CQP Options History — May 2014

In May 2014, CQP traded between $32.40 and $34.20. ATM implied volatility averaged 22.6%, placing in the 21.1% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded below realized volatility by 1.2% (HV 20d: 23.8%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.46.

Notable Days

  • 2014-05-13: Highest Volume — 861 contracts
  • 2014-05-15: Largest IV spike — 26.1% change
  • 2014-05-06: Highest IV Rank — 47.1%
  • 2014-05-06: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.97$32.40$34.20$33.00$34.20
Max Pain$32.33$31.00$33.00$33.00$33.00
ATM IV22.6%18.7%27.6%24.8%20.8%
Expected Move6.6%5.8%7.4%7.1%6.0%
HV 20d23.8%19.6%31.8%31.1%21.0%
HV 60d22.8%22.4%23.3%22.6%23.3%
IV Rank21.1%4.3%47.1%33.6%10.5%
IV Percentile7.1%0.4%22.2%11.9%2.0%
Term Structure1.0%-0.5%5.0%0.2%-0.2%
VWIV23.5%19.7%26.9%24.7%20.9%
Skew 25d4.7%2.7%9.5%5.3%5.8%
Skew 10d14.3%4.8%20.5%17.0%13.6%
Call IV 25d20.8%13.0%24.0%23.6%17.7%
Put IV 25d25.6%22.3%28.9%28.8%23.5%
Bid-Ask Spread %88.6875.07106.0984.1591.36
Gamma HHI0.210.180.400.180.40
Net GEX414.0K192.7K631.7K500.8K622.5K
Net DEX-5.8M-9.8M-2.8M-7.0M-9.8M
Net VEX-41.0K-45.5K-36.9K-44.2K-38.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.460.108.160.531.59
Total Volume308.14378861336564
Total OI13,200.1912,21814,16112,98013,661

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$33.00$33.0024.8%7.1%31.1%33.6%24.7%5.3%0.2%500.8K-7.0M-44.2K0.5384.152201166,7576,223
2014-05-02$33.50$33.0024.6%7.0%31.3%32.4%22.9%8.8%-0.5%577.6K-8.7M-45.5K0.7787.96116896,7806,277
2014-05-05$33.02$31.0025.0%7.0%31.8%34.6%24.6%2.7%0.8%529.9K-7.8M-44.1K0.4177.645542286,7966,349
2014-05-06$32.40$31.0027.6%7.4%31.2%47.1%26.9%3.6%1.2%421.0K-5.2M-44.3K1.1778.181451706,8486,364
2014-05-07$32.72$31.0024.2%7.0%25.4%30.8%24.3%6.3%0.9%456.5K-5.8M-44.0K1.1178.6080896,8376,511
2014-05-08$32.49$31.0026.2%7.2%25.2%40.3%26.3%4.2%0.4%419.2K-5.2M-45.1K1.3675.0733456,8486,542
2014-05-09$32.51$31.0022.4%6.8%24.8%21.9%25.7%4.7%1.2%421.5K-4.8M-44.4K0.4478.6766296,8406,566
2014-05-12$33.20$31.0019.9%6.8%25.4%10.1%26.2%4.0%0.8%631.7K-7.4M-41.1K2.5081.97501256,8466,582
2014-05-13$33.06$31.0020.7%6.7%21.3%13.8%23.9%2.9%1.5%600.1K-7.3M-41.7K8.1680.82947676,8646,618
2014-05-14$33.29$33.0018.7%6.7%21.0%4.3%24.7%3.8%1.7%594.5K-6.9M-42.7K2.4189.2937896,8687,293
2014-05-15$32.89$33.0023.6%6.8%20.9%24.4%24.1%4.8%0.7%414.4K-4.5M-41.0K2.3587.69631486,5907,200
2014-05-16$33.34$33.0023.5%6.7%21.6%24.1%23.1%4.4%0.8%425.8K-6.8M-39.4K0.4590.19122556,5967,243
2014-05-19$32.84$33.0022.4%6.4%21.6%18.5%22.6%3.4%5.0%228.6K-4.3M-40.0K0.5897.132971715,5316,687
2014-05-20$32.53$33.0022.5%6.5%20.6%19.0%26.6%3.5%1.2%223.8K-3.6M-40.0K0.5095.1472365,7156,707
2014-05-21$32.88$33.0021.6%6.2%21.1%14.6%21.2%5.6%0.5%254.9K-4.2M-37.8K1.0295.6789915,7316,744
2014-05-22$32.97$33.0020.5%5.9%21.1%9.0%19.7%4.2%1.0%288.4K-4.8M-38.1K0.10106.09160165,8056,820
2014-05-23$32.53$33.0020.1%5.8%21.6%7.0%21.2%2.9%0.4%222.3K-3.4M-37.8K3.6790.441003675,9056,830
2014-05-27$32.45$33.0022.8%6.5%21.5%20.4%22.4%4.3%1.0%192.7K-2.8M-36.9K0.6095.612481485,9517,075
2014-05-28$32.86$33.0021.1%6.1%19.6%12.2%21.8%5.1%-0.0%222.2K-3.8M-37.6K0.5399.9268366,1667,218
2014-05-29$33.66$33.0021.6%6.2%21.2%14.7%19.9%9.5%1.9%445.5K-7.4M-38.1K0.40100.753411376,1727,248
2014-05-30$34.20$33.0020.8%6.0%21.0%10.5%20.9%5.8%-0.2%622.5K-9.8M-38.2K1.5991.362183466,3677,294