CQP Options History — August 2014

In August 2014, CQP traded between $31.47 and $33.10. ATM implied volatility averaged 22.8%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 5.0% (HV 20d: 17.8%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.70.

Notable Days

  • 2014-08-21: Highest Volume — 1,481 contracts
  • 2014-08-13: Largest IV spike — 59.2% change
  • 2014-08-13: Highest IV Rank — 100.0%
  • 2014-08-21: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.59$31.47$33.10$31.86$33.10
Max Pain$30.19$30.00$31.00$31.00$30.00
ATM IV22.8%19.0%36.5%24.2%19.6%
Expected Move7.5%6.6%8.9%7.1%7.1%
HV 20d17.8%15.8%19.4%16.2%16.8%
HV 60d19.8%17.2%20.7%20.1%17.2%
IV Rank23.2%1.6%100.0%30.5%4.8%
IV Percentile13.9%0.4%100.0%16.7%0.8%
Term Structure1.5%-0.7%2.7%-0.7%1.4%
VWIV27.3%22.7%32.0%32.0%24.8%
Skew 25d3.9%2.1%7.9%6.5%3.9%
Skew 10d7.6%-0.6%15.0%7.7%10.1%
Call IV 25d21.0%17.5%24.7%21.9%17.5%
Put IV 25d24.9%21.4%28.3%28.3%21.4%
Bid-Ask Spread %65.1247.9589.6289.6254.22
Gamma HHI0.290.210.360.230.36
Net GEX1.1M729.9K1.7M830.0K1.5M
Net DEX-9.3M-13.4M-4.8M-5.9M-13.4M
Net VEX-54.2K-61.7K-47.3K-58.2K-61.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.700.0120.430.591.61
Total Volume420.048601,4818160
Total OI14,667.23810,74116,23015,74615,664

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$31.86$31.0024.2%7.1%16.2%30.5%32.0%6.5%-0.7%830.0K-5.9M-58.2K0.5989.62513011,4914,255
2014-08-04$31.92$31.0025.3%7.4%15.8%37.3%29.2%3.1%1.9%900.6K-6.6M-56.7K3.9772.532911511,5194,257
2014-08-05$31.47$31.0027.9%7.6%16.5%52.2%28.3%3.5%-0.2%729.9K-4.8M-53.7K0.9850.06817911,5284,228
2014-08-06$31.89$31.0025.9%7.8%15.8%41.3%27.7%5.6%-0.3%883.2K-5.9M-53.8K0.3166.951645111,5504,255
2014-08-07$32.41$30.0024.1%7.7%16.9%30.6%27.7%4.5%0.6%1.2M-9.0M-56.8K0.7653.1418514011,6074,257
2014-08-08$32.96$30.0021.0%7.6%17.7%13.0%30.3%5.7%1.8%1.6M-11.9M-56.9K1.0547.9518819811,6364,231
2014-08-11$32.98$30.0023.3%7.6%17.6%26.2%26.5%4.3%1.5%1.7M-12.6M-54.9K0.4773.401929111,7474,343
2014-08-12$32.26$30.0022.9%7.5%18.9%24.1%0.0%2.8%1.8%1.1M-7.7M-50.8K0.7752.62846511,8804,344
2014-08-13$32.65$30.0036.5%7.7%19.1%100.0%26.6%7.9%2.1%1.4M-9.9M-52.3K0.7575.01856411,8644,366
2014-08-14$32.30$30.0023.9%7.3%19.4%29.2%27.8%3.6%1.4%1.1M-7.9M-48.7K0.8857.6413912311,6964,312
2014-08-15$32.65$30.0022.0%7.4%19.3%18.2%25.6%2.4%2.7%1.4M-9.9M-49.3K0.5857.0244325911,7124,300
2014-08-18$32.81$30.0020.9%7.7%19.0%12.6%27.6%2.9%2.5%742.3K-8.1M-47.3K0.4667.766733127,5313,210
2014-08-19$32.98$30.0020.5%8.6%18.6%10.1%27.7%2.9%2.6%835.7K-9.6M-51.0K0.3470.423521188,0913,489
2014-08-20$33.10$30.0021.1%7.3%18.7%13.3%26.6%2.1%1.6%904.6K-9.9M-50.9K0.3356.1481278,3643,541
2014-08-21$32.74$30.0020.4%8.9%18.7%9.7%26.7%3.7%2.1%861.8K-9.0M-51.3K0.2569.631,1882938,3843,567
2014-08-22$32.93$30.0020.8%7.2%18.2%11.7%0.0%3.6%0.6%1.1M-9.8M-53.9K20.4369.4771439,2853,797
2014-08-25$33.00$30.0020.3%7.0%17.8%8.7%22.7%3.8%1.7%1.1M-10.0M-52.8K0.0168.311,217169,2883,914
2014-08-26$32.73$30.0019.8%6.6%17.8%6.2%25.0%3.9%2.1%1.3M-11.0M-57.5K0.1068.513423310,4853,929
2014-08-27$32.81$30.0019.8%7.4%17.2%6.2%28.2%3.1%1.9%1.3M-11.5M-58.7K0.0968.166535610,8123,930
2014-08-28$32.76$30.0019.0%7.1%17.2%1.6%26.8%2.8%2.1%1.4M-11.4M-60.7K0.9178.8920618811,3753,978
2014-08-29$33.10$30.0019.6%7.1%16.8%4.8%24.8%3.9%1.4%1.5M-13.4M-61.7K1.6154.22233711,5214,143