.04209735,4027,242
2013-04-24$27.41$26.0024.7%7.1%29.2%23.0%26.6%6.3%-0.8%283.4K-9.2M-26.8K0.4575.287583395,4917,305
2013-04-25$27.31$26.0025.3%7.2%29.2%24.1%25.4%5.3%-1.4%285.2K-8.9M-28.4K0.5425.633571935,6267,520
2013-04-26$26.93$26.0025.2%7.2%27.8%23.9%26.3%4.5%-0.8%282.5K-7.7M-31.8K0.0218.832,290575,7927,587
2013-04-29$27.05$27.0028.9%8.3%27.9%31.7%28.1%7.2%-3.8%227.4K-6.2M-27.4K0.0626.90909594,6427,631
2013-04-30$27.30$27.0026.1%7.5%28.1%25.7%25.0%5.9%-0.3%386.0K-7.5M-27.0K0.4224.722431025,3667,641