CQP Options History — April 2016

In April 2016, CQP traded between $26.99 and $29.49. ATM implied volatility averaged 37.9%, placing in the 22.2% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 3.7% (HV 20d: 34.2%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 5.15.

Notable Days

  • 2016-04-01: Highest Volume — 4,344 contracts
  • 2016-04-13: Largest IV drop — 23.1% change
  • 2016-04-12: Highest IV Rank — 34.3%
  • 2016-04-04: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.76$26.99$29.49$27.92$28.99
Max Pain$28.05$28.00$29.00$29.00$28.00
ATM IV37.9%35.5%48.7%36.0%38.3%
Expected Move10.6%10.2%11.3%10.3%11.0%
HV 20d34.2%25.8%42.8%41.9%25.8%
HV 60d45.7%39.9%50.9%50.1%39.9%
IV Rank22.2%19.5%34.3%20.0%22.6%
IV Percentile58.7%46.4%79.8%55.6%61.9%
Term Structure-0.8%-3.2%2.4%2.4%-3.2%
VWIV40.0%34.5%48.5%34.9%38.8%
Skew 25d5.4%2.3%9.8%3.5%2.6%
Skew 10d21.5%5.8%42.8%6.7%21.4%
Call IV 25d36.3%33.7%38.8%37.0%37.3%
Put IV 25d41.7%38.7%43.9%40.5%39.9%
Bid-Ask Spread %93.3974.20112.06102.48106.64
Gamma HHI0.160.130.200.150.17
Net GEX262.0K42.2K380.4K116.0K377.7K
Net DEX-5.4M-8.2M847.3K-2.8M-7.6M
Net VEX-91.3K-98.7K-81.1K-94.4K-89.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.150.9514.689.521.47
Total Volume2,177.0481,1234,3444,3441,135
Total OI20,859.71419,55121,60220,68920,768

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$27.92$29.0036.0%10.3%41.9%20.0%34.9%3.5%2.4%116.0K-2.8M-94.4K9.52102.484133,9319,21211,477
2016-04-04$27.10$28.0041.2%11.3%42.8%25.9%44.2%5.1%-1.3%47.6K-32.5K-92.7K11.8492.573283,8829,28311,788
2016-04-05$26.99$28.0039.9%11.2%42.5%24.4%43.8%5.6%-1.0%42.2K847.3K-93.0K12.3879.243093,8249,31811,812
2016-04-06$28.04$28.0038.4%10.8%42.2%22.7%48.5%6.5%-0.8%123.1K-1.4M-98.7K14.5195.792653,8469,31911,818
2016-04-07$28.20$28.0040.2%11.2%41.5%24.7%47.7%6.9%-1.2%127.5K-2.7M-95.9K14.6886.992663,9049,34411,859
2016-04-08$28.70$28.0036.1%10.6%41.8%20.2%42.3%6.3%-0.4%184.0K-4.4M-96.4K14.3379.372723,8979,35011,886
2016-04-11$28.66$28.0042.1%10.8%37.9%26.9%46.3%5.5%-0.2%178.2K-4.5M-93.1K4.7774.202931,3989,36211,893
2016-04-12$29.49$28.0048.7%10.9%37.4%34.3%41.9%7.3%-0.7%293.2K-7.3M-92.3K3.4988.464061,4179,38911,915
2016-04-13$29.43$28.0037.5%10.7%36.3%21.7%42.6%3.8%-0.9%321.8K-7.3M-92.8K3.3490.334191,3989,52811,913
2016-04-14$29.49$28.0036.5%10.5%35.8%20.7%42.4%4.9%-0.3%377.9K-7.6M-91.6K3.1779.864381,3909,58311,913
2016-04-15$28.64$28.0037.1%10.7%33.8%21.3%43.7%3.8%-0.5%227.2K-4.5M-91.1K2.9989.363571,0669,70411,898
2016-04-18$29.02$28.0035.9%10.3%29.9%20.0%35.4%7.0%-0.8%254.2K-5.9M-90.2K0.9594.106636318,67310,878
2016-04-19$29.13$28.0036.6%10.5%29.8%20.7%34.7%6.5%-0.8%309.9K-6.9M-88.8K0.9792.096696479,12710,904
2016-04-20$29.25$28.0035.7%10.2%29.7%19.7%35.6%5.9%-1.2%324.0K-6.9M-90.8K1.0099.956506479,16910,930
2016-04-21$29.38$28.0035.5%10.2%28.4%19.5%35.2%3.5%-0.6%368.8K-7.6M-92.0K1.24100.885526869,59510,948
2016-04-22$29.03$28.0035.7%10.2%28.2%19.7%34.5%5.9%-1.0%340.8K-6.9M-89.6K1.5795.604376869,66510,981
2016-04-25$29.23$28.0036.2%10.4%28.1%20.2%36.4%9.8%-0.3%380.4K-8.2M-81.1K1.44102.984776879,68510,988
2016-04-26$29.15$28.0037.0%10.6%28.2%21.2%35.3%5.7%-1.8%359.3K-7.0M-89.8K1.4495.714776899,70810,990
2016-04-27$29.30$28.0035.6%10.2%28.1%19.6%37.9%4.9%-1.1%373.5K-7.5M-88.6K1.52112.064516859,73910,994
2016-04-28$28.85$28.0036.5%10.5%28.0%20.6%38.3%2.3%-1.3%375.2K-7.7M-85.5K1.54102.484456859,75310,995
2016-04-29$28.99$28.0038.3%11.0%25.8%22.6%38.8%2.6%-3.2%377.7K-7.6M-89.3K1.47106.644596769,77010,998