CQP Options History — May 2013

In May 2013, CQP traded between $26.95 and $30.99. ATM implied volatility averaged 23.4%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 3.7% (HV 20d: 19.7%). 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 19 of 22 days. Put/call ratio averaged 1.42.

Notable Days

  • 2013-05-30: Highest Volume — 1,166 contracts
  • 2013-05-15: Largest IV spike — 101.0% change
  • 2013-05-15: Highest IV Rank — 46.2%
  • 2013-05-01: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.60$26.95$30.99$27.00$30.99
Max Pain$25.27$25.00$27.00$27.00$25.00
ATM IV23.4%17.8%35.8%28.0%22.4%
Expected Move6.5%5.7%8.0%8.0%6.4%
HV 20d19.7%13.5%24.7%24.6%19.4%
HV 60d22.1%20.5%22.8%22.8%22.2%
IV Rank20.2%8.4%46.2%29.7%17.9%
IV Percentile20.5%2.4%77.8%44.8%17.5%
Term Structure1.0%-2.7%3.1%-2.7%1.5%
VWIV23.5%18.0%28.7%28.7%22.6%
Skew 25d4.4%1.7%6.8%3.0%4.2%
Skew 10d11.5%2.3%19.2%2.3%5.7%
Call IV 25d21.1%17.9%28.3%26.4%20.9%
Put IV 25d25.5%22.2%30.4%29.4%25.0%
Bid-Ask Spread %26.519.8778.5933.1321.15
Gamma HHI0.210.160.310.170.21
Net GEX315.1K51.5K532.3K349.9K51.5K
Net DEX-9.3M-11.9M-6.1M-6.6M-11.4M
Net VEX-22.6K-30.1K-17.3K-28.5K-22.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.035.055.051.03
Total Volume368.045141,166526474
Total OI13,548.512,44614,56113,19814,561

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$27.00$27.0028.0%8.0%24.6%29.7%28.7%3.0%-2.7%349.9K-6.6M-28.5K5.0533.13874395,4977,701
2013-05-02$26.95$27.0026.5%7.6%24.6%26.7%27.4%2.0%0.4%323.1K-6.1M-30.1K0.2423.29199485,5088,122
2013-05-03$27.15$27.0023.5%6.7%24.7%20.4%24.2%1.7%2.8%448.7K-6.8M-27.8K1.8135.4832585,5528,123
2013-05-06$27.19$25.0025.9%6.9%23.0%25.3%26.4%4.4%-0.5%437.2K-7.1M-27.5K0.4533.94154705,5738,128
2013-05-07$27.27$25.0027.3%7.1%22.9%28.3%23.8%5.7%-0.5%416.2K-7.5M-26.0K0.3619.7339145,5458,161
2013-05-08$27.54$25.0022.0%6.6%23.0%17.2%23.9%5.0%0.7%509.0K-8.2M-25.7K0.0322.32464125,5598,161
2013-05-09$27.36$25.0025.2%6.9%23.1%23.9%23.4%4.3%0.4%425.2K-7.6M-24.3K1.3320.06685,3078,166
2013-05-10$27.64$25.0022.0%6.4%23.0%17.2%24.8%4.2%1.0%450.8K-8.4M-23.3K0.8118.0248395,3108,168
2013-05-13$27.80$25.0023.3%6.4%20.2%20.0%24.0%6.5%1.4%460.8K-8.7M-23.7K0.3820.0895365,3508,170
2013-05-14$28.20$25.0017.8%6.5%20.0%8.4%18.0%6.8%1.3%532.3K-10.7M-18.0K0.0678.59637365,3838,178
2013-05-15$28.83$25.0035.8%6.0%19.6%46.2%21.1%1.9%3.1%392.8K-11.9M-17.3K0.6316.2567425,8048,185
2013-05-16$28.63$25.0021.0%6.0%20.0%15.2%22.8%4.4%3.0%359.9K-10.9M-21.1K2.0974.011042175,5538,191
2013-05-17$28.50$25.0023.5%6.7%17.9%20.3%24.0%4.5%1.3%377.3K-10.7M-20.3K0.8622.341221055,5348,310
2013-05-20$28.70$25.0020.7%5.9%16.5%14.5%23.2%4.8%0.4%277.5K-8.9M-19.4K0.9618.981291244,7237,723
2013-05-21$29.12$25.0019.9%5.7%15.6%12.8%21.1%5.1%2.2%272.9K-9.8M-18.4K0.999.871351334,7707,795
2013-05-22$29.50$25.0021.8%6.2%15.0%16.7%21.4%4.7%2.0%206.6K-10.5M-18.2K2.3113.603498064,8167,879
2013-05-23$29.73$25.0021.7%6.2%14.8%16.6%24.2%4.9%0.7%157.9K-9.8M-23.2K4.7515.941527224,8758,451
2013-05-24$30.14$25.0021.3%6.1%13.5%15.8%22.0%5.7%0.8%139.7K-10.6M-21.7K0.1312.9184114,9158,798
2013-05-28$30.74$25.0020.7%5.9%14.4%14.5%23.6%4.4%0.3%113.6K-11.8M-18.8K2.8213.63932624,9338,801
2013-05-29$29.83$25.0022.2%6.4%19.3%17.6%24.1%4.7%0.6%131.2K-10.0M-21.3K0.9243.831451344,9048,947
2013-05-30$30.43$25.0022.5%6.5%19.1%18.3%21.5%4.7%1.3%97.2K-11.0M-20.6K3.2216.052768904,9239,014
2013-05-31$30.99$25.0022.4%6.4%19.4%17.9%22.6%4.2%1.5%51.5K-11.4M-22.1K1.0321.152342405,0759,486