CQP Options History — October 2013

In October 2013, CQP traded between $26.00 and $31.82. ATM implied volatility averaged 31.0%, placing in the 48.2% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 7.3% (HV 20d: 23.7%). Max pain ranged from $26.00 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 3.67.

Notable Days

  • 2013-10-16: Highest Volume — 8,784 contracts
  • 2013-10-21: Largest IV spike — 13.4% change
  • 2013-10-28: Highest IV Rank — 58.8%
  • 2013-10-28: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.83$26.00$31.82$26.00$30.93
Max Pain$27.09$26.00$30.00$26.00$30.00
ATM IV31.0%28.1%34.8%30.9%33.3%
Expected Move8.9%8.1%10.0%8.9%9.5%
HV 20d23.7%18.6%29.1%21.8%28.2%
HV 60d21.0%19.3%23.2%19.3%22.4%
IV Rank48.2%40.2%58.8%48.0%54.7%
IV Percentile72.0%46.4%92.5%74.6%88.5%
Term Structure-1.0%-3.5%2.4%-0.8%-1.3%
VWIV30.1%22.8%36.4%31.6%31.7%
Skew 25d4.8%0.1%7.7%0.6%6.5%
Skew 10d13.9%-2.3%23.9%-2.3%19.0%
Call IV 25d28.8%25.2%32.3%31.3%29.7%
Put IV 25d33.6%30.2%37.6%31.9%36.2%
Bid-Ask Spread %46.9820.6788.3243.4382.76
Gamma HHI0.260.200.450.200.24
Net GEX1.6M1.0M3.4M1.0M1.0M
Net DEX-20.2M-50.1M-2.6M-2.6M-26.3M
Net VEX-81.9K-103.8K-66.8K-70.0K-97.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.670.0272.500.540.07
Total Volume1,342.217698,784318954
Total OI27,230.26122,70932,61827,54425,424

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$26.00$26.0030.9%8.9%21.8%48.0%31.6%0.6%-0.8%1.0M-2.6M-70.0K0.5443.4320611220,8396,705
2013-10-02$26.10$26.0029.4%8.4%21.8%43.7%22.8%1.8%2.4%1.1M-3.1M-69.3K0.0822.349537520,8396,755
2013-10-03$26.20$26.0031.0%8.9%18.6%48.1%31.4%0.1%0.9%1.2M-4.8M-73.0K1.2522.45729021,0536,809
2013-10-04$26.71$26.0029.4%8.7%20.1%43.9%30.7%5.4%-2.2%1.5M-6.9M-76.0K0.4233.061938121,1116,870
2013-10-07$26.35$26.0032.6%9.1%19.8%52.6%30.7%6.5%-2.0%1.4M-5.4M-71.0K72.5020.87214521,2166,885
2013-10-08$26.13$26.0032.8%9.7%19.8%53.3%30.9%6.8%-3.3%1.3M-4.1M-67.5K0.5328.99452421,2186,874
2013-10-09$26.40$26.0033.6%9.3%19.1%55.4%29.1%6.6%-3.5%1.3M-3.9M-66.8K0.0734.913292421,2536,894
2013-10-10$27.04$26.0030.3%8.7%21.0%46.2%27.2%6.2%-2.1%2.0M-10.8M-73.5K0.0434.715351921,1316,904
2013-10-11$27.31$26.0030.0%8.6%21.1%45.5%28.6%4.5%-1.9%2.3M-12.3M-73.5K0.2330.0759413421,3096,907
2013-10-14$27.28$27.0029.5%8.5%20.1%44.0%27.6%7.7%-1.5%2.4M-11.0M-67.6K1.0574.62384021,3066,992
2013-10-15$27.57$27.0028.1%8.1%20.2%40.2%28.3%5.1%-0.6%3.0M-14.5M-69.1K1.0255.2922522921,3306,997
2013-10-16$28.23$27.0028.9%8.3%21.5%42.4%27.3%3.7%-1.3%3.4M-27.4M-69.6K0.0255.658,61916521,4167,121
2013-10-17$29.61$27.0029.2%8.4%26.4%43.2%29.4%4.1%-0.1%2.4M-44.3M-90.6K0.0820.672,51419424,6197,089
2013-10-18$30.18$27.0028.1%8.1%25.7%40.2%28.8%4.0%-0.1%2.2M-50.1M-90.8K0.0634.876,54940625,5047,114
2013-10-21$31.34$27.0031.9%9.1%27.9%50.8%30.8%4.5%-1.2%1.2M-29.9M-85.2K0.6756.511,48499016,1106,599
2013-10-22$31.54$27.0029.0%8.3%27.8%42.7%29.9%5.8%0.8%1.3M-31.4M-93.3K0.1152.3189610217,1067,456
2013-10-23$31.60$28.0030.7%8.8%27.7%47.4%31.3%4.4%-0.5%1.3M-31.3M-94.4K0.2459.942335517,2747,548
2013-10-24$31.11$28.0031.4%9.0%28.9%49.2%31.3%5.3%-1.4%1.3M-30.3M-94.0K0.2967.421434217,2497,555
2013-10-25$31.01$28.0033.1%9.5%29.1%54.0%36.4%6.6%-1.5%1.2M-27.7M-97.0K3.6154.513781,36517,2527,583
2013-10-28$31.14$28.0034.8%10.0%26.5%58.8%35.1%5.3%-2.0%1.2M-26.6M-103.8K0.4157.962239117,4248,883
2013-10-29$31.82$28.0031.5%9.0%25.5%49.6%29.1%4.0%0.6%1.2M-32.1M-99.1K0.9548.9149747017,4708,931
2013-10-30$31.50$30.0033.7%9.7%26.4%55.8%32.0%4.3%-0.1%1.2M-27.6M-91.5K0.1988.322825416,1659,207
2013-10-31$30.93$30.0033.3%9.5%28.2%54.7%31.7%6.5%-1.3%1.0M-26.3M-97.2K0.0782.768896516,1999,225