CQP Options History — March 2016

In March 2016, CQP traded between $26.22 and $30.40. ATM implied volatility averaged 40.3%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 4.6% (HV 20d: 44.9%). Max pain ranged from $24.00 to $29.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 3.31.

Notable Days

  • 2016-03-29: Highest Volume — 6,395 contracts
  • 2016-03-07: Largest IV spike — 13.5% change
  • 2016-03-08: Highest IV Rank — 34.4%
  • 2016-03-04: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.05$26.22$30.40$26.35$28.74
Max Pain$27.32$24.00$29.00$24.00$29.00
ATM IV40.3%35.0%48.8%47.3%35.0%
Expected Move11.7%10.0%17.8%13.6%10.0%
HV 20d44.9%40.4%53.6%53.6%40.4%
HV 60d56.4%49.6%63.3%63.1%49.7%
IV Rank24.8%18.9%34.4%32.8%18.9%
IV Percentile67.7%50.0%80.2%77.8%50.0%
Term Structure-0.2%-4.5%1.7%-2.4%1.7%
VWIV42.0%35.2%58.3%51.2%37.1%
Skew 25d6.2%-6.5%9.6%6.7%5.2%
Skew 10d14.6%-48.4%40.0%32.1%16.9%
Call IV 25d38.9%34.0%50.4%43.8%35.1%
Put IV 25d45.1%37.9%53.0%50.5%40.4%
Bid-Ask Spread %91.0672.58112.9596.9294.00
Gamma HHI0.130.100.190.140.17
Net GEX139.4K-41.7K430.5K-41.7K202.7K
Net DEX-3.6M-13.6M1.7M1.7M-4.0M
Net VEX-71.8K-101.3K-54.9K-55.3K-101.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.310.7111.355.2011.35
Total Volume3,765.3641,3266,3955,0483,951
Total OI15,753.72711,48020,72911,48020,729

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$26.35$24.0047.3%13.6%53.6%32.8%51.2%6.7%-2.4%-41.7K1.7M-55.3K5.2096.928144,2343,1628,318
2016-03-02$27.16$24.0045.1%12.9%48.8%30.3%50.3%8.1%-0.9%-3.2K61.6K-54.9K2.7298.471,5384,1813,5358,384
2016-03-03$27.34$26.0044.5%12.3%48.7%29.6%43.4%8.0%-1.7%50.7K-1.2M-61.2K2.2481.361,8714,1884,7458,413
2016-03-04$26.82$26.0041.3%17.8%49.8%26.0%58.3%7.5%-4.5%72.8K-1.2M-67.4K2.98112.951,3864,1245,6178,429
2016-03-07$27.22$26.0046.9%12.4%47.7%32.3%42.7%9.6%-0.3%78.8K-1.7M-66.1K2.9280.281,4014,0935,6508,459
2016-03-08$26.22$26.0048.8%12.7%50.1%34.4%44.5%6.8%-2.1%66.6K-599.9K-64.2K1.6087.881,3602,1735,6928,486
2016-03-09$26.86$26.0043.0%12.3%49.7%27.9%44.8%9.3%-2.9%74.3K-1.1M-65.9K1.6282.461,3692,2155,7218,589
2016-03-10$26.99$26.0044.4%12.7%49.3%29.4%45.7%9.2%-1.8%76.7K-1.2M-65.8K1.4173.521,5472,1825,8018,627
2016-03-11$28.39$26.0040.2%11.5%43.4%24.7%41.1%7.5%0.9%169.7K-4.5M-67.7K0.7180.753,0042,1425,9998,631
2016-03-14$29.34$27.0039.0%11.2%41.6%23.4%38.6%8.0%-0.1%401.6K-9.8M-73.2K1.3872.581,5062,0808,1898,692
2016-03-15$28.64$27.0038.5%11.0%42.1%22.8%40.8%6.3%-0.3%430.5K-7.8M-73.9K3.7381.317652,8568,4059,020
2016-03-16$29.17$28.0036.7%10.5%40.5%20.8%42.6%-6.5%1.3%367.3K-9.0M-75.7K2.95112.469392,7748,4999,448
2016-03-17$30.40$28.0035.8%10.3%41.8%19.8%38.6%2.2%0.4%323.2K-13.6M-72.0K2.9886.639102,7118,8719,547
2016-03-18$29.00$29.0036.7%10.5%44.3%20.8%37.5%6.5%1.5%119.5K-9.6M-73.8K1.0289.401,5411,5749,0359,686
2016-03-21$29.25$29.0036.4%10.4%41.3%20.5%37.9%6.8%1.7%133.7K-4.3M-74.1K3.9394.532691,0576,6228,905
2016-03-22$29.01$29.0036.2%10.4%41.7%20.3%35.2%6.3%1.6%115.8K-4.0M-73.2K2.7287.013931,0696,5758,917
2016-03-23$28.35$29.0037.7%10.8%43.2%22.0%38.4%6.5%1.2%98.7K-1.6M-77.4K2.7599.723901,0746,5958,982
2016-03-24$27.94$29.0037.4%10.7%43.8%21.6%37.7%3.7%1.3%55.9K-1.2M-73.4K2.7692.333901,0756,6389,003
2016-03-28$27.80$29.0039.3%11.3%42.4%23.8%39.5%5.6%1.2%60.6K-475.7K-73.3K3.6499.612951,0756,6389,004
2016-03-29$27.96$29.0037.8%10.8%41.2%22.1%41.8%7.8%0.6%56.1K-907.3K-69.8K1.2794.502,8153,5806,6339,004
2016-03-30$28.22$29.0038.2%10.9%41.3%22.5%37.0%5.3%-0.1%156.8K-2.9M-100.3K10.83104.593323,5959,18011,507
2016-03-31$28.74$29.0035.0%10.0%40.4%18.9%37.1%5.2%1.7%202.7K-4.0M-101.3K11.3594.003203,6319,22011,509