CQP Options History — January 2014

In January 2014, CQP traded between $27.70 and $28.81. ATM implied volatility averaged 30.7%, placing in the 68.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 2.2% (HV 20d: 28.6%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.34.

Notable Days

  • 2014-01-07: Highest Volume — 1,368 contracts
  • 2014-01-10: Largest IV spike — 8.5% change
  • 2014-01-13: Highest IV Rank — 81.9%
  • 2014-01-06: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.26$27.70$28.81$28.35$27.99
Max Pain$28.10$28.00$29.00$29.00$28.00
ATM IV30.7%27.9%34.2%31.3%30.4%
Expected Move8.9%8.0%9.6%9.0%8.7%
HV 20d28.6%19.6%33.8%33.8%19.7%
HV 60d29.4%27.5%31.3%31.3%27.5%
IV Rank68.1%56.7%81.9%70.3%66.8%
IV Percentile67.6%34.9%92.5%75.4%64.7%
Term Structure1.0%-2.4%2.3%1.6%0.4%
VWIV31.2%28.1%34.8%30.9%28.4%
Skew 25d3.7%1.8%6.5%4.9%4.6%
Skew 10d8.5%0.8%19.3%13.0%9.0%
Call IV 25d29.6%27.6%32.0%29.2%29.1%
Put IV 25d33.3%30.7%35.4%34.2%33.7%
Bid-Ask Spread %55.3824.2180.9224.2180.92
Gamma HHI0.260.130.370.270.37
Net GEX328.3K-296.8K670.0K243.6K670.0K
Net DEX-2.4M-5.8M2.5M-2.5M-2.9M
Net VEX-71.9K-80.1K-65.7K-75.8K-65.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.340.085.085.080.08
Total Volume422.1431151,368657119
Total OI21,075.23819,10722,39019,10721,597

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$28.35$29.0031.3%9.0%33.8%70.3%30.9%4.9%1.6%243.6K-2.5M-75.8K5.0824.2110854910,7418,366
2014-01-03$28.22$29.0032.1%9.2%33.2%73.7%32.0%2.8%1.5%256.2K-1.8M-75.2K4.3424.395323010,8138,476
2014-01-06$28.31$28.0031.5%9.6%33.1%71.0%34.8%3.3%-0.2%218.6K-1.9M-73.1K4.1639.0318376210,8358,682
2014-01-07$28.55$28.0029.6%9.2%33.4%63.4%32.5%1.8%1.0%199.8K-3.4M-71.3K0.1230.481,21815010,9439,291
2014-01-08$28.81$28.0029.2%9.1%32.9%61.9%33.1%3.4%0.7%272.4K-4.7M-80.1K1.4241.3910214512,0249,381
2014-01-09$28.61$28.0029.4%9.0%32.9%62.8%32.2%3.5%1.1%273.1K-4.4M-75.2K0.7635.131219212,1209,517
2014-01-10$28.01$28.0031.9%9.0%33.5%72.8%31.1%4.9%1.9%205.6K-3.6M-77.0K0.4535.291466512,2279,566
2014-01-13$28.49$28.0034.2%9.2%31.9%81.9%32.8%4.1%0.5%206.9K-3.0M-71.6K0.3225.882447812,2869,606
2014-01-14$28.26$28.0032.5%9.0%31.1%75.0%31.2%4.1%0.6%111.1K-1.4M-74.0K2.5529.794712012,3829,664
2014-01-15$27.81$28.0031.3%8.9%31.4%70.5%31.6%3.6%1.4%34.0K1.1M-69.8K0.3163.0161319112,2989,539
2014-01-16$27.77$28.0030.8%8.8%27.1%68.3%32.5%3.6%2.3%-216.9K1.3M-71.6K0.5358.78754012,6589,727
2014-01-17$27.78$28.0030.6%8.8%27.1%67.6%32.8%3.4%1.3%-296.8K2.5M-70.2K0.7769.7022817612,6829,708
2014-01-21$28.50$28.0030.3%8.7%28.4%66.3%28.5%6.5%1.2%532.4K-3.1M-69.6K0.3770.3952419311,7358,168
2014-01-22$28.61$28.0027.9%8.0%28.3%56.7%29.5%3.1%2.3%623.4K-5.8M-73.2K0.5975.3322713412,1628,247
2014-01-23$28.73$28.0028.8%8.3%28.3%60.4%28.8%3.2%2.0%625.0K-5.5M-73.1K0.6075.8535521212,3288,323
2014-01-24$28.49$28.0030.7%8.8%28.1%67.9%29.8%3.8%0.4%609.8K-4.6M-72.8K1.2880.7016721312,4508,429
2014-01-27$27.97$28.0031.1%8.9%21.6%69.5%32.5%2.4%1.4%541.2K-1.1M-67.7K2.9373.347120812,5598,595
2014-01-28$28.34$28.0029.8%8.5%22.3%64.2%28.1%2.5%1.9%618.7K-2.4M-68.5K0.6574.141167512,5798,812
2014-01-29$28.07$28.0031.8%9.1%22.4%72.2%32.6%2.2%-2.4%536.4K-474.0K-65.7K0.2576.412375912,6328,828
2014-01-30$27.70$28.0030.2%8.7%19.6%65.9%28.6%5.3%1.0%629.8K-2.0M-67.6K0.5978.881388112,7638,841
2014-01-31$27.99$28.0030.4%8.7%19.7%66.8%28.4%4.6%0.4%670.0K-2.9M-65.8K0.0880.92110912,8138,784