CQP Options History — March 2015

In March 2015, CQP traded between $29.36 and $30.98. ATM implied volatility averaged 29.1%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 13.8% (HV 20d: 15.3%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 1.77.

Notable Days

  • 2015-03-03: Highest Volume — 988 contracts
  • 2015-03-12: Largest IV drop — 9.9% change
  • 2015-03-10: Highest IV Rank — 15.1%
  • 2015-03-11: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.04$29.36$30.98$30.64$30.00
Max Pain$30.00$30.00$30.00$30.00$30.00
ATM IV29.1%26.1%34.1%27.6%27.1%
Expected Move8.2%7.5%9.2%7.9%7.8%
HV 20d15.3%14.6%16.2%15.2%15.2%
HV 60d27.3%24.0%30.8%30.8%24.0%
IV Rank10.2%7.2%15.1%8.8%8.2%
IV Percentile61.7%44.4%81.7%56.3%51.2%
Term Structure1.6%-2.5%5.2%0.1%1.8%
VWIV28.2%24.2%33.5%27.1%25.9%
Skew 25d5.7%1.0%12.1%4.2%4.5%
Skew 10d12.3%0.4%26.9%14.1%2.5%
Call IV 25d25.4%22.3%28.1%26.7%24.7%
Put IV 25d31.1%27.5%36.4%30.8%29.1%
Bid-Ask Spread %89.0977.88100.7999.3092.87
Gamma HHI0.260.230.300.290.23
Net GEX240.6K145.7K415.7K377.5K197.0K
Net DEX-2.0M-4.4M-657.2K-3.9M-1.2M
Net VEX-22.4K-27.0K-19.9K-26.0K-21.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.770.224.671.320.73
Total Volume463.63631988968941
Total OI7,977.54,6389,7118,8325,738

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$30.64$30.0027.6%7.9%15.2%8.8%27.1%4.2%0.1%377.5K-3.9M-26.0K1.3299.304175516,0382,794
2015-03-03$30.98$30.0029.5%8.5%15.3%10.6%27.0%12.1%-2.2%409.4K-4.4M-26.2K1.46100.794015876,0812,818
2015-03-04$30.65$30.0030.1%8.6%15.4%11.2%30.6%5.1%-2.5%415.7K-4.3M-27.0K1.6498.803465696,1252,806
2015-03-05$30.39$30.0029.6%8.3%15.2%10.7%27.5%3.7%1.1%396.9K-4.0M-26.0K1.8089.983115606,2042,801
2015-03-06$30.09$30.0029.7%8.3%14.6%10.8%27.5%6.3%2.8%311.5K-2.7M-24.4K1.5390.193325076,2222,800
2015-03-09$29.67$30.0032.6%8.3%15.2%13.6%0.0%1.0%3.1%269.7K-2.1M-22.8K1.0791.2115166,2762,833
2015-03-10$29.75$30.0034.1%8.6%15.0%15.1%31.1%10.1%1.7%236.9K-1.4M-21.6K2.7788.65752086,2772,836
2015-03-11$29.36$30.0031.9%9.2%15.2%13.0%30.8%5.7%-1.1%191.3K-1.1M-21.9K4.6789.736286,2863,002
2015-03-12$29.67$30.0028.8%8.2%15.9%9.9%29.0%4.8%3.0%179.6K-1.1M-21.4K3.2491.97341106,2863,001
2015-03-13$29.38$30.0030.9%8.9%14.6%11.9%33.5%9.9%1.2%165.4K-657.2K-20.9K2.1091.65911916,3022,970
2015-03-16$29.70$30.0029.0%8.3%14.7%10.1%30.5%7.2%2.0%190.4K-1.2M-20.3K2.1285.61651386,3143,024
2015-03-17$29.88$30.0030.8%8.8%14.8%11.9%27.5%6.7%0.8%214.7K-1.7M-20.9K2.1281.44661406,3293,090
2015-03-18$29.96$30.0028.9%8.3%14.8%10.0%27.8%4.5%2.6%267.6K-2.3M-21.6K0.5184.032291176,3843,088
2015-03-19$30.12$30.0028.4%8.1%15.0%9.5%27.0%4.8%3.9%264.4K-2.2M-20.4K3.1983.5021676,5013,149
2015-03-20$30.48$30.0028.1%8.1%15.4%9.2%24.2%8.6%5.2%145.7K-3.0M-19.9K0.2587.76206516,5183,193
2015-03-23$30.02$30.0027.0%7.7%16.2%8.2%24.8%3.9%1.7%160.3K-1.1M-20.1K0.2277.88338763,1271,511
2015-03-24$29.92$30.0028.1%8.0%15.9%9.2%29.4%3.5%2.4%174.6K-1.0M-20.8K3.3687.85531783,4451,571
2015-03-25$29.88$30.0028.2%8.1%15.9%9.3%30.0%7.0%0.7%159.5K-927.9K-21.5K1.8586.9346853,4981,749
2015-03-26$30.33$30.0027.2%7.8%16.0%8.3%27.6%4.1%2.2%190.5K-1.4M-22.1K0.8581.675244453,5421,814
2015-03-27$29.98$30.0026.1%7.5%15.9%7.2%27.3%3.9%2.7%185.3K-1.3M-22.4K1.3290.5457753,6971,817
2015-03-30$30.00$30.0026.3%7.6%15.9%7.5%25.9%4.2%2.4%189.2K-1.2M-22.1K0.7287.695383893,7561,892
2015-03-31$30.00$30.0027.1%7.8%15.2%8.2%25.9%4.5%1.8%197.0K-1.2M-21.6K0.7392.875453963,8281,910