CQP Options History — April 2014

In April 2014, CQP traded between $29.83 and $33.94. ATM implied volatility averaged 25.7%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 0.7% (HV 20d: 25.0%). Max pain ranged from $29.00 to $33.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.73.

Notable Days

  • 2014-04-08: Highest Volume — 1,875 contracts
  • 2014-04-10: Largest IV spike — 18.7% change
  • 2014-04-11: Highest IV Rank — 60.8%
  • 2014-04-11: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.54$29.83$33.94$29.83$32.41
Max Pain$30.71$29.00$33.00$29.00$33.00
ATM IV25.7%20.9%30.5%22.0%27.8%
Expected Move7.6%6.0%8.7%6.3%8.0%
HV 20d25.0%15.8%31.0%16.1%30.9%
HV 60d21.0%18.0%22.5%18.0%22.4%
IV Rank38.3%14.8%60.8%24.3%48.0%
IV Percentile19.3%2.4%63.1%7.1%24.6%
Term Structure0.1%-2.2%5.2%4.4%-0.4%
VWIV27.1%18.9%36.3%21.9%26.4%
Skew 25d4.9%2.5%9.7%4.3%2.5%
Skew 10d14.7%4.7%22.0%10.9%21.8%
Call IV 25d24.4%16.7%28.2%21.1%27.2%
Put IV 25d29.4%24.3%33.3%25.4%29.7%
Bid-Ask Spread %80.0566.4292.5892.2182.69
Gamma HHI0.170.130.190.190.18
Net GEX492.9K278.3K694.3K278.3K436.3K
Net DEX-9.2M-15.4M-2.5M-2.5M-6.1M
Net VEX-46.0K-51.7K-35.2K-35.2K-46.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.033.153.152.02
Total Volume554.811611,875357447
Total OI12,877.8110,20314,84310,20312,803

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$29.83$29.0022.0%6.3%16.1%24.3%21.9%4.3%4.4%278.3K-2.5M-35.2K3.1592.21862715,4594,744
2014-04-02$30.27$29.0021.4%6.1%16.3%17.3%22.2%5.9%5.2%327.8K-3.3M-36.0K1.6892.581041755,5295,005
2014-04-03$30.58$29.0020.9%6.0%16.2%14.8%18.9%7.6%4.2%364.5K-3.8M-36.4K0.1189.73646705,5395,169
2014-04-04$30.41$29.0023.0%7.8%15.8%24.8%27.4%3.7%-1.0%383.8K-4.1M-40.7K2.0373.20791606,1635,227
2014-04-07$31.35$30.0025.4%7.6%18.8%36.2%28.1%3.4%-0.1%416.0K-6.7M-40.8K0.6074.407294346,2035,293
2014-04-08$33.00$30.0022.9%8.1%24.9%24.4%28.1%5.0%-1.6%409.7K-11.2M-43.8K0.6666.421,1307456,6445,591
2014-04-09$32.62$31.0023.8%7.9%25.0%28.7%27.3%4.0%-1.1%479.5K-10.5M-47.9K0.1571.55392597,4516,216
2014-04-10$32.23$31.0028.2%8.1%25.0%50.0%30.9%5.0%-0.4%471.9K-8.6M-47.0K0.4276.092761157,5476,252
2014-04-11$31.86$31.0030.5%8.7%25.7%60.8%29.2%3.8%-2.1%468.7K-8.0M-50.9K0.6478.293702377,6676,282
2014-04-14$33.14$31.0028.3%8.1%28.5%50.6%28.0%6.3%-0.8%498.8K-11.4M-51.3K0.4274.573531507,8266,402
2014-04-15$33.52$31.0025.8%7.4%27.5%38.4%26.8%9.7%0.4%566.8K-13.0M-48.7K0.0978.48414387,9736,424
2014-04-16$33.91$31.0026.8%7.7%27.5%43.2%27.5%5.7%-0.5%606.3K-15.2M-51.7K0.1074.81501488,1736,407
2014-04-17$33.80$31.0025.1%7.2%27.7%34.8%36.3%4.1%0.5%694.3K-15.4M-51.3K0.1575.15322488,4106,433
2014-04-21$33.32$31.0026.8%7.7%27.5%43.2%26.5%3.5%0.8%553.2K-10.1M-48.4K1.0676.342312447,3025,671
2014-04-22$33.94$31.0026.2%7.5%27.7%40.1%25.8%6.4%-0.0%586.7K-11.7M-48.9K0.4881.92122597,2975,727
2014-04-23$33.83$31.0026.3%7.5%28.0%40.6%25.7%3.4%-0.9%602.6K-11.6M-48.5K0.4182.28148617,3835,755
2014-04-24$33.71$31.0026.2%7.5%28.2%40.2%26.7%6.1%0.2%591.8K-11.3M-47.2K0.5482.31153827,3935,774
2014-04-25$33.69$31.0027.0%7.7%28.3%44.0%28.0%5.3%-1.1%595.2K-11.2M-49.6K0.0388.4215657,4475,839
2014-04-28$33.46$31.0028.2%8.1%28.6%49.6%29.7%5.3%-2.2%582.5K-10.3M-47.9K0.2484.821,3193157,4375,839
2014-04-29$32.54$33.0028.1%8.1%31.0%49.3%27.5%2.9%-2.0%435.4K-6.2M-47.2K0.3684.69263946,6806,058
2014-04-30$32.41$33.0027.8%8.0%30.9%48.0%26.4%2.5%-0.4%436.3K-6.1M-46.9K2.0282.691482996,6756,128