CQP Options History — September 2014

In September 2014, CQP traded between $32.25 and $33.00. ATM implied volatility averaged 21.4%, placing in the 14.9% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 9.3% (HV 20d: 12.1%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2014-09-19: Highest Volume — 2,509 contracts
  • 2014-09-22: Largest IV spike — 12.4% change
  • 2014-09-25: Highest IV Rank — 25.9%
  • 2014-09-04: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.67$32.25$33.00$32.99$32.72
Max Pain$30.86$30.00$33.00$30.00$33.00
ATM IV21.4%19.3%23.3%21.3%21.1%
Expected Move6.9%6.1%7.8%6.9%6.7%
HV 20d12.1%9.7%16.9%16.9%10.5%
HV 60d15.2%14.4%17.3%17.2%14.5%
IV Rank14.9%3.4%25.9%14.7%13.7%
IV Percentile10.7%0.8%24.6%8.3%9.9%
Term Structure1.3%-0.3%3.0%0.6%1.4%
VWIV24.0%18.6%28.0%22.6%18.6%
Skew 25d3.8%0.4%8.8%3.0%2.3%
Skew 10d6.5%-3.3%11.8%11.8%7.4%
Call IV 25d19.7%15.1%22.2%19.4%21.5%
Put IV 25d23.5%20.1%25.4%22.4%23.8%
Bid-Ask Spread %78.2452.4795.6193.7795.61
Gamma HHI0.400.320.600.360.34
Net GEX1.7M828.6K2.6M1.5M1.2M
Net DEX-11.1M-15.2M-5.5M-12.9M-10.0M
Net VEX-62.9K-68.9K-54.4K-58.4K-68.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.083.290.083.07
Total Volume598.714592,509543676
Total OI17,053.52412,87519,26515,65215,765

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$32.99$30.0021.3%6.9%16.9%14.7%22.6%3.0%0.6%1.5M-12.9M-58.4K0.0893.775034011,5284,124
2014-09-03$32.63$30.0019.3%7.2%16.5%3.4%26.1%0.6%1.6%1.6M-11.5M-58.6K0.1552.471,22618611,8894,161
2014-09-04$32.80$30.0020.0%7.8%16.0%7.0%28.0%0.4%1.7%1.7M-12.1M-63.8K0.4780.7855326012,8064,308
2014-09-05$32.68$30.0020.1%7.0%15.1%8.0%24.4%2.6%2.3%1.8M-13.8M-67.7K0.1156.255145513,2324,520
2014-09-08$32.99$30.0021.8%7.2%14.2%17.1%0.0%3.4%1.0%1.9M-14.7M-66.7K1.1979.96273213,7064,522
2014-09-09$32.67$30.0020.7%7.2%14.7%11.2%21.7%3.5%2.0%1.8M-13.1M-64.5K0.1987.303857213,7094,559
2014-09-10$32.84$30.0019.6%7.0%12.3%5.1%24.8%4.7%1.9%2.0M-13.7M-65.8K1.0775.3112913814,0224,580
2014-09-11$33.00$30.0022.0%6.6%11.7%18.3%0.0%2.8%0.8%2.2M-15.2M-64.8K1.4685.12568214,0614,632
2014-09-12$32.76$30.0021.9%7.2%11.3%17.8%25.1%4.1%1.6%2.0M-12.9M-63.7K0.2083.101302614,0704,720
2014-09-15$32.74$30.0022.5%6.9%10.7%21.2%24.9%3.0%0.6%2.0M-12.8M-60.9K0.1279.875366314,0894,743
2014-09-16$32.84$30.0022.4%6.8%10.6%20.6%25.2%4.9%0.8%2.3M-13.5M-61.8K0.6561.9122314614,3914,772
2014-09-17$32.55$30.0021.9%6.9%10.9%17.9%23.3%2.4%0.6%2.1M-12.0M-60.9K0.6276.3519412014,3914,864
2014-09-18$32.55$30.0021.2%6.8%10.8%14.1%23.3%5.7%2.1%2.6M-12.5M-57.4K0.9666.8514213714,2004,939
2014-09-19$32.50$30.0020.0%6.9%10.1%7.2%24.4%3.6%3.0%1.9M-9.3M-54.4K0.6661.461,5081,00114,2395,026
2014-09-22$32.26$30.0022.5%6.8%10.1%21.1%24.6%3.0%-0.3%828.6K-5.5M-55.2K0.3879.901,2274659,6763,199
2014-09-23$32.31$33.0022.4%6.7%10.1%20.8%24.4%8.8%0.7%935.1K-5.8M-62.6K0.1979.024017510,8353,657
2014-09-24$32.25$33.0021.6%6.8%9.7%16.2%0.0%5.3%1.7%982.2K-6.7M-65.7K0.1178.941982211,2223,681
2014-09-25$32.35$33.0023.3%6.6%9.8%25.9%25.6%8.2%0.8%991.8K-6.3M-64.5K0.5485.94844511,3133,696
2014-09-26$32.83$33.0021.7%6.3%11.2%16.6%22.3%4.3%0.6%1.2M-9.4M-67.5K0.1490.581872711,3413,730
2014-09-29$32.82$33.0021.6%6.1%10.5%16.1%22.2%4.3%1.3%1.2M-9.9M-68.1K3.2992.4715952311,4743,732
2014-09-30$32.72$33.0021.1%6.7%10.5%13.7%18.6%2.3%1.4%1.2M-10.0M-68.9K3.0795.6116651011,5414,224