CQP Options History — December 2015

In December 2015, CQP traded between $20.58 and $27.49. ATM implied volatility averaged 53.0%, placing in the 58.1% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 1.6% (HV 20d: 54.6%). Max pain ranged from $22.00 to $28.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 1.15.

Notable Days

  • 2015-12-18: Highest Volume — 2,258 contracts
  • 2015-12-07: Largest IV spike — 69.6% change
  • 2015-12-07: Highest IV Rank — 100.0%
  • 2015-12-21: Largest Expected Move — 17.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.93$20.58$27.49$25.57$25.96
Max Pain$26.05$22.00$28.00$28.00$25.00
ATM IV53.0%37.1%92.9%37.1%57.7%
Expected Move14.1%10.3%17.9%10.6%16.5%
HV 20d54.6%26.1%80.2%26.7%80.2%
HV 60d41.2%30.8%51.0%31.0%50.7%
IV Rank58.1%26.5%100.0%71.9%52.9%
IV Percentile96.9%83.3%100.0%84.1%98.8%
Term Structure-6.9%-21.6%8.9%-4.7%-11.2%
VWIV46.8%32.8%61.3%38.0%50.3%
Skew 25d9.8%0.0%21.2%6.2%12.0%
Skew 10d17.2%-5.5%43.7%10.6%23.9%
Call IV 25d42.7%27.0%53.2%34.1%44.1%
Put IV 25d52.5%38.5%62.9%40.3%56.1%
Bid-Ask Spread %98.9981.37113.3595.0199.91
Gamma HHI0.140.090.290.140.12
Net GEX14.7K-34.9K75.4K24.6K60.2K
Net DEX1.1M-1.8M2.8M2.0M-938.6K
Net VEX-6.9K-10.5K-3.1K-8.1K-10.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.586.041.560.83
Total Volume1,463.273412,258411,467
Total OI4,836.9552,5105,9015,1324,019

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$25.57$28.0037.1%10.6%26.7%71.9%38.0%6.2%-4.7%24.6K2.0M-8.1K1.5695.0116253,3641,768
2015-12-02$25.49$28.0041.4%11.9%26.2%88.5%36.1%7.7%0.1%22.7K1.4M-8.1K0.73102.928946543,6831,793
2015-12-03$25.11$28.0042.7%10.3%26.1%93.3%33.3%13.4%-1.7%14.6K1.6M-7.6K0.71110.649276543,6821,824
2015-12-04$24.17$28.0043.8%11.5%27.8%97.7%32.8%1.8%-7.6%12.5K2.0M-6.5K0.7494.028506293,7651,824
2015-12-07$21.87$28.0074.4%15.4%43.1%100.0%61.3%7.0%-20.3%1632.8M-5.1K6.04106.51281693,4731,791
2015-12-08$21.97$28.0092.9%12.0%43.3%100.0%40.5%6.1%-0.7%-1.5K2.4M-4.8K1.01110.368558643,7901,922
2015-12-09$23.22$28.0054.9%15.7%49.0%49.1%50.8%15.7%-7.8%-4.6K2.2M-6.0K0.9586.348738313,8961,991
2015-12-10$23.13$28.0051.1%14.7%49.0%44.1%48.8%12.2%-9.7%2.9K2.2M-5.9K0.9591.298738313,9131,980
2015-12-11$22.38$28.0049.1%14.1%48.5%41.3%45.9%6.6%-5.2%-8.3K2.4M-5.0K0.9881.378758553,9211,980
2015-12-14$22.05$28.0053.9%15.4%48.5%47.8%50.7%4.9%-13.1%2.0K2.0M-5.2K0.9791.868868613,9241,831
2015-12-15$21.67$28.0048.5%13.9%47.0%40.5%47.9%15.3%-6.0%-14.6K2.0M-4.4K0.9994.578698593,9171,771
2015-12-16$22.25$28.0057.3%16.4%48.7%52.3%49.0%21.2%-21.6%-10.9K1.9M-4.5K0.98112.238758593,9271,722
2015-12-17$20.58$23.0049.4%14.2%54.7%41.8%52.9%9.6%-5.6%-29.3K2.2M-3.1K1.2086.008761,0483,9291,722
2015-12-18$21.69$23.0053.5%15.3%59.2%47.3%50.2%7.9%-7.0%-14.5K2.2M-4.2K1.5085.809021,3563,9311,951
2015-12-21$23.52$23.0062.5%17.9%66.9%59.4%48.1%19.6%8.9%-34.9K756.5K-5.5K1.02108.855285411,0871,423
2015-12-22$24.64$22.0052.4%15.0%69.2%45.8%54.8%14.2%-6.8%13076.8K-8.0K0.7799.826905311,2931,541
2015-12-23$27.00$22.0047.8%13.7%75.7%39.6%45.8%0.0%-5.7%58.3K-1.2M-8.2K0.62113.358425221,5271,556
2015-12-24$27.49$23.0038.0%10.9%75.7%26.5%40.7%15.9%3.9%75.4K-1.8M-9.8K0.71108.449246551,8641,579
2015-12-28$26.40$25.0050.5%14.5%77.3%43.3%46.0%7.7%-12.5%65.5K-1.2M-10.5K0.7096.159676812,0851,702
2015-12-29$25.07$26.0052.0%14.9%79.5%45.3%49.5%0.1%-7.4%54.0K-807.6K-10.5K0.58101.239035202,1531,749
2015-12-30$25.24$25.0055.6%15.9%79.5%50.0%55.3%10.2%-10.6%48.7K-456.9K-9.5K0.66101.218005272,1221,728
2015-12-31$25.96$25.0057.7%16.5%80.2%52.9%50.3%12.0%-11.2%60.2K-938.6K-10.4K0.8399.918036642,1561,863