CQP Options History — July 2015

In July 2015, CQP traded between $28.85 and $32.05. ATM implied volatility averaged 25.9%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 0.3% (HV 20d: 25.6%). Max pain ranged from $31.00 to $34.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.89.

Notable Days

  • 2015-07-08: Highest Volume — 1,461 contracts
  • 2015-07-14: Largest IV spike — 47.7% change
  • 2015-07-24: Highest IV Rank — 11.3%
  • 2015-07-24: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.47$28.85$32.05$30.39$30.10
Max Pain$33.32$31.00$34.00$31.00$31.00
ATM IV25.9%18.2%29.8%25.5%25.4%
Expected Move7.4%6.4%8.5%7.3%7.3%
HV 20d25.6%22.1%28.4%23.6%25.7%
HV 60d20.3%18.9%22.1%18.9%22.1%
IV Rank7.5%0.0%11.3%6.9%7.1%
IV Percentile44.3%0.0%64.7%40.9%41.3%
Term Structure-0.9%-2.9%2.1%0.8%-0.4%
VWIV23.7%19.9%28.6%22.2%24.3%
Skew 25d6.5%2.0%8.6%2.0%5.9%
Skew 10d13.9%-1.1%23.3%0.8%11.1%
Call IV 25d23.5%20.2%28.0%23.6%24.2%
Put IV 25d30.0%25.5%33.8%25.6%30.0%
Bid-Ask Spread %86.4469.94109.8098.5890.69
Gamma HHI0.160.130.210.130.15
Net GEX34.4K-70.9K168.7K63.8K31.8K
Net DEX8.1M6.7M9.0M8.2M7.6M
Net VEX-17.7K-21.0K-13.5K-14.5K-19.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.890.532.981.310.81
Total Volume1,032.5917481,4617651,027
Total OI7,055.6366,6677,6806,7357,266

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$30.39$31.0025.5%7.3%23.6%6.9%22.2%2.0%0.8%63.8K8.2M-14.5K1.3198.583314342,8113,924
2015-07-02$30.80$31.0022.2%6.4%22.8%3.7%23.9%2.6%2.1%80.7K8.1M-14.7K1.24109.803484332,7423,925
2015-07-06$30.50$34.0026.7%7.3%22.1%8.1%22.0%6.7%-1.4%50.4K8.4M-13.5K1.3083.373254232,7523,921
2015-07-07$31.44$34.0025.2%7.2%24.8%6.5%20.9%7.0%-0.8%141.1K7.5M-15.8K0.5380.748034252,7613,931
2015-07-08$31.01$34.0025.4%7.5%25.1%6.8%22.7%6.2%0.6%103.0K7.8M-17.3K1.6384.875569052,9524,083
2015-07-09$31.21$34.0027.1%7.5%25.2%8.5%21.6%8.5%-2.2%96.7K8.0M-19.8K0.9379.475565152,9564,459
2015-07-10$31.23$34.0024.1%7.0%25.1%5.5%23.7%6.3%0.1%77.9K8.2M-20.2K1.0093.975395412,9564,558
2015-07-13$31.69$34.0018.2%6.7%25.7%0.0%20.8%8.2%-0.8%128.8K7.8M-20.5K1.7885.363075452,9554,649
2015-07-14$32.05$34.0026.9%6.6%26.0%8.5%19.9%7.4%-0.9%168.7K7.6M-21.0K2.1487.873707922,9834,697
2015-07-15$31.55$34.0023.9%6.9%26.6%5.6%20.3%5.9%-0.7%145.4K6.7M-20.4K2.2789.883427783,0504,394
2015-07-16$30.91$34.0025.4%7.3%27.4%7.0%22.5%6.3%-2.5%18.0K7.7M-19.3K2.2990.363568173,0414,404
2015-07-17$30.28$34.0025.8%7.4%28.2%7.5%25.4%8.6%-0.3%-10.0K8.5M-18.0K2.1387.473868242,9924,377
2015-07-20$29.86$34.0026.4%7.6%28.4%8.0%22.9%6.6%-1.4%-21.8K8.2M-17.4K2.6369.942697082,4304,256
2015-07-21$29.86$34.0026.3%7.5%27.9%7.9%23.9%7.1%-1.8%-30.2K8.4M-17.1K2.6383.292707112,4684,265
2015-07-22$29.46$34.0029.1%8.4%24.7%10.7%21.9%6.3%-2.9%-43.3K8.5M-16.5K2.8780.222517202,4774,269
2015-07-23$28.85$33.0028.5%8.2%25.1%10.1%25.8%6.9%-2.5%-70.9K8.9M-15.8K2.5880.892897452,4794,328
2015-07-24$29.27$33.0029.8%8.5%26.2%11.3%27.6%6.7%-2.4%-69.0K9.0M-16.3K2.7684.372757592,4884,376
2015-07-27$29.43$33.0027.0%7.7%26.2%8.6%28.6%7.0%-1.7%-61.3K8.9M-16.8K2.3783.263187552,5124,395
2015-07-28$29.80$33.0027.6%7.9%24.7%9.2%25.0%5.2%-1.3%-38.9K8.5M-17.7K2.5181.332686732,5304,413
2015-07-29$30.60$33.0025.9%7.4%26.6%7.5%28.4%8.1%0.4%3.6K7.9M-18.6K2.9889.472537542,5424,413
2015-07-30$30.00$33.0028.5%8.2%26.2%10.1%26.2%7.7%0.0%-7.3K7.9M-18.8K0.8886.385424792,5734,471
2015-07-31$30.10$31.0025.4%7.3%25.7%7.1%24.3%5.9%-0.4%31.8K7.6M-19.3K0.8190.695664612,8704,396