CQP Options History — July 2014

In July 2014, CQP traded between $31.35 and $33.35. ATM implied volatility averaged 25.5%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 9.7% (HV 20d: 15.7%). Max pain ranged from $28.00 to $33.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.97.

Notable Days

  • 2014-07-16: Highest Volume — 3,675 contracts
  • 2014-07-07: Largest IV spike — 15.7% change
  • 2014-07-31: Highest IV Rank — 51.0%
  • 2014-07-21: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.64$31.35$33.35$33.07$31.37
Max Pain$31.57$28.00$33.00$32.00$31.00
ATM IV25.5%20.7%27.8%23.0%27.8%
Expected Move7.5%5.9%8.2%6.6%7.7%
HV 20d15.7%13.3%19.3%19.3%14.9%
HV 60d21.8%20.0%25.9%25.9%20.0%
IV Rank34.2%10.1%51.0%21.5%51.0%
IV Percentile24.0%2.0%40.5%10.7%40.5%
Term Structure-0.2%-2.5%4.7%4.0%-2.2%
VWIV26.7%21.3%34.8%22.7%34.8%
Skew 25d4.0%2.3%6.7%3.4%3.1%
Skew 10d11.1%3.0%17.4%8.9%4.6%
Call IV 25d24.2%17.8%27.1%22.1%27.1%
Put IV 25d28.2%23.1%30.7%25.5%30.2%
Bid-Ask Spread %78.0524.36109.0934.4469.74
Gamma HHI0.330.200.540.310.20
Net GEX1.3M613.3K2.6M1.1M625.0K
Net DEX-10.0M-13.4M-3.5M-10.4M-3.5M
Net VEX-59.6K-68.4K-54.3K-54.5K-54.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.033.980.030.31
Total Volume624.045413,6751,427207
Total OI14,989.513,18417,69913,18415,821

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$33.07$32.0023.0%6.6%19.3%21.5%22.7%3.4%4.0%1.1M-10.4M-54.5K0.0334.441,382459,3603,824
2014-07-02$33.19$32.0023.5%6.7%19.1%23.9%24.9%6.7%2.7%1.3M-12.8M-62.8K3.98105.245722710,4993,851
2014-07-03$33.00$32.0020.7%5.9%19.0%10.1%21.3%2.3%4.7%1.3M-11.0M-61.6K0.52109.09271410,5393,949
2014-07-07$32.62$33.0024.0%7.9%19.2%26.4%27.9%3.7%-1.0%1.2M-9.9M-58.2K0.3873.68401510,5333,963
2014-07-08$32.60$32.0023.8%7.6%19.2%25.3%26.6%3.3%0.4%1.2M-9.3M-57.3K0.2875.84792210,5693,978
2014-07-09$33.19$32.0024.3%7.7%18.7%28.3%26.8%2.6%-2.1%1.5M-11.7M-57.5K3.3882.373210810,5383,996
2014-07-10$32.90$32.0026.5%7.6%15.3%39.0%30.9%4.7%-0.3%1.5M-10.5M-57.2K3.2192.584213510,5654,038
2014-07-11$33.19$32.0025.6%7.3%15.0%34.5%25.9%4.9%-0.0%1.7M-11.6M-55.4K0.3179.831755410,5734,025
2014-07-14$33.35$32.0026.7%7.6%14.1%39.9%25.6%4.1%-1.1%1.9M-13.4M-55.9K2.0473.5719439510,7434,089
2014-07-15$33.02$32.0026.0%7.5%13.3%36.6%26.4%2.4%-0.5%1.9M-12.2M-54.4K0.0697.767774510,8884,169
2014-07-16$32.67$32.0025.6%7.3%13.4%34.5%24.8%5.9%-0.2%2.3M-13.0M-57.1K0.0383.423,55212311,6304,174
2014-07-17$32.51$33.0026.6%7.6%13.5%39.7%27.1%2.8%-0.0%1.5M-10.3M-59.8K0.2574.4993723512,6384,073
2014-07-18$32.93$33.0026.2%7.5%14.2%37.6%26.4%5.1%-0.5%2.6M-13.4M-68.4K0.2279.2456012213,4044,295
2014-07-21$32.61$0.0027.1%8.2%14.6%41.9%24.8%4.9%-1.7%994.2K-10.6M-65.7K0.5997.3953231210,6713,371
2014-07-22$33.00$28.0025.8%7.5%15.1%35.5%27.2%5.4%-1.4%1.2M-12.0M-67.6K1.3124.3611815411,0373,591
2014-07-23$33.00$30.0026.0%7.4%14.6%36.3%29.6%5.8%-0.5%1.2M-12.0M-67.0K0.87107.741079311,0873,604
2014-07-24$32.64$31.0025.9%7.8%14.5%35.9%27.0%3.8%-0.8%1.0M-10.2M-65.1K0.8353.1213511211,1043,679
2014-07-25$32.27$31.0025.7%7.5%14.9%35.0%25.3%2.7%-0.0%979.1K-8.0M-62.8K0.8866.7334630611,1413,771
2014-07-28$31.94$31.0026.5%7.5%14.7%39.2%26.5%2.4%-0.7%819.8K-6.0M-58.7K0.8457.2017214411,2334,051
2014-07-29$31.69$31.0025.9%8.0%14.8%35.9%28.7%2.3%-1.0%613.3K-4.0M-55.7K0.8382.3622018311,2564,085
2014-07-30$31.35$31.0027.5%7.8%15.1%43.9%34.8%6.0%-2.5%649.0K-4.0M-55.4K0.2396.8796722711,2454,119
2014-07-31$31.37$31.0027.8%7.7%14.9%51.0%0.0%3.1%-2.2%625.0K-3.5M-54.3K0.3169.741584911,5544,267