CQP Options History — May 2016

In May 2016, CQP traded between $27.79 and $29.96. ATM implied volatility averaged 36.6%, placing in the 20.7% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 12.5% (HV 20d: 24.2%). Max pain ranged from $26.00 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 4.01.

Notable Days

  • 2016-05-19: Highest Volume — 4,497 contracts
  • 2016-05-10: Largest IV drop — 17.7% change
  • 2016-05-09: Highest IV Rank — 32.1%
  • 2016-05-04: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.73$27.79$29.96$29.18$29.05
Max Pain$26.29$26.00$28.00$28.00$26.00
ATM IV36.6%32.7%46.7%38.1%33.4%
Expected Move10.2%9.4%11.5%10.9%9.6%
HV 20d24.2%16.8%30.2%23.0%29.6%
HV 60d35.2%32.4%39.9%39.9%32.4%
IV Rank20.7%16.3%32.1%22.4%17.1%
IV Percentile48.3%27.8%76.2%61.1%30.6%
Term Structure-0.1%-3.4%2.2%-2.3%0.6%
VWIV36.1%28.1%42.2%40.1%33.7%
Skew 25d6.0%4.1%8.7%6.8%8.7%
Skew 10d12.7%-5.6%31.2%23.1%5.3%
Call IV 25d34.2%31.5%39.9%36.0%32.2%
Put IV 25d40.2%36.3%45.1%42.8%40.8%
Bid-Ask Spread %97.9084.48119.9399.53102.36
Gamma HHI0.170.160.200.180.19
Net GEX427.4K262.3K612.7K434.1K612.6K
Net DEX-6.7M-10.9M-4.0M-8.1M-7.6M
Net VEX-78.1K-89.2K-68.2K-89.2K-68.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.011.1711.952.251.17
Total Volume2,206.3339794,4979791,488
Total OI21,203.71420,79722,22620,79721,291

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$29.18$28.0038.1%10.9%23.0%22.4%40.1%6.8%-2.3%434.1K-8.1M-89.2K2.2599.533016789,79411,003
2016-05-03$28.87$28.0037.9%10.9%23.4%22.2%40.6%4.3%-2.0%389.0K-7.5M-83.6K1.9395.843797319,81011,016
2016-05-04$28.39$28.0040.2%11.5%20.5%24.7%40.4%5.2%-3.4%338.3K-6.0M-85.7K1.62102.524527319,79711,066
2016-05-05$27.92$26.0039.7%10.8%21.3%24.2%37.2%5.5%-0.2%291.5K-5.1M-80.0K2.0397.063517129,87711,066
2016-05-06$27.88$26.0041.9%10.9%20.2%26.7%39.1%7.8%-1.8%278.8K-4.3M-81.1K2.1490.343657809,91611,112
2016-05-09$27.89$26.0046.7%10.3%20.2%32.1%42.2%5.4%-0.2%293.0K-4.0M-78.8K2.1192.923647689,95411,137
2016-05-10$27.81$26.0038.5%10.4%16.8%22.8%28.1%5.7%-0.5%269.0K-4.0M-74.4K2.00102.663847689,95111,139
2016-05-11$27.79$26.0035.2%10.1%16.8%19.1%32.1%6.3%-0.1%262.3K-4.1M-74.9K1.5198.846991,0569,94911,139
2016-05-12$28.70$26.0033.7%9.7%20.9%17.5%36.0%6.3%0.4%389.7K-6.1M-80.8K1.4591.187211,0439,93311,425
2016-05-13$28.07$26.0035.3%10.1%19.8%19.3%37.1%5.3%0.9%305.8K-4.3M-77.1K2.3997.774231,00910,02211,448
2016-05-16$28.98$26.0035.0%10.0%22.5%19.0%36.6%8.3%1.3%454.2K-7.0M-78.5K8.98105.513993,58510,03311,464
2016-05-17$29.01$26.0036.2%10.4%22.5%20.3%36.3%4.3%-0.1%474.1K-7.2M-78.7K9.0184.483983,58510,05511,493
2016-05-18$28.21$26.0036.6%10.5%24.4%20.8%39.7%4.9%1.4%319.9K-4.7M-77.9K11.9595.843003,58610,03911,561
2016-05-19$29.19$26.0036.6%10.5%27.5%20.7%35.8%6.9%-0.7%479.6K-7.5M-78.0K4.3691.358393,65810,03511,564
2016-05-20$29.96$26.0032.8%9.4%28.7%16.4%34.6%5.5%2.2%556.5K-10.9M-79.7K8.3190.914413,66310,58011,646
2016-05-23$29.20$26.0036.9%10.6%30.2%21.1%35.9%5.8%-0.6%504.8K-8.5M-74.6K8.9790.523933,5259,80611,000
2016-05-24$29.38$26.0034.2%9.8%30.2%18.0%33.2%6.8%1.6%564.0K-8.8M-77.2K7.1996.854943,5549,94011,011
2016-05-25$29.32$26.0034.0%9.7%30.2%17.8%32.2%6.3%-0.2%567.3K-8.6M-75.0K1.74102.3743174910,02811,008
2016-05-26$29.28$26.0033.5%9.6%29.6%17.2%32.9%4.1%0.4%577.5K-8.3M-74.2K1.85107.1140975710,05311,023
2016-05-27$29.19$26.0032.7%9.4%29.6%16.3%34.4%5.5%1.4%612.7K-7.5M-71.5K1.28119.9359976510,05911,035
2016-05-31$29.05$26.0033.4%9.6%29.6%17.1%33.7%8.7%0.6%612.6K-7.6M-68.2K1.17102.3668680210,25411,037