CQP Options History — February 2016

In February 2016, CQP traded between $19.80 and $26.30. ATM implied volatility averaged 60.9%, placing in the 48.0% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded above realized volatility by 5.0% (HV 20d: 55.9%). Max pain ranged from $24.00 to $25.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 2.97.

Notable Days

  • 2016-02-29: Highest Volume — 4,671 contracts
  • 2016-02-05: Largest IV spike — 20.7% change
  • 2016-02-08: Highest IV Rank — 69.7%
  • 2016-02-03: Largest Expected Move — 21.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.77$19.80$26.30$22.99$26.30
Max Pain$24.45$24.00$25.00$24.00$24.00
ATM IV60.9%47.5%80.2%63.2%48.3%
Expected Move16.8%13.6%21.1%18.1%13.8%
HV 20d55.9%52.4%62.9%53.2%53.9%
HV 60d60.0%56.8%63.1%56.8%63.1%
IV Rank48.0%33.0%69.7%50.6%33.9%
IV Percentile90.6%79.0%99.2%96.8%79.8%
Term Structure-6.8%-14.2%-0.3%-5.7%-2.0%
VWIV60.0%51.8%67.9%61.7%56.2%
Skew 25d12.1%4.9%18.9%14.0%11.3%
Skew 10d36.8%19.2%48.2%41.7%20.7%
Call IV 25d53.0%39.3%64.8%55.3%41.8%
Put IV 25d65.1%52.2%76.0%69.3%53.1%
Bid-Ask Spread %91.1679.15103.3492.8795.01
Gamma HHI0.130.090.210.100.15
Net GEX-12.4K-60.4K22.9K22.9K-60.4K
Net DEX1.1M-59.4K1.9M-59.4K1.7M
Net VEX-20.8K-53.8K-10.7K-12.6K-53.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.970.969.181.088.18
Total Volume2,477.351,4284,6711,6094,671
Total OI6,061.554,22911,2194,22911,219

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-02-01$22.99$24.0063.2%18.1%53.2%50.6%61.7%14.0%-5.7%22.9K-59.4K-12.6K1.0892.877748352,6711,558
2016-02-02$21.75$24.0066.2%19.0%56.1%54.0%60.5%10.8%-9.2%12.9K375.5K-11.8K1.1092.967678472,6811,592
2016-02-03$22.20$24.0073.7%21.1%56.9%62.4%64.3%11.6%-11.5%9.7K468.8K-11.8K1.1788.477038222,6881,641
2016-02-04$22.23$25.0064.1%16.0%56.8%51.7%54.7%10.9%-6.0%9.9K499.6K-11.9K0.9681.267277012,6981,671
2016-02-05$21.59$25.0077.4%18.0%57.1%66.6%60.7%12.3%-14.2%7.5K655.7K-11.9K1.0589.577297672,7431,786
2016-02-08$21.32$25.0080.2%18.3%57.1%69.7%61.4%12.7%-10.2%-7.5K1.1M-11.6K1.3193.797489822,7411,937
2016-02-09$21.11$25.0070.3%17.4%55.0%58.6%61.3%13.9%-8.2%-18.1K1.5M-11.9K1.3688.337329952,7692,183
2016-02-10$20.98$25.0059.6%17.1%54.6%46.5%63.0%18.8%-5.3%-14.3K1.4M-12.0K1.2086.597468962,7922,189
2016-02-11$19.80$25.0066.0%18.9%56.9%53.8%67.9%11.2%-10.0%-22.7K1.9M-10.7K1.6479.157681,2562,8062,189
2016-02-12$20.93$25.0067.3%19.3%59.7%55.3%67.4%13.3%-13.1%-26.7K1.9M-13.7K1.7493.876661,1622,8312,646
2016-02-16$21.99$25.0064.3%18.4%62.9%51.8%63.9%14.0%-7.2%-20.0K1.4M-14.5K1.6588.037181,1842,8452,672
2016-02-17$22.99$25.0060.6%17.4%62.7%47.7%60.7%18.9%-13.3%-474656.7K-15.2K2.0494.379341,9052,8922,686
2016-02-18$23.47$24.0057.2%16.4%56.6%43.8%56.6%12.1%-6.6%-1.0K789.0K-20.2K1.3196.789141,1973,0573,317
2016-02-19$22.74$24.0052.6%15.1%54.1%38.7%62.8%12.5%-4.5%-9.3K1.4M-19.6K4.87103.346853,3333,0793,329
2016-02-22$24.03$24.0048.9%14.0%53.9%34.5%55.7%17.8%-2.1%-44.1K1.9M-33.2K5.7896.385393,1152,4745,018
2016-02-23$24.30$24.0048.3%13.8%52.7%33.9%56.5%8.1%-0.3%-25.7K1.5M-34.6K6.8482.604573,1262,7235,092
2016-02-24$24.60$24.0054.2%15.5%52.5%40.5%56.3%4.9%-4.6%-31.7K1.5M-34.3K4.3694.777153,1162,7575,163
2016-02-25$24.56$24.0047.5%13.6%52.4%33.0%56.6%6.2%-1.0%-26.6K1.4M-34.7K2.5088.344841,2092,7875,186
2016-02-26$25.50$24.0047.9%13.7%53.4%33.4%51.8%6.7%-1.0%-1.3K325.0K-35.5K9.1896.754544,1682,8725,251
2016-02-29$26.30$24.0048.3%13.8%53.9%33.9%56.2%11.3%-2.0%-60.4K1.7M-53.8K8.1895.015094,1622,9548,265