CQP Options History — September 2015

In September 2015, CQP traded between $25.24 and $29.46. ATM implied volatility averaged 38.4%, placing in the 19.8% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 7.8% (HV 20d: 30.7%). Max pain ranged from $27.00 to $34.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2015-09-18: Highest Volume — 1,294 contracts
  • 2015-09-14: Largest IV spike — 13.1% change
  • 2015-09-28: Highest IV Rank — 25.6%
  • 2015-09-04: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.41$25.24$29.46$28.75$26.39
Max Pain$28.57$27.00$34.00$34.00$27.00
ATM IV38.4%33.9%44.4%38.9%42.8%
Expected Move11.2%9.7%14.5%11.1%12.3%
HV 20d30.7%27.4%35.8%30.2%35.8%
HV 60d27.6%25.9%29.7%25.9%29.7%
IV Rank19.8%15.3%25.6%20.2%24.0%
IV Percentile90.0%77.0%98.4%93.7%97.2%
Term Structure-2.6%-11.5%3.6%-4.1%-4.0%
VWIV37.3%31.7%42.9%38.0%42.9%
Skew 25d10.1%5.4%18.6%7.9%12.5%
Skew 10d16.3%-4.4%43.4%20.1%17.4%
Call IV 25d34.2%29.6%41.7%36.6%35.7%
Put IV 25d44.3%39.9%51.3%44.5%48.2%
Bid-Ask Spread %90.9783.28103.5791.8590.99
Gamma HHI0.180.120.450.150.12
Net GEX-68.1K-261.3K29.5K-75.6K-6.2K
Net DEX3.8M1.2M6.6M5.1M1.6M
Net VEX-15.2K-21.6K-11.5K-20.2K-14.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.301.710.630.70
Total Volume943.81311,2941,198767
Total OI7,208.3333,6929,2628,7684,628

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$28.75$34.0038.9%11.1%30.2%20.2%38.0%7.9%-4.1%-75.6K5.1M-20.2K0.6391.857374613,3625,406
2015-09-02$29.46$33.0038.7%11.1%30.8%20.0%33.0%13.8%-5.0%-27.9K4.3M-20.2K0.6597.067214713,3325,296
2015-09-03$29.25$29.0040.6%13.9%30.9%21.9%40.5%18.6%3.6%29.5K3.7M-20.7K0.73103.576644883,6375,296
2015-09-04$29.05$29.0039.6%14.5%30.0%21.0%41.0%10.1%-11.5%-3.0K3.5M-21.6K1.55100.074126373,6445,309
2015-09-08$28.97$29.0039.7%9.9%27.4%21.0%42.6%10.5%-2.0%7.1K4.1M-17.5K0.5584.2320113,6495,314
2015-09-09$28.28$29.0036.8%10.6%28.1%18.2%32.7%8.7%-1.9%-58.6K4.8M-16.2K1.5883.284166583,6735,322
2015-09-10$28.17$29.0035.4%10.1%28.0%16.8%31.7%8.6%0.6%-123.0K5.3M-15.7K1.0689.483834053,6735,323
2015-09-11$27.55$29.0033.9%9.7%28.4%15.3%34.4%9.3%-1.0%-261.3K6.1M-14.5K1.4889.644086023,6935,336
2015-09-14$27.08$29.0038.3%11.0%28.6%19.6%38.6%12.1%-2.6%-258.0K6.6M-13.6K1.5586.564106373,7065,318
2015-09-15$27.10$29.0037.3%10.7%27.4%18.7%34.9%11.1%-4.4%-254.4K6.4M-13.5K1.4590.761652393,7365,379
2015-09-16$27.91$28.0034.8%10.0%29.8%16.2%33.7%10.0%-0.3%-145.8K4.9M-13.8K0.7489.786454783,8555,169
2015-09-17$27.69$28.0035.6%10.2%29.5%17.0%33.5%7.3%-1.8%-171.4K4.5M-14.3K0.7593.926654964,0555,178
2015-09-18$27.39$28.0036.8%10.5%28.6%18.1%37.8%6.5%-1.8%14.4K5.1M-13.8K1.7190.654788164,0945,168
2015-09-21$27.90$28.0036.4%10.4%29.5%17.7%37.3%13.3%-4.0%-261.2M-13.7K0.6491.196133922,0551,637
2015-09-22$27.00$27.0038.6%11.1%31.3%19.9%37.5%6.9%-4.4%7.8K1.2M-14.3K0.6090.446043622,3981,671
2015-09-23$25.51$27.0035.7%10.2%34.5%17.1%39.9%6.3%-1.1%-20.9K2.0M-12.0K0.3086.898332472,4171,684
2015-09-24$25.97$27.0039.4%11.3%35.0%20.7%37.4%13.7%-2.9%-17.7K2.1M-13.1K0.4192.695822372,6891,735
2015-09-25$25.24$27.0040.8%11.7%33.1%22.1%40.7%5.4%-3.8%-21.6K2.3M-11.7K0.4293.005842432,7031,740
2015-09-28$25.24$27.0044.4%12.7%33.1%25.6%42.1%9.6%-1.1%-24.7K2.4M-11.5K0.4390.475892522,7611,762
2015-09-29$25.61$27.0042.4%12.2%34.0%23.7%33.9%9.9%-1.1%-18.3K2.0M-12.8K0.6683.755983942,7731,799
2015-09-30$26.39$27.0042.8%12.3%35.8%24.0%42.9%12.5%-4.0%-6.2K1.6M-14.3K0.7090.994513162,8381,790