CQP Options History — December 2013

In December 2013, CQP traded between $27.65 and $30.00. ATM implied volatility averaged 31.2%, placing in the 69.9% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 3.8% (HV 20d: 27.4%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.55.

Notable Days

  • 2013-12-10: Highest Volume — 2,196 contracts
  • 2013-12-26: Largest IV drop — 9.3% change
  • 2013-12-16: Highest IV Rank — 84.9%
  • 2013-12-16: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.06$27.65$30.00$29.49$28.65
Max Pain$28.81$28.00$29.00$29.00$29.00
ATM IV31.2%28.1%34.9%30.1%28.8%
Expected Move9.0%8.1%10.0%8.6%8.3%
HV 20d27.4%20.4%34.4%28.4%34.4%
HV 60d28.6%26.9%31.3%27.0%31.3%
IV Rank69.9%57.4%84.9%65.7%60.3%
IV Percentile73.4%41.7%95.6%70.2%50.4%
Term Structure1.9%-0.5%4.3%0.2%4.0%
VWIV30.8%21.9%34.7%29.3%21.9%
Skew 25d2.8%0.1%5.3%0.6%3.7%
Skew 10d8.9%-4.8%17.6%6.1%12.7%
Call IV 25d30.4%26.1%33.4%31.1%26.5%
Put IV 25d33.2%30.2%36.7%31.7%30.2%
Bid-Ask Spread %59.8929.5688.9757.3531.67
Gamma HHI0.280.150.450.280.25
Net GEX1.2M-213.9K2.4M1.9M290.7K
Net DEX-6.2M-18.9M7.2M-14.9M-5.9M
Net VEX-72.9K-85.0K-53.4K-83.1K-76.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.088.063.400.26
Total Volume530.619772,196800311
Total OI27,224.76212,45233,19229,30118,917

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$29.49$29.0030.1%8.6%28.4%65.7%29.3%0.6%0.2%1.9M-14.9M-83.1K3.4057.3518261818,53410,767
2013-12-03$30.00$29.0029.7%8.5%28.4%63.8%29.0%2.7%-0.5%2.1M-18.0M-82.7K1.4685.2817725918,62111,240
2013-12-04$29.38$29.0029.8%8.5%29.1%64.3%30.0%0.1%0.8%2.0M-11.8M-80.8K0.4388.97542318,72311,493
2013-12-05$29.50$29.0030.3%8.7%28.7%66.4%30.4%0.6%1.9%2.1M-13.6M-82.0K0.1937.631873518,76311,505
2013-12-06$29.42$28.0029.3%9.0%22.1%62.1%30.4%2.9%1.6%2.1M-13.9M-81.3K0.1765.071973318,80011,530
2013-12-09$29.92$28.0031.6%8.9%21.2%71.7%30.6%2.8%2.0%2.2M-18.9M-79.4K0.0862.704323618,94211,533
2013-12-10$29.90$28.0031.5%8.8%20.4%71.0%30.4%1.5%3.2%2.4M-17.9M-77.8K4.1764.914251,77118,92311,542
2013-12-11$29.61$28.0031.3%9.2%20.4%70.4%33.0%2.0%1.9%2.3M-14.1M-85.0K8.0671.0210383018,91113,265
2013-12-12$28.58$29.0033.0%9.5%23.9%77.1%33.9%2.9%1.4%1.5M-1.7M-76.6K5.8868.195733518,93913,857
2013-12-13$28.00$29.0033.4%9.6%23.7%78.7%33.9%3.2%1.8%756.7K3.5M-70.6K0.2072.0175815318,92714,076
2013-12-16$27.65$29.0034.9%10.0%24.0%84.9%34.4%3.6%1.2%492.2K6.2M-64.6K1.4465.8322632618,86714,155
2013-12-17$28.85$29.0033.6%9.6%28.9%79.6%34.7%3.9%1.0%2.0M-5.0M-72.5K0.5271.0935618418,93614,256
2013-12-18$28.68$29.0032.9%9.4%28.5%76.9%31.1%2.8%0.8%1.7M592.1K-64.7K0.1084.087267218,89314,282
2013-12-19$28.34$29.0033.9%9.7%28.3%80.6%34.2%3.3%0.9%850.0K4.9M-58.2K0.1462.281351918,28313,926
2013-12-20$28.11$29.0033.2%9.5%28.5%78.1%33.4%1.2%2.1%-195.5K7.2M-54.7K3.3748.247023618,26513,926
2013-12-23$28.14$29.0032.1%9.2%28.3%73.7%31.0%3.7%1.9%-213.9K4.9M-53.4K0.3057.433911194,5817,871
2013-12-24$28.53$29.0031.0%8.9%28.6%69.1%30.2%4.8%1.9%-185.6K4.3M-55.1K0.3648.49107384,9267,981
2013-12-26$30.00$29.0028.1%8.1%33.5%57.4%27.3%4.8%4.3%297.0K-8.6M-77.6K0.3352.221846110,0188,019
2013-12-27$29.82$29.0028.1%8.1%33.3%57.5%31.1%2.7%3.2%335.8K-8.8M-74.8K1.0833.5815616910,1698,050
2013-12-30$29.65$29.0028.2%8.1%32.3%57.8%27.4%5.3%3.7%310.3K-7.9M-78.1K0.6129.5636822410,2918,217
2013-12-31$28.65$29.0028.8%8.3%34.4%60.3%21.9%3.7%4.0%290.7K-5.9M-76.9K0.2631.672476410,6078,310