CQP Options History — June 2014

In June 2014, CQP traded between $31.19 and $34.00. ATM implied volatility averaged 23.7%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 2.3% (HV 20d: 26.1%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.11.

Notable Days

  • 2014-06-03: Highest Volume — 3,305 contracts
  • 2014-06-03: Largest IV spike — 14.7% change
  • 2014-06-11: Highest IV Rank — 35.3%
  • 2014-06-17: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.42$31.19$34.00$34.00$33.04
Max Pain$32.33$32.00$33.00$33.00$32.00
ATM IV23.7%21.2%25.8%21.2%22.8%
Expected Move6.8%6.1%7.3%6.1%6.5%
HV 20d26.1%20.6%27.7%20.6%25.3%
HV 60d25.6%23.3%26.1%23.3%25.9%
IV Rank25.1%12.7%35.3%12.7%20.7%
IV Percentile10.8%3.2%17.9%3.2%9.1%
Term Structure1.8%-0.3%3.9%1.0%3.9%
VWIV24.1%20.5%26.9%20.5%23.8%
Skew 25d3.3%1.1%5.5%4.3%2.7%
Skew 10d9.8%0.7%16.6%5.8%10.4%
Call IV 25d22.8%19.5%25.0%19.5%23.3%
Put IV 25d26.2%23.6%28.3%23.8%26.0%
Bid-Ask Spread %82.3832.34105.0691.2789.01
Gamma HHI0.250.170.410.410.32
Net GEX516.4K257.5K1.1M627.7K1.1M
Net DEX-4.7M-10.4M1.2M-10.4M-9.8M
Net VEX-43.1K-53.9K-35.6K-37.0K-52.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.110.033.250.320.43
Total Volume616.762933,305343462
Total OI15,516.198,91818,83613,72112,649

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$34.00$33.0021.2%6.1%20.6%12.7%20.5%4.3%1.0%627.7K-10.4M-37.0K0.3291.27260836,4527,269
2014-06-03$32.50$33.0024.4%7.0%25.8%28.3%24.6%2.3%-0.3%274.9K-3.7M-37.5K0.1193.312,9823236,4777,324
2014-06-04$32.75$33.0023.9%6.9%25.0%26.1%24.0%5.5%-0.0%646.9K-6.9M-48.6K2.01104.071092199,0377,568
2014-06-05$33.05$33.0023.7%6.8%25.0%24.8%20.9%4.2%1.1%687.9K-8.2M-49.1K0.0384.04423129,0737,615
2014-06-06$32.80$33.0023.2%6.8%25.0%22.4%26.2%3.2%1.8%648.6K-7.6M-49.5K1.7785.6635629,2717,618
2014-06-09$32.79$33.0022.6%6.6%25.0%19.5%24.3%3.9%1.8%618.4K-7.4M-47.0K2.6984.34391059,2847,651
2014-06-10$32.11$33.0023.5%6.9%24.9%24.3%24.5%2.3%2.0%459.4K-3.9M-44.1K0.8988.827506719,2967,733
2014-06-11$31.19$32.0025.8%7.2%26.7%35.3%25.5%3.7%1.4%270.9K1.2M-40.3K1.1997.832152559,4668,352
2014-06-12$31.60$32.0024.9%7.1%27.1%31.1%26.9%3.6%1.1%330.1K425.3K-40.2K2.4090.322105039,4938,555
2014-06-13$32.13$32.0024.5%7.0%27.7%29.1%24.9%4.7%3.0%266.8K-2.9M-43.7K0.6686.312531669,4918,929
2014-06-16$31.64$32.0025.3%7.2%27.5%33.0%25.6%1.1%0.8%323.1K-259.1K-40.4K3.2586.51361179,6638,996
2014-06-17$32.06$32.0025.4%7.3%27.7%33.6%26.8%3.0%1.2%304.7K-2.3M-41.9K1.2188.681601949,6829,104
2014-06-18$32.20$32.0024.3%7.0%27.6%28.0%25.4%3.1%0.5%300.3K-3.0M-40.7K0.3691.57228819,7119,125
2014-06-19$32.21$32.0024.4%7.0%27.2%28.6%21.2%2.6%1.7%257.5K-2.7M-39.2K0.9087.5549449,6359,078
2014-06-20$32.38$32.0022.8%6.5%27.3%20.5%23.6%3.3%2.6%299.2K-3.4M-37.2K0.6332.342301459,6339,094
2014-06-23$32.28$32.0023.9%6.9%26.9%26.0%22.9%3.2%2.1%470.4K-3.5M-36.3K0.4146.194241725,5373,381
2014-06-24$32.01$32.0022.8%6.5%27.1%20.4%23.5%1.6%2.9%421.3K-2.6M-35.6K2.6987.58481295,7093,468
2014-06-25$32.45$32.0022.9%6.6%27.1%21.3%23.3%3.5%2.3%737.3K-4.9M-43.6K0.32105.064881577,7513,591
2014-06-26$32.65$32.0022.7%6.5%25.7%19.8%24.3%4.0%3.3%782.7K-6.4M-47.3K0.1357.381,6422177,7153,729
2014-06-27$33.01$32.0023.2%6.6%25.3%22.5%23.8%4.5%2.7%1.0M-9.8M-53.9K0.8552.121371178,9363,699
2014-06-30$33.04$32.0022.8%6.5%25.3%20.7%23.8%2.7%3.9%1.1M-9.8M-52.7K0.4389.013241388,9363,713