CQP Options History — August 2013

In August 2013, CQP traded between $26.42 and $28.83. ATM implied volatility averaged 30.8%, placing in the 47.7% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 11.4% (HV 20d: 19.4%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.63.

Notable Days

  • 2013-08-01: Highest Volume — 875 contracts
  • 2013-08-15: Largest IV drop — 18.2% change
  • 2013-08-01: Highest IV Rank — 63.9%
  • 2013-08-01: Largest Expected Move — 10.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.54$26.42$28.83$28.83$26.42
Max Pain$29.09$29.00$30.00$30.00$29.00
ATM IV30.8%26.6%36.6%36.6%30.3%
Expected Move8.5%7.6%10.5%10.5%8.7%
HV 20d19.4%12.2%23.4%23.3%12.5%
HV 60d34.6%31.5%35.6%35.4%31.5%
IV Rank47.7%35.8%63.9%63.9%46.1%
IV Percentile69.5%39.7%92.9%92.9%69.8%
Term Structure-1.2%-4.5%1.1%-4.5%-0.2%
VWIV30.1%27.4%34.0%33.6%28.8%
Skew 25d5.5%3.5%9.1%7.5%3.5%
Skew 10d11.4%4.2%17.8%16.4%14.5%
Call IV 25d27.3%25.7%30.5%30.5%28.0%
Put IV 25d32.8%30.6%38.0%38.0%31.5%
Bid-Ask Spread %31.4913.4486.3331.0118.95
Gamma HHI0.250.190.360.190.36
Net GEX-117.5K-217.0K56.7K29.9K-217.0K
Net DEX4.3M377.9K7.0M377.9K7.0M
Net VEX-53.4K-61.6K-46.4K-61.5K-46.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.630.057.110.090.20
Total Volume287.45510875875139
Total OI15,664.09114,67816,69714,67815,871

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$28.83$30.0036.6%10.5%23.3%63.9%33.6%7.5%-4.5%29.9K377.9K-61.5K0.0931.01805706,4738,205
2013-08-02$28.67$30.0031.7%9.1%23.3%50.2%34.0%9.1%-1.8%56.7K763.9K-61.6K1.3027.543294277,0378,173
2013-08-05$28.07$29.0034.3%8.8%23.3%57.6%32.4%5.7%-2.7%-48.5K3.0M-60.0K0.7154.412671897,1768,558
2013-08-06$28.15$29.0033.2%8.7%23.4%54.4%29.6%6.3%-2.9%-57.9K3.1M-58.5K0.9455.451091027,2398,399
2013-08-07$27.82$29.0034.3%8.6%23.4%57.5%29.4%5.3%-1.5%-75.4K3.6M-58.7K1.2622.941241567,2568,419
2013-08-08$27.73$29.0032.3%8.6%23.3%52.0%29.8%6.0%-2.4%-112.5K4.3M-56.6K3.3839.0516547,2668,487
2013-08-09$27.90$29.0031.3%8.5%23.4%48.9%29.4%5.4%-1.6%-104.6K3.8M-57.0K0.4524.542421087,2808,498
2013-08-12$27.60$29.0034.7%8.4%22.4%58.6%33.9%4.9%-1.2%-144.2K4.7M-54.2K2.6314.331143007,3668,581
2013-08-13$27.60$29.0031.5%8.4%22.2%49.6%32.0%5.6%-1.9%-184.3K5.1M-53.8K1.6120.20701137,3958,843
2013-08-14$27.66$29.0034.6%8.1%21.7%58.3%28.2%4.5%-1.1%-188.6K5.1M-54.0K0.6718.93140947,4028,916
2013-08-15$27.94$29.0028.3%8.1%22.2%40.7%30.7%5.8%-1.3%-157.7K4.1M-53.6K0.6819.583802607,4028,892
2013-08-16$27.55$29.0028.3%8.1%22.3%40.7%30.4%6.3%-1.4%-176.2K4.7M-54.7K1.8518.16861597,5979,100
2013-08-19$27.30$29.0029.3%8.4%22.0%43.6%27.4%4.9%-0.2%-122.0K4.5M-51.0K0.0539.89321176,8078,252
2013-08-20$27.30$29.0029.4%8.4%17.2%43.8%27.5%5.6%0.3%-106.6K4.5M-51.3K0.3418.48131446,9708,267
2013-08-21$27.14$29.0028.1%8.1%16.7%40.0%27.8%4.8%-0.1%-118.0K5.0M-50.6K0.8116.8593757,0698,285
2013-08-22$27.25$29.0028.4%8.1%15.8%41.0%32.9%5.5%-0.6%-115.2K4.8M-49.7K6.5018.886397,0588,311
2013-08-23$27.16$29.0026.6%7.6%15.7%35.8%27.7%5.1%1.1%-126.2K5.0M-49.6K1.6015.1040647,0588,336
2013-08-26$27.27$29.0028.3%8.1%15.3%40.6%27.5%5.3%-0.5%-110.3K4.6M-48.3K1.0713.4444477,0688,361
2013-08-27$27.07$29.0029.1%8.3%12.7%42.9%28.9%3.7%-1.0%-145.1K5.3M-47.9K1.0350.681541597,0418,365
2013-08-28$26.80$29.0028.9%8.3%12.5%42.3%31.0%5.6%-1.2%-171.5K5.9M-47.2K7.1168.08281997,1608,508
2013-08-29$26.70$29.0028.0%8.0%12.2%39.9%0.0%5.3%0.8%-189.6K6.2M-48.0K0.0086.330107,1758,688
2013-08-30$26.42$29.0030.3%8.7%12.5%46.1%28.8%3.5%-0.2%-217.0K7.0M-46.4K0.2018.95116237,1758,696