CQP Options History — June 2015

In June 2015, CQP traded between $31.13 and $33.59. ATM implied volatility averaged 21.4%, placing in the 2.5% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.2% (HV 20d: 18.2%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.31.

Notable Days

  • 2015-06-01: Highest Volume — 1,502 contracts
  • 2015-06-05: Largest IV drop — 19.9% change
  • 2015-06-30: Highest IV Rank — 5.1%
  • 2015-06-15: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.34$31.13$33.59$33.59$31.13
Max Pain$31.09$31.00$32.00$31.00$31.00
ATM IV21.4%18.5%24.1%20.0%23.7%
Expected Move6.2%5.3%6.9%5.7%6.8%
HV 20d18.2%14.0%23.0%14.0%23.0%
HV 60d16.2%15.0%18.3%15.2%18.3%
IV Rank2.5%0.0%5.1%1.0%5.1%
IV Percentile15.2%0.0%35.3%3.6%34.1%
Term Structure1.1%-1.5%3.4%0.5%1.7%
VWIV22.1%18.3%26.3%20.6%23.8%
Skew 25d4.9%1.4%9.0%3.5%3.2%
Skew 10d7.8%0.3%13.3%13.2%4.4%
Call IV 25d19.2%13.8%23.4%19.0%23.4%
Put IV 25d24.1%20.8%26.6%22.5%26.6%
Bid-Ask Spread %89.3747.2498.4590.4593.55
Gamma HHI0.340.150.790.220.16
Net GEX510.4K94.4K1.3M591.8K126.9K
Net DEX4.8M1.5M7.5M1.5M7.5M
Net VEX-17.4K-21.6K-13.3K-21.0K-16.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.092.262.261.36
Total Volume980.045491,5021,502780
Total OI8,420.8185,4629,5989,1536,674

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$33.59$31.0020.0%5.7%14.0%1.0%20.6%3.5%0.5%591.8K1.5M-21.0K2.2690.454611,0414,4714,682
2015-06-02$33.43$32.0021.9%6.3%14.2%2.9%26.3%4.2%0.7%584.7K1.6M-21.6K0.0995.664544,5784,764
2015-06-03$32.84$32.0022.6%6.5%15.8%3.5%22.0%2.3%-1.5%567.4K2.9M-21.2K1.1395.394975644,5864,764
2015-06-04$32.00$31.0024.0%6.6%18.4%4.9%24.2%4.0%-0.0%499.9K4.6M-19.9K1.1381.804695324,6384,668
2015-06-05$32.49$31.0019.3%6.2%19.1%0.2%22.8%4.7%1.7%635.5K3.4M-20.2K1.3783.963895344,6794,677
2015-06-08$32.15$31.0021.5%6.6%19.5%2.5%24.1%4.9%0.5%605.9K4.2M-18.7K1.5683.963625654,6744,751
2015-06-09$31.86$31.0022.2%6.5%19.7%3.1%23.1%4.8%0.9%566.9K4.8M-18.3K1.2285.694355294,6674,773
2015-06-10$31.86$31.0022.1%6.3%19.6%3.0%22.7%3.6%0.9%560.8K5.2M-17.6K1.1687.054695444,6374,777
2015-06-11$32.06$31.0022.0%6.3%19.4%3.0%21.5%5.1%1.0%637.1K5.0M-17.1K1.5090.673996004,5704,789
2015-06-12$31.86$31.0021.8%6.2%19.6%2.7%21.8%4.5%0.9%668.2K5.5M-16.5K1.5589.533805894,5874,837
2015-06-15$31.94$31.0024.1%6.9%17.1%5.0%22.4%6.1%-1.1%753.1K5.4M-15.3K1.5591.773735774,5784,847
2015-06-16$31.95$31.0022.2%6.4%15.6%3.1%22.4%7.3%-0.0%771.4K5.2M-15.2K1.3892.414195774,5984,878
2015-06-17$32.09$31.0022.1%6.3%15.6%3.1%22.7%9.0%1.0%924.4K4.6M-14.9K1.0298.374965074,6534,878
2015-06-18$32.11$31.0021.1%6.0%15.3%2.1%22.2%7.0%1.5%1.3M4.6M-14.5K1.1395.134354914,6644,908
2015-06-19$32.18$31.0020.0%5.7%15.4%1.0%20.9%7.2%1.4%94.4K3.1M-13.3K1.0595.405625904,6864,912
2015-06-22$32.51$31.0018.5%5.3%15.9%0.0%20.3%4.9%2.6%124.1K6.7M-13.7K0.4391.398323551,8783,584
2015-06-23$33.54$31.0019.5%5.6%19.4%0.9%21.0%7.1%2.8%254.3K5.1M-17.2K1.0894.374895262,4703,605
2015-06-24$33.05$31.0020.0%5.7%20.2%1.4%19.9%4.4%0.7%266.0K5.2M-18.0K1.6496.333946472,6933,648
2015-06-25$32.97$31.0018.5%5.3%20.1%0.0%19.1%4.0%2.1%258.0K5.7M-17.5K1.8487.633817002,6523,647
2015-06-26$32.48$31.0020.7%5.9%20.7%2.2%18.3%1.4%1.8%252.0K6.0M-18.4K1.6947.244237132,7873,817
2015-06-29$31.42$31.0022.6%6.5%22.9%4.1%23.7%4.0%3.4%154.9K7.1M-16.7K1.7398.453255612,7943,838
2015-06-30$31.13$31.0023.7%6.8%23.0%5.1%23.8%3.2%1.7%126.9K7.5M-16.1K1.3693.553314492,8103,864