CQP Options History — August 2015

In August 2015, CQP traded between $28.46 and $31.50. ATM implied volatility averaged 30.5%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 4.0% (HV 20d: 26.5%). Max pain ranged from $31.00 to $45.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 3.78.

Notable Days

  • 2015-08-04: Highest Volume — 2,297 contracts
  • 2015-08-10: Largest IV spike — 30.6% change
  • 2015-08-24: Highest IV Rank — 21.2%
  • 2015-08-24: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.88$28.46$31.50$29.60$29.44
Max Pain$43.00$31.00$45.00$31.00$45.00
ATM IV30.5%23.8%39.9%26.4%37.0%
Expected Move8.7%7.6%11.4%7.6%10.6%
HV 20d26.5%23.2%29.7%26.1%29.0%
HV 60d23.9%22.4%26.2%22.4%25.5%
IV Rank12.1%5.5%21.2%8.1%18.4%
IV Percentile65.7%34.1%95.2%46.4%90.5%
Term Structure-1.0%-3.9%1.5%0.1%-3.9%
VWIV30.5%24.7%41.4%24.7%33.7%
Skew 25d5.6%-2.6%9.9%6.4%9.9%
Skew 10d14.0%-2.8%30.3%17.7%30.3%
Call IV 25d28.4%22.0%38.0%24.9%32.7%
Put IV 25d34.0%26.6%47.8%31.3%42.6%
Bid-Ask Spread %94.0486.73102.2192.5095.82
Gamma HHI0.150.120.190.160.14
Net GEX9.0K-160.8K161.7K15.7K-61.3K
Net DEX7.0M5.4M8.7M7.7M6.9M
Net VEX-20.3K-23.8K-17.1K-18.3K-20.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.780.6539.509.261.39
Total Volume1,029.81102,2973181,677
Total OI9,280.6677,30010,1517,3009,071

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$29.60$31.0026.4%7.6%26.1%8.1%24.7%6.4%0.1%15.7K7.7M-18.3K9.2692.50312872,8954,405
2015-08-04$29.50$31.0027.8%8.0%23.2%9.4%26.1%4.7%1.5%-11.6K8.1M-18.4K7.1291.452832,0142,9064,652
2015-08-05$30.03$31.0027.3%7.8%24.0%8.9%26.1%8.4%0.7%-15.0K7.9M-22.0K1.6892.742934922,9496,346
2015-08-06$29.98$45.0029.6%8.3%23.8%11.1%30.8%7.9%-1.2%-43.9K8.0M-20.9K1.4792.713354922,9896,343
2015-08-07$30.55$45.0023.8%8.1%24.9%5.5%29.8%6.5%-1.0%74.4K6.6M-22.5K0.7989.456405073,0386,343
2015-08-10$31.50$45.0031.1%7.8%26.9%12.6%28.5%4.3%0.7%161.7K5.4M-23.8K0.9889.845255163,3636,363
2015-08-11$31.06$45.0027.9%7.9%26.9%9.5%0.0%4.4%1.1%147.7K5.7M-22.7K0.0092.370103,3896,389
2015-08-12$30.82$45.0028.6%8.2%26.5%10.1%28.0%3.5%1.3%128.7K6.0M-22.5K0.9896.495305183,3936,390
2015-08-13$30.28$45.0029.4%8.4%26.2%11.0%28.0%3.2%-0.9%76.0K6.8M-21.9K1.6990.755339003,4006,390
2015-08-14$30.35$45.0029.6%8.5%25.2%11.2%27.8%3.3%-1.1%89.4K6.8M-23.2K0.9095.205514963,4066,619
2015-08-17$30.88$45.0028.9%8.3%25.3%10.5%27.6%5.3%-1.7%140.7K6.3M-21.5K1.5492.745508453,4066,578
2015-08-18$30.33$45.0028.0%8.0%26.3%9.6%28.0%-2.6%0.5%131.4K6.3M-21.4K1.4697.725437913,4166,512
2015-08-19$29.81$45.0030.1%8.6%26.6%11.6%29.9%4.0%-1.7%15.5K7.3M-18.2K39.5096.6462373,4136,143
2015-08-20$29.11$45.0030.9%8.9%26.9%12.4%30.5%2.6%-0.8%-121.4K7.9M-18.0K0.8195.246695413,4156,346
2015-08-21$28.83$45.0033.0%9.5%26.6%14.4%34.6%7.1%-2.3%-150.3K7.9M-17.1K1.9294.164648893,8066,345
2015-08-24$28.46$45.0039.9%11.4%26.8%21.2%41.4%9.8%-3.6%-160.8K8.7M-18.5K1.1886.734745582,4846,072
2015-08-25$29.28$45.0035.7%10.2%28.5%17.1%33.5%7.7%-2.1%-62.9K7.1M-19.8K0.6593.295603632,7256,174
2015-08-26$28.60$45.0033.2%9.5%27.6%14.6%37.2%2.6%-1.8%-126.9K7.3M-17.8K0.8299.874543732,9276,106
2015-08-27$29.54$45.0030.9%8.9%29.7%12.4%30.4%9.8%-2.1%-9.9K6.5M-17.8K0.6597.005343452,9466,046
2015-08-28$29.50$45.0031.8%9.1%29.6%13.3%32.6%9.4%-1.7%-28.5K6.4M-19.5K0.91102.214193812,9496,046
2015-08-31$29.44$45.0037.0%10.6%29.0%18.4%33.7%9.9%-3.9%-61.3K6.9M-20.3K1.3995.827019762,9846,087