CQP Options History — April 2015

In April 2015, CQP traded between $30.42 and $32.50. ATM implied volatility averaged 25.4%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 9.5% (HV 20d: 15.9%). Max pain ranged from $28.00 to $31.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2015-04-15: Highest Volume — 1,461 contracts
  • 2015-04-06: Largest IV spike — 14.2% change
  • 2015-04-13: Highest IV Rank — 9.3%
  • 2015-04-13: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.49$30.42$32.50$30.42$32.50
Max Pain$30.00$28.00$31.00$30.00$31.00
ATM IV25.4%22.6%28.2%26.6%26.9%
Expected Move7.4%6.5%8.1%7.6%7.7%
HV 20d15.9%13.8%18.2%15.8%15.4%
HV 60d17.9%15.5%22.9%22.9%15.7%
IV Rank6.5%3.8%9.3%7.7%8.1%
IV Percentile38.8%20.6%57.1%47.2%50.0%
Term Structure0.1%-2.4%2.1%2.1%-2.4%
VWIV27.2%23.9%31.6%24.7%26.6%
Skew 25d6.6%4.2%9.8%5.1%8.0%
Skew 10d13.3%-4.6%21.3%10.8%14.3%
Call IV 25d22.6%19.3%24.6%23.2%19.3%
Put IV 25d29.2%26.1%33.2%28.3%27.3%
Bid-Ask Spread %85.4048.2893.4193.0292.42
Gamma HHI0.330.240.500.240.32
Net GEX468.8K252.4K752.3K252.4K575.3K
Net DEX-3.9M-6.5M-1.8M-1.8M-5.9M
Net VEX-24.4K-26.7K-22.5K-22.6K-26.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.221.430.931.04
Total Volume1,015.5713641,4617841,118
Total OI6,594.9525,8467,4875,8466,996

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$30.42$30.0026.6%7.6%15.8%7.7%24.7%5.1%2.1%252.4K-1.8M-22.6K0.9393.024063783,9241,922
2015-04-02$30.74$28.0023.2%7.8%15.9%4.4%31.0%9.5%0.3%306.8K-2.4M-22.9K1.0782.244024313,9821,934
2015-04-06$30.69$28.0026.5%8.0%15.5%7.7%31.6%9.3%-0.7%317.2K-2.4M-22.5K1.0886.014524864,0451,968
2015-04-07$31.01$28.0026.2%7.8%14.7%7.3%27.8%6.4%-0.7%393.5K-3.1M-22.8K1.1775.754004664,1031,979
2015-04-08$31.32$29.0027.3%7.8%15.0%8.4%25.0%5.7%-0.5%497.9K-3.5M-23.1K0.2279.33298664,1532,021
2015-04-09$30.92$29.0027.6%7.9%14.9%8.8%31.2%5.6%-1.1%477.2K-3.5M-23.5K1.3779.693835254,4412,035
2015-04-10$30.86$30.0027.3%7.8%14.7%8.4%29.2%5.9%-1.0%461.9K-3.1M-23.3K1.4281.694596514,4442,118
2015-04-13$30.83$30.0028.2%8.1%14.1%9.3%29.1%9.8%-1.0%458.5K-2.9M-23.9K1.4388.454386264,4472,348
2015-04-14$30.84$30.0027.8%8.0%13.8%8.9%29.3%8.3%-1.5%461.4K-2.5M-22.9K1.3989.724546314,4202,362
2015-04-15$31.79$30.0025.3%7.2%17.0%6.4%25.2%5.8%0.4%752.3K-4.8M-23.2K0.9084.507686934,4252,380
2015-04-16$32.05$30.0025.1%7.2%17.1%6.2%28.2%7.3%0.4%727.1K-6.5M-25.0K1.2384.695656964,8242,463
2015-04-17$31.60$30.0026.3%7.5%18.2%7.5%25.6%6.0%0.8%329.0K-4.9M-25.6K0.8586.117126084,9492,538
2015-04-20$31.74$30.0024.3%7.0%17.9%5.5%24.7%4.8%0.8%378.3K-3.7M-24.9K0.6387.137214554,1951,978
2015-04-21$31.67$31.0024.3%7.0%16.8%5.5%28.6%4.2%1.0%416.8K-3.7M-25.2K0.8248.285414434,4862,028
2015-04-22$32.01$31.0023.8%6.8%16.8%5.0%24.0%7.4%1.3%458.5K-4.6M-26.7K0.7491.536104534,5982,058
2015-04-23$32.10$31.0023.5%6.7%16.8%4.7%24.0%5.5%-1.0%488.8K-4.5M-26.4K0.7393.416014374,6402,074
2015-04-24$32.00$31.0022.8%6.5%16.4%4.0%23.9%6.3%1.4%499.1K-4.4M-26.2K0.8591.704914184,6712,074
2015-04-27$31.97$31.0023.4%6.7%15.5%4.6%24.7%5.6%1.2%504.1K-4.2M-25.4K0.7591.705103814,7412,084
2015-04-28$32.06$31.0022.6%6.5%15.5%3.8%29.4%6.3%1.9%543.1K-4.5M-25.3K0.8492.994934144,7982,090
2015-04-29$32.08$31.0024.2%6.9%15.5%5.4%27.6%6.0%0.1%545.7K-5.2M-25.6K0.9093.146575904,6352,123
2015-04-30$32.50$31.0026.9%7.7%15.4%8.1%26.6%8.0%-2.4%575.3K-5.9M-26.1K1.0492.425475714,6892,307