CQP Options History — September 2013

In September 2013, CQP traded between $26.20 and $27.18. ATM implied volatility averaged 29.6%, placing in the 44.3% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 12.2% (HV 20d: 17.4%). Max pain ranged from $26.00 to $29.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.82.

Notable Days

  • 2013-09-05: Highest Volume — 5,916 contracts
  • 2013-09-11: Largest IV drop — 12.3% change
  • 2013-09-10: Highest IV Rank — 52.9%
  • 2013-09-10: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.65$26.20$27.18$26.20$26.36
Max Pain$26.45$26.00$29.00$29.00$26.00
ATM IV29.6%27.2%32.7%30.7%31.4%
Expected Move8.5%7.8%9.1%8.8%9.0%
HV 20d17.4%10.9%21.5%10.9%21.5%
HV 60d27.3%18.7%32.1%31.5%19.5%
IV Rank44.3%37.7%52.9%47.3%49.3%
IV Percentile61.7%41.3%83.7%72.2%77.0%
Term Structure0.1%-1.4%3.0%0.1%-0.3%
VWIV29.2%25.8%34.3%30.2%30.6%
Skew 25d2.5%0.1%4.3%2.1%2.3%
Skew 10d6.6%-10.1%22.5%4.3%-10.1%
Call IV 25d28.6%27.0%32.7%29.8%30.2%
Put IV 25d31.1%29.0%33.2%31.9%32.5%
Bid-Ask Spread %37.2017.2767.1123.8019.85
Gamma HHI0.250.180.410.380.22
Net GEX739.6K-275.4K1.6M-228.8K1.3M
Net DEX-2.1M-10.5M8.0M7.3M-6.7M
Net VEX-73.4K-89.7K-42.9K-44.7K-78.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.028.000.350.49
Total Volume1,278.2545,916152378
Total OI25,496.9515,94832,66015,94827,180

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$26.20$29.0030.7%8.8%10.9%47.3%30.2%2.1%0.1%-228.8K7.3M-44.7K0.3523.80113397,2448,704
2013-09-04$26.32$29.0030.0%8.6%11.0%45.4%29.6%3.3%-0.8%-275.4K8.0M-42.9K0.9167.111491367,3048,715
2013-09-05$27.13$29.0031.4%9.0%15.8%49.2%32.5%0.1%0.8%-144.4K5.1M-47.7K0.0634.535,6003167,3778,791
2013-09-06$27.18$26.0030.1%8.7%15.8%45.6%28.1%4.1%-1.4%227.0K946.6K-63.5K0.0725.789867112,2578,875
2013-09-09$26.75$26.0032.5%8.6%16.5%52.3%34.3%3.9%-1.3%212.3K2.0M-63.4K1.3034.51607813,1608,841
2013-09-10$26.50$26.0032.7%9.1%16.4%52.9%29.9%4.1%-1.2%183.0K2.6M-61.6K0.1262.556437813,1808,876
2013-09-11$26.97$26.0028.6%8.5%17.8%41.6%28.3%4.3%-1.0%312.9K99.1K-66.0K0.0250.425,53913013,7258,885
2013-09-12$27.07$26.0028.7%8.2%17.8%41.8%28.9%2.1%0.5%968.0K-5.7M-84.0K0.0333.992,1307019,0968,962
2013-09-13$26.90$26.0028.8%8.3%17.4%42.0%26.8%2.7%0.1%1.0M-6.2M-89.7K8.0029.1564821,1929,000
2013-09-16$26.45$26.0029.1%8.4%17.7%43.0%28.2%3.2%-0.1%831.6K-1.7M-80.9K1.7922.2140272121,1929,016
2013-09-17$26.33$26.0028.8%8.3%17.5%42.2%29.0%2.0%0.4%756.2K-141.5K-78.3K0.1233.464555321,5459,143
2013-09-18$26.26$26.0029.5%8.4%17.5%43.9%28.5%3.3%0.0%712.6K342.5K-78.1K0.3419.662598721,6949,144
2013-09-19$26.64$26.0029.8%8.6%18.4%44.9%29.8%2.0%-1.3%928.2K-3.3M-82.7K0.0817.273,01025221,5469,094
2013-09-20$26.24$26.0029.1%8.3%18.9%42.8%29.1%1.2%0.5%1.0M-3.0M-84.2K0.1466.3097913523,5759,085
2013-09-23$26.54$26.0028.1%8.1%19.5%40.2%25.8%2.1%1.4%1.2M-6.4M-81.6K0.1558.671,30219319,4736,369
2013-09-24$26.60$26.0028.2%8.1%19.4%40.4%28.7%2.4%0.2%1.3M-7.5M-83.3K0.3027.341213620,1496,549
2013-09-25$26.60$26.0028.9%8.3%19.3%42.4%29.1%1.7%-0.4%1.3M-6.9M-82.5K0.2722.192516920,2206,580
2013-09-26$27.00$26.0027.2%7.8%19.8%37.7%27.1%2.9%3.0%1.6M-10.5M-87.4K1.6841.5212020120,4326,625
2013-09-27$27.04$26.0028.6%8.2%19.7%41.4%28.4%0.9%1.9%1.6M-10.4M-85.5K0.2353.622846420,5286,616
2013-09-30$26.36$26.0031.4%9.0%21.5%49.3%30.6%2.3%-0.3%1.3M-6.7M-78.9K0.4919.8525312520,5606,620