CQP Options History — October 2014

In October 2014, CQP traded between $27.70 and $32.77. ATM implied volatility averaged 38.9%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 8.4% (HV 20d: 30.5%). Max pain ranged from $29.00 to $33.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.73.

Notable Days

  • 2014-10-14: Highest Volume — 4,021 contracts
  • 2014-10-13: Largest IV spike — 209.0% change
  • 2014-10-10: Highest IV Rank — 100.0%
  • 2014-10-15: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.33$27.70$32.77$32.77$31.72
Max Pain$30.48$29.00$33.00$33.00$29.00
ATM IV38.9%20.2%120.6%21.6%30.6%
Expected Move8.9%6.6%11.5%6.8%9.1%
HV 20d30.5%9.0%45.9%9.8%45.9%
HV 60d22.2%13.9%28.3%14.5%28.0%
IV Rank28.8%8.5%100.0%16.2%11.6%
IV Percentile73.2%4.8%100.0%13.1%78.2%
Term Structure-1.0%-6.0%2.7%2.7%0.0%
VWIV32.1%17.7%40.9%25.8%33.5%
Skew 25d7.3%1.6%13.9%1.7%9.2%
Skew 10d15.1%-3.5%37.2%4.3%24.4%
Call IV 25d30.7%20.7%43.5%22.1%26.3%
Put IV 25d38.0%23.4%57.5%23.8%35.4%
Bid-Ask Spread %73.6356.25112.1076.3373.83
Gamma HHI0.250.150.360.340.22
Net GEX741.1K140.2K1.3M1.2M862.0K
Net DEX-5.9M-11.1M6.5M-8.6M-10.7M
Net VEX-66.5K-76.2K-47.0K-69.4K-70.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.301.620.941.41
Total Volume1,703.043744,0213441,360
Total OI17,774.78316,12020,99516,12017,986

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$32.77$33.0021.6%6.8%9.8%16.2%25.8%1.7%2.7%1.2M-8.6M-69.4K0.9476.3317716711,5884,532
2014-10-02$32.61$33.0020.8%6.7%9.7%11.6%23.1%3.6%2.1%1.2M-8.4M-66.8K0.3059.641965811,5984,592
2014-10-03$32.64$33.0020.2%6.6%9.7%8.5%17.7%1.6%2.5%1.2M-6.9M-65.1K1.31105.16324211,6584,648
2014-10-06$32.58$33.0021.7%6.6%9.0%16.7%0.0%5.4%-0.8%1.3M-7.9M-63.6K0.5274.69824311,6834,690
2014-10-07$32.22$33.0023.9%6.7%9.2%28.9%23.6%4.8%-0.9%993.1K-4.4M-59.1K0.4181.811466011,7594,716
2014-10-08$32.09$33.0021.8%6.8%9.0%17.6%26.9%8.1%-1.0%844.3K-2.1M-54.5K1.6286.617041,13811,8264,764
2014-10-09$31.74$32.0028.1%7.2%9.3%52.6%26.0%6.0%-3.8%680.4K-1.2M-55.2K0.7279.111,32996311,9604,958
2014-10-10$30.77$32.0039.0%9.5%13.8%100.0%35.8%5.7%-2.9%443.1K104.0K-60.0K0.66112.101,45996512,4425,122
2014-10-13$28.84$32.00120.6%7.9%25.8%100.0%29.4%10.4%-6.0%360.0K2.5M-51.8K0.5399.842,1971,17313,2125,478
2014-10-14$27.70$30.0070.7%11.4%28.2%51.0%38.3%11.6%-2.7%140.2K6.5M-47.0K0.4666.102,7611,26013,8245,802
2014-10-15$29.18$29.0074.2%11.5%35.5%54.4%40.9%13.9%-3.8%307.2K507.3K-67.5K0.8959.041,7121,53015,0825,913
2014-10-16$30.32$29.0047.4%11.3%38.7%28.1%36.1%8.0%-3.3%391.8K-3.8M-73.4K0.7059.6522215515,0025,812
2014-10-17$32.05$29.0036.3%10.3%44.0%17.2%36.0%6.3%-0.9%1.0M-10.3M-75.3K0.5564.3727315015,1405,800
2014-10-20$32.08$29.0036.6%10.2%44.0%17.6%37.2%9.8%0.4%637.3K-10.9M-75.7K0.4856.251,87590811,8024,623
2014-10-21$31.88$29.0034.1%10.0%44.0%15.1%36.8%5.2%0.6%737.6K-11.1M-76.2K0.6059.941,28176612,5224,650
2014-10-22$31.02$29.0039.1%9.7%45.0%20.0%33.9%5.9%-4.3%634.1K-8.7M-72.8K0.6659.501,21580212,6074,670
2014-10-23$31.26$29.0036.6%9.4%45.1%17.5%34.0%7.2%-1.0%658.6K-8.3M-72.4K0.6564.331,23980212,6564,800
2014-10-24$31.42$29.0034.3%9.4%44.8%15.3%34.9%10.7%-1.3%681.5K-8.3M-73.2K0.6564.371,19477312,7354,876
2014-10-27$30.95$29.0035.0%9.2%45.0%15.9%34.4%6.2%0.0%602.5K-6.8M-69.6K0.6968.171,15879412,7624,908
2014-10-28$31.45$29.0034.7%9.7%45.5%15.7%34.4%11.0%-1.4%704.0K-8.4M-70.4K0.6969.121,20283512,8034,954
2014-10-29$31.75$29.0033.5%9.3%45.7%14.5%33.4%5.4%1.6%736.0K-9.4M-70.5K0.6777.871,21882012,8715,007
2014-10-30$31.44$29.0034.6%9.1%45.8%15.6%33.3%10.2%1.0%776.1K-9.5M-69.9K0.6475.781,18275212,9245,063
2014-10-31$31.72$29.0030.6%9.1%45.9%11.6%33.5%9.2%0.0%862.0K-10.7M-70.1K1.4173.8356579512,9195,067