CQP Options History — June 2016

In June 2016, CQP traded between $28.41 and $31.15. ATM implied volatility averaged 33.9%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 7.4% (HV 20d: 26.6%). Max pain ranged from $25.00 to $29.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 5.65.

Notable Days

  • 2016-06-30: Highest Volume — 4,808 contracts
  • 2016-06-27: Largest IV spike — 28.2% change
  • 2016-06-27: Highest IV Rank — 33.2%
  • 2016-06-27: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.03$28.41$31.15$29.75$29.82
Max Pain$26.73$25.00$29.00$26.00$29.00
ATM IV33.9%30.2%47.7%32.3%31.4%
Expected Move9.8%8.6%13.7%9.3%9.0%
HV 20d26.6%21.5%30.7%30.5%25.3%
HV 60d27.9%25.4%32.6%32.6%25.4%
IV Rank17.7%13.5%33.2%15.8%14.8%
IV Percentile34.0%19.8%77.4%26.2%19.8%
Term Structure-1.2%-11.4%1.6%1.2%0.7%
VWIV34.3%27.8%39.9%34.7%30.2%
Skew 25d7.9%4.3%18.6%9.4%12.7%
Skew 10d17.0%-8.2%35.4%29.0%17.2%
Call IV 25d30.7%20.5%38.7%28.4%25.7%
Put IV 25d38.6%33.7%50.4%37.8%38.4%
Bid-Ask Spread %95.3776.30118.03110.8399.36
Gamma HHI0.230.160.340.210.19
Net GEX673.6K190.4K1.2M738.8K412.7K
Net DEX-10.8M-18.5M-2.2M-10.5M-6.2M
Net VEX-60.0K-71.4K-48.8K-71.4K-62.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.651.947.956.636.17
Total Volume3,453.0913,0124,8083,2134,808
Total OI19,557.54515,07621,34421,34418,693

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$29.75$26.0032.3%9.3%30.5%15.8%34.7%9.4%1.2%738.8K-10.5M-71.4K6.63110.834212,79210,30511,039
2016-06-02$30.34$25.0031.3%9.2%30.3%14.7%33.9%5.9%0.2%835.1K-13.4M-69.2K4.3885.425842,55710,34410,413
2016-06-03$30.09$25.0030.8%9.2%29.7%14.2%37.9%5.4%0.9%849.3K-13.2M-63.3K4.3281.495922,55910,51610,427
2016-06-06$30.46$25.0032.3%9.3%29.8%15.9%36.1%5.0%0.0%902.8K-15.0M-60.0K4.5576.305622,55810,54010,430
2016-06-07$30.29$25.0030.8%9.0%30.0%14.2%35.7%4.9%1.6%970.6K-13.9M-63.5K5.2578.084982,61510,54710,431
2016-06-08$30.94$25.0030.2%8.6%30.5%13.5%32.6%4.5%1.4%972.2K-17.2M-59.1K4.7289.085542,61510,58610,477
2016-06-09$30.75$25.0030.3%8.7%30.7%13.6%32.4%4.3%1.4%1.0M-16.4M-60.5K6.0693.354332,62410,65510,477
2016-06-10$31.15$25.0031.2%8.9%29.1%14.6%32.6%4.7%-0.0%1.0M-18.5M-57.4K6.6188.453962,61810,71610,477
2016-06-13$30.40$25.0035.8%10.3%29.4%19.9%34.0%9.2%-3.2%989.0K-15.5M-57.0K5.8786.664472,62310,75210,487
2016-06-14$30.47$25.0039.4%11.3%27.5%23.8%39.0%11.4%-7.2%1.0M-14.8M-57.8K6.3499.864142,62410,79110,488
2016-06-15$30.41$25.0041.4%11.9%27.5%26.1%39.9%5.7%-9.8%1.2M-14.9M-56.1K5.41115.664852,62210,80010,488
2016-06-16$30.73$25.0031.1%8.9%25.2%14.5%34.7%8.3%-0.3%1.2M-16.7M-58.9K3.3395.867872,62210,76410,508
2016-06-17$30.31$26.0033.2%9.5%23.3%16.9%36.7%7.1%-0.8%282.4K-16.1M-55.3K6.7285.703902,62210,74510,510
2016-06-20$29.54$29.0032.5%9.3%23.5%16.1%30.2%6.2%0.5%286.2K-5.4M-48.8K1.9490.521,1812,2906,3558,721
2016-06-21$29.41$29.0032.6%9.4%21.6%16.2%30.5%6.8%1.6%306.1K-4.5M-56.8K5.5295.735182,8617,1998,845
2016-06-22$29.52$29.0031.3%9.0%21.5%14.7%32.6%5.6%1.3%309.6K-4.8M-60.5K5.89100.124872,8707,4769,434
2016-06-23$29.47$29.0032.1%9.2%21.5%15.7%32.5%6.9%1.6%336.9K-5.0M-57.2K6.24106.444592,8667,6999,444
2016-06-24$29.15$29.0037.2%10.7%21.9%21.4%37.5%7.6%-2.2%279.1K-4.8M-59.1K6.79109.914372,9687,8269,447
2016-06-27$28.41$29.0047.7%13.7%23.7%33.2%38.5%13.5%-11.4%190.4K-2.2M-57.5K7.95101.274993,9697,8529,455
2016-06-28$29.16$29.0038.8%11.1%25.5%23.2%35.2%9.3%-3.2%277.7K-3.4M-62.8K6.2290.016403,9847,97010,471
2016-06-29$30.02$29.0032.8%9.4%26.2%16.5%27.8%18.6%0.3%411.2K-6.0M-66.2K7.38118.035393,9788,17310,493
2016-06-30$29.82$29.0031.4%9.0%25.3%14.8%30.2%12.7%0.7%412.7K-6.2M-62.2K6.1799.366714,1378,20110,492