CQP Options History — March 2014

In March 2014, CQP traded between $28.43 and $30.03. ATM implied volatility averaged 26.3%, placing in the 49.5% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 9.0% (HV 20d: 17.3%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2014-03-21: Highest Volume — 1,285 contracts
  • 2014-03-07: Largest IV drop — 16.8% change
  • 2014-03-03: Highest IV Rank — 64.7%
  • 2014-03-03: Largest Expected Move — 8.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.29$28.43$30.03$28.43$30.00
Max Pain$29.10$28.00$30.00$30.00$29.00
ATM IV26.3%21.6%29.9%29.9%21.8%
Expected Move7.6%6.2%8.6%8.6%6.2%
HV 20d17.3%15.5%18.6%18.4%16.0%
HV 60d22.2%17.9%24.7%24.7%17.9%
IV Rank49.5%23.2%64.7%64.7%23.2%
IV Percentile21.7%5.2%54.0%54.0%6.0%
Term Structure1.7%-1.7%4.2%-0.4%4.2%
VWIV26.7%21.5%31.2%29.7%21.5%
Skew 25d4.4%2.6%7.0%2.6%5.8%
Skew 10d13.1%4.2%23.7%23.7%11.9%
Call IV 25d24.9%19.1%28.6%28.6%20.3%
Put IV 25d29.3%26.0%31.8%31.3%26.1%
Bid-Ask Spread %82.5352.7292.8682.2792.86
Gamma HHI0.180.120.460.120.18
Net GEX115.3K-554.7K354.7K-5.1K256.8K
Net DEX311.0K-2.6M3.3M3.3M-2.6M
Net VEX-34.4K-39.7K-27.7K-38.5K-32.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.053.533.382.03
Total Volume321.286921,28592230
Total OI14,572.3338,66417,22616,0829,455

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$28.43$30.0029.9%8.6%18.4%64.7%29.7%2.6%-0.4%-5.1K3.3M-38.5K3.3882.2721717,8648,218
2014-03-04$28.66$30.0028.3%8.1%18.2%58.5%27.8%5.9%-0.6%14.6K2.9M-38.9K0.1481.23176247,8808,301
2014-03-05$29.03$30.0028.0%8.0%18.6%57.0%29.6%4.5%0.9%94.2K1.6M-38.9K0.8582.2098837,8608,284
2014-03-06$29.35$30.0028.7%8.2%18.3%59.8%27.7%6.6%-1.7%163.6K116.0K-39.7K0.4583.65102467,9208,306
2014-03-07$29.78$29.0023.8%7.6%16.9%40.3%27.7%3.6%1.2%259.9K-615.5K-39.0K0.6852.722361607,9618,339
2014-03-10$30.03$29.0027.5%7.8%17.0%55.1%26.5%3.6%1.7%354.7K-2.6M-39.4K0.0673.12343218,0928,453
2014-03-11$29.66$29.0025.9%7.6%17.7%48.8%26.9%4.2%1.4%336.9K-1.8M-38.5K1.0379.351731788,2248,418
2014-03-12$29.36$29.0027.7%8.0%18.2%55.9%28.4%3.1%1.0%250.1K-358.2K-38.2K0.9379.7360568,3698,484
2014-03-13$29.03$29.0027.8%8.0%18.6%56.2%31.2%3.4%1.3%133.6K1.3M-35.8K0.5282.53132698,3958,529
2014-03-14$29.03$29.0027.8%8.0%17.4%56.2%30.4%3.8%1.2%41.7K2.1M-34.0K2.1582.12621338,3868,568
2014-03-17$29.32$29.0027.7%7.9%17.2%55.7%28.9%6.5%1.0%170.1K863.7K-31.6K0.7582.4555418,3758,693
2014-03-18$28.91$29.0027.3%7.8%17.7%54.4%28.3%3.3%2.0%3.5K2.5M-30.6K3.5385.22772728,4078,687
2014-03-19$29.10$29.0027.1%7.8%16.1%53.4%27.0%3.9%1.6%-84.5K2.3M-28.3K0.1288.69168208,4388,777
2014-03-20$29.48$29.0026.8%7.7%16.4%52.3%25.3%3.7%1.6%202.0K724.8K-29.5K0.0585.22764378,4008,756
2014-03-21$29.00$29.0025.3%7.2%17.3%46.0%26.1%3.8%2.9%-554.7K2.7M-27.7K3.2882.163009858,4708,756
2014-03-24$29.10$28.0024.6%7.0%16.9%43.3%23.8%5.5%3.4%76.4K-244.2K-31.0K0.0884.97460374,5164,148
2014-03-25$29.26$28.0024.8%7.1%16.9%44.0%23.9%5.1%3.2%146.7K-1.0M-32.5K0.4986.17160784,9424,183
2014-03-26$29.35$29.0025.1%7.2%16.9%45.4%24.0%4.5%2.8%157.8K-1.2M-33.0K0.3187.9280255,0654,246
2014-03-27$29.43$29.0024.6%7.1%15.5%41.3%23.5%2.9%3.6%168.3K-1.2M-32.2K0.0886.6210995,1364,264
2014-03-28$29.84$29.0021.6%6.2%16.0%28.7%21.9%7.0%4.2%235.3K-2.3M-33.5K1.2391.912673295,1834,271
2014-03-31$30.00$29.0021.8%6.2%16.0%23.2%21.5%5.8%4.2%256.8K-2.6M-32.5K2.0392.86761545,1844,271