CQP Options History — October 2015

In October 2015, CQP traded between $26.49 and $29.50. ATM implied volatility averaged 35.1%, placing in the 38.2% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 0.7% (HV 20d: 34.4%). Max pain ranged from $25.00 to $27.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.64.

Notable Days

  • 2015-10-30: Highest Volume — 1,029 contracts
  • 2015-10-14: Largest IV drop — 20.4% change
  • 2015-10-27: Highest IV Rank — 64.2%
  • 2015-10-01: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.17$26.49$29.50$26.49$27.85
Max Pain$26.59$25.00$27.00$27.00$27.00
ATM IV35.1%30.5%43.0%43.0%30.7%
Expected Move9.7%8.8%12.3%12.3%8.8%
HV 20d34.4%25.5%38.6%34.3%31.5%
HV 60d31.1%29.7%32.2%29.7%32.2%
IV Rank38.2%15.2%64.2%24.2%47.8%
IV Percentile74.4%54.8%97.2%97.2%56.0%
Term Structure-0.7%-4.1%1.8%-4.1%1.8%
VWIV34.5%30.0%42.3%42.3%31.9%
Skew 25d7.1%2.2%10.6%5.1%6.8%
Skew 10d17.2%-2.0%26.5%18.0%20.7%
Call IV 25d31.8%28.6%39.1%39.1%28.6%
Put IV 25d39.0%34.9%44.3%44.3%35.4%
Bid-Ask Spread %82.0776.6093.4593.4586.12
Gamma HHI0.160.110.220.110.21
Net GEX79.7K4.3K174.0K4.3K103.9K
Net DEX-115.3K-1.6M1.5M1.5M-100.3K
Net VEX-16.7K-18.2K-13.7K-14.7K-16.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.310.960.690.45
Total Volume777.9091011,0297741,029
Total OI4,951.0454,3515,2904,7865,202

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$26.49$27.0043.0%12.3%34.3%24.2%42.3%5.1%-4.1%4.3K1.5M-14.7K0.6993.454583162,9171,869
2015-10-02$26.90$27.0038.5%11.0%35.1%19.8%40.0%6.3%-0.2%11.0K1.1M-15.6K0.7388.774113002,9281,869
2015-10-05$27.91$25.0039.1%10.4%37.9%20.4%37.3%9.7%-1.2%45.8K269.9K-16.4K0.3180.9377242,9401,842
2015-10-06$27.77$26.0039.8%10.5%38.0%21.1%39.1%8.5%-1.0%55.5K140.2K-17.0K0.9678.183513372,9791,868
2015-10-07$28.17$26.0037.4%9.9%37.5%18.8%35.7%7.4%-2.6%69.4K49.2K-16.7K0.8576.603993402,9941,854
2015-10-08$28.94$26.0033.8%9.2%38.6%15.2%31.6%10.6%0.5%114.9K-809.1K-18.1K0.8477.143933293,0071,904
2015-10-09$28.99$26.0035.2%9.5%37.6%16.6%33.7%5.0%-2.0%127.3K-977.8K-18.2K0.8380.333973293,0491,885
2015-10-12$28.79$26.0037.4%9.1%37.1%18.7%33.7%7.0%-0.1%113.2K-588.7K-16.9K0.7479.104443293,0551,887
2015-10-13$28.12$26.0040.3%9.2%38.3%21.6%32.2%5.7%0.4%73.5K-88.0K-16.3K0.7179.575453893,1251,886
2015-10-14$28.67$26.0032.1%9.2%37.4%24.8%34.2%6.8%0.1%134.5K-585.0K-17.2K0.6380.665163243,2241,928
2015-10-15$28.99$27.0033.5%9.6%37.4%27.4%38.9%9.2%-1.2%174.0K-1.2M-17.8K0.8280.514393603,2851,945
2015-10-16$29.50$27.0032.9%9.4%37.5%50.3%33.9%9.6%-2.3%61.8K-1.6M-17.8K0.8480.463973353,2931,997
2015-10-19$29.27$27.0032.9%9.4%37.3%56.2%34.7%9.6%-0.4%60.6K-658.0K-17.4K0.4476.836002632,7001,651
2015-10-20$29.17$27.0030.5%8.8%35.0%47.1%31.9%8.6%0.6%81.6K-955.1K-18.2K0.4180.646322612,9401,664
2015-10-21$28.58$27.0030.9%8.9%28.4%48.5%30.0%5.1%0.5%84.0K-569.2K-17.8K0.3581.837592653,0981,680
2015-10-22$28.47$27.0033.2%9.5%28.2%57.0%32.3%4.5%-0.2%98.3K-462.1K-18.0K0.4480.765872603,2831,691
2015-10-23$28.40$27.0033.4%9.6%25.5%58.1%32.0%2.2%0.2%97.1K-453.1K-17.8K0.6685.493982643,3041,695
2015-10-26$27.08$27.0034.7%10.0%31.8%63.0%34.0%5.9%-1.0%51.2K961.6K-14.3K0.5283.805072653,3431,696
2015-10-27$27.01$27.0035.0%10.0%31.6%64.2%34.1%8.2%-0.5%51.7K1.2M-13.7K0.5682.155102863,4071,720
2015-10-28$27.54$27.0033.9%9.7%30.6%60.0%32.5%7.8%-2.1%68.0K783.1K-14.7K0.6387.565323363,4171,721
2015-10-29$27.23$27.0033.7%9.7%30.9%59.3%34.0%7.3%0.1%71.7K533.6K-15.6K0.6384.595033183,4141,767
2015-10-30$27.85$27.0030.7%8.8%31.5%47.8%31.9%6.8%1.8%103.9K-100.3K-16.2K0.4586.127103193,4031,799