CQP Options History — December 2014

In December 2014, CQP traded between $27.80 and $32.00. ATM implied volatility averaged 35.5%, placing in the 16.5% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 2.1% (HV 20d: 37.6%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.15.

Notable Days

  • 2014-12-10: Highest Volume — 2,084 contracts
  • 2014-12-08: Largest IV spike — 26.2% change
  • 2014-12-09: Highest IV Rank — 24.2%
  • 2014-12-12: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.53$27.80$32.00$28.68$32.00
Max Pain$29.38$25.00$30.00$29.00$28.00
ATM IV35.5%28.3%43.4%32.4%29.4%
Expected Move10.0%8.5%11.0%9.5%8.5%
HV 20d37.6%27.7%41.9%27.7%36.7%
HV 60d35.0%31.1%38.1%31.1%38.1%
IV Rank16.5%9.4%24.2%13.4%10.5%
IV Percentile88.8%63.1%98.4%89.3%69.0%
Term Structure-0.8%-11.1%4.8%1.4%-1.1%
VWIV34.5%29.7%39.8%30.4%29.7%
Skew 25d7.1%-1.2%18.7%-1.2%18.7%
Skew 10d16.3%-8.8%39.6%0.2%12.2%
Call IV 25d31.5%17.2%37.5%34.0%17.2%
Put IV 25d38.6%26.0%46.7%32.7%35.9%
Bid-Ask Spread %78.9072.38118.4881.1283.68
Gamma HHI0.170.130.250.160.20
Net GEX181.9K-12.2K518.2K184.2K332.3K
Net DEX917-6.1M4.5M2.1M-6.1M
Net VEX-31.5K-39.9K-26.8K-33.9K-32.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.127.291.811.24
Total Volume1,210.4552322,084900269
Total OI14,533.9095,83218,70917,4957,415

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$28.68$29.0032.4%9.5%27.7%13.4%30.4%-1.2%1.4%184.2K2.1M-33.9K1.8181.1232058012,6114,884
2014-12-02$29.74$29.0034.2%9.4%31.2%15.2%33.4%9.5%-2.2%372.7K-710.3K-37.4K1.2772.6246459112,6504,899
2014-12-03$30.19$29.0033.6%9.4%31.7%14.6%33.7%4.3%-2.4%518.2K-2.6M-39.9K1.2677.8751664912,7414,920
2014-12-04$30.25$29.0033.1%9.2%31.6%14.1%33.5%7.3%-1.3%495.1K-2.4M-39.3K0.2878.223048512,9534,936
2014-12-05$29.74$29.0031.8%9.1%31.8%12.8%31.4%5.8%-0.5%379.4K-985.8K-37.2K0.7576.3774155513,1674,995
2014-12-08$28.31$29.0040.1%9.7%35.6%21.0%31.0%1.9%-2.0%61.4K3.8M-29.8K0.8874.2371663013,2095,000
2014-12-09$29.01$30.0043.4%9.9%37.2%24.2%36.0%7.6%-0.9%183.0K2.0M-32.9K0.4872.671,40166613,2285,044
2014-12-10$27.80$30.0041.0%10.5%39.6%21.9%35.2%5.9%-2.0%19.4K4.3M-29.3K0.5776.081,32975513,1365,060
2014-12-11$28.03$30.0037.2%10.1%39.9%18.2%35.6%5.1%-1.7%18.9K3.9M-29.7K0.4877.461,36065213,1335,226
2014-12-12$27.90$30.0040.0%11.0%39.9%20.8%37.7%10.0%-1.2%-12.2K4.5M-28.4K0.4476.241,43462613,1205,198
2014-12-15$27.94$30.0042.7%11.0%40.0%23.6%38.6%7.6%-3.8%9.3K3.9M-28.7K0.9872.3876574813,2635,295
2014-12-16$28.46$30.0040.5%11.0%40.9%21.4%39.0%7.1%-2.7%20.3K3.5M-28.9K1.0373.6780883213,2815,428
2014-12-17$29.08$30.0037.7%10.9%41.0%18.7%39.8%10.2%-0.5%62.3K2.0M-29.1K1.0480.5172875513,3115,372
2014-12-18$29.76$30.0037.5%10.8%41.4%18.5%39.1%8.9%0.2%148.4K-95.7K-29.3K1.2774.5953367713,2675,312
2014-12-19$29.27$30.0037.5%10.6%41.8%18.4%38.7%3.6%-0.1%81.1K1.1M-28.8K7.2978.482820413,3295,362
2014-12-22$29.74$0.0035.4%10.3%41.4%16.4%33.9%7.0%-0.2%102.6K-1.2M-26.8K0.4473.397213193,4892,343
2014-12-23$30.34$30.0030.4%9.9%41.9%11.4%31.3%9.6%3.9%177.0K-2.4M-28.6K0.8773.925965183,8652,366
2014-12-24$30.31$30.0030.5%9.8%41.8%11.6%32.9%5.9%4.8%184.8K-2.6M-30.2K0.9884.295245134,1502,511
2014-12-26$30.46$30.0035.4%10.3%40.7%16.3%34.2%15.3%-11.1%162.1K-3.2M-31.7K1.06118.484845134,1122,512
2014-12-29$31.61$30.0028.3%8.8%36.9%9.4%31.1%6.8%4.0%252.0K-4.7M-30.0K0.6774.847585114,1402,512
2014-12-30$31.03$25.0029.4%9.2%37.3%10.5%32.6%-1.0%2.1%250.4K-4.2M-30.3K0.1284.76405474,4542,547
2014-12-31$32.00$28.0029.4%8.5%36.7%10.5%29.7%18.7%-1.1%332.3K-6.1M-32.1K1.2483.681201494,8472,568