CQP Options History — July 2013

In July 2013, CQP traded between $28.75 and $31.04. ATM implied volatility averaged 30.9%, placing in the 47.8% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 11.4% (HV 20d: 42.2%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.00.

Notable Days

  • 2013-07-23: Highest Volume — 1,901 contracts
  • 2013-07-30: Largest IV spike — 24.1% change
  • 2013-07-30: Highest IV Rank — 69.7%
  • 2013-07-30: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.06$28.75$31.04$29.57$28.75
Max Pain$28.41$28.00$30.00$28.00$30.00
ATM IV30.9%26.9%38.7%29.8%35.9%
Expected Move9.0%7.7%11.1%8.6%10.3%
HV 20d42.2%21.2%53.3%53.2%23.3%
HV 60d34.7%33.8%35.6%35.6%35.4%
IV Rank47.8%36.7%69.7%45.0%62.1%
IV Percentile70.6%43.3%96.8%65.9%90.1%
Term Structure-1.8%-7.8%2.2%2.2%-3.3%
VWIV31.3%26.8%36.5%29.9%34.3%
Skew 25d6.9%3.6%10.5%4.1%10.3%
Skew 10d16.8%-1.4%24.2%5.9%15.0%
Call IV 25d28.4%24.3%31.8%29.2%30.9%
Put IV 25d35.3%31.8%41.2%33.3%41.2%
Bid-Ask Spread %22.6815.8440.2621.6940.26
Gamma HHI0.210.180.250.250.19
Net GEX151.8K37.0K297.7K39.8K37.0K
Net DEX-5.6M-9.3M534.9K-4.2M534.9K
Net VEX-60.5K-66.4K-54.7K-60.9K-62.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.025.620.140.55
Total Volume459.727771,9011,283435
Total OI14,994.54512,75315,91814,10314,596

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$29.57$28.0029.8%8.6%53.2%45.0%29.9%4.1%2.2%39.8K-4.2M-60.9K0.1421.691,1271565,6998,404
2013-07-02$29.75$28.0030.5%8.7%53.3%46.8%31.4%3.6%1.5%116.8K-5.5M-65.6K0.2125.10207446,6308,507
2013-07-03$29.56$28.0029.9%8.6%48.5%45.2%30.1%5.1%1.7%114.2K-4.7M-66.4K0.0215.909226,7648,528
2013-07-05$29.50$28.0032.3%9.8%48.6%51.7%31.3%6.3%-4.0%135.8K-4.9M-66.3K0.9825.3751506,8298,528
2013-07-08$30.00$28.0030.3%9.4%48.6%46.2%32.7%6.7%-4.0%188.8K-6.0M-62.5K0.8220.2185706,8498,539
2013-07-09$30.00$28.0031.0%9.3%47.7%48.2%31.1%6.4%-3.5%148.0K-7.1M-62.6K0.3120.77160496,8608,511
2013-07-10$30.15$28.0029.3%9.4%47.7%43.4%31.4%6.8%-2.8%185.1K-7.1M-61.1K0.2621.9661166,9468,518
2013-07-11$30.18$28.0032.3%9.3%47.7%51.8%34.4%7.3%-2.8%169.1K-7.6M-60.8K0.6115.842911786,9868,517
2013-07-12$30.30$28.0030.7%8.8%47.7%47.4%30.6%6.6%-2.7%206.8K-7.9M-60.1K0.4016.6896387,0578,521
2013-07-15$30.75$28.0029.1%8.4%47.3%43.0%30.5%6.0%-1.3%163.6K-9.3M-55.7K0.3919.56217857,0478,555
2013-07-16$30.30$28.0031.8%9.1%47.7%50.6%32.6%5.2%-2.4%173.1K-8.4M-57.4K5.6226.15502817,0888,609
2013-07-17$30.58$28.0029.7%8.5%47.7%44.6%29.5%6.7%-1.6%143.9K-8.7M-57.3K0.9818.0348477,1148,804
2013-07-18$30.19$28.0029.9%8.6%47.5%45.0%26.8%7.2%-2.1%180.3K-7.6M-56.3K0.2528.56336836,9988,752
2013-07-19$29.84$28.0030.3%8.7%44.8%46.4%31.0%7.8%-2.5%297.7K-5.6M-58.3K0.1618.75255417,0808,779
2013-07-22$30.05$28.0030.4%8.7%44.4%46.5%32.2%5.2%-3.1%95.9K-3.2M-55.3K0.9224.714494155,3787,375
2013-07-23$31.04$29.0026.9%7.7%41.8%36.7%28.7%8.3%-0.9%152.7K-5.8M-54.7K0.2625.091,5133885,5887,635
2013-07-24$30.50$29.0028.4%8.2%42.7%41.0%31.7%6.7%-0.4%233.1K-5.9M-60.1K4.1421.9422916,6197,690
2013-07-25$30.86$29.0028.6%8.2%27.0%41.5%31.8%7.6%0.4%210.2K-6.1M-59.1K2.7821.323008346,6207,745
2013-07-26$30.50$29.0032.0%9.2%27.6%51.0%29.7%9.2%-1.6%159.3K-4.9M-63.7K0.0325.32413136,6728,305
2013-07-29$29.93$29.0031.1%8.9%21.2%48.6%31.3%10.5%0.4%122.8K-3.2M-63.1K1.0824.923283556,8588,311
2013-07-30$29.11$30.0038.7%11.1%23.1%69.7%36.5%8.5%-7.8%65.6K-404.3K-62.2K1.1920.931561866,3158,154
2013-07-31$28.75$30.0035.9%10.3%23.3%62.1%34.3%10.3%-3.3%37.0K534.9K-62.5K0.5540.262811546,4308,166