CQP Options History — July 2016

In July 2016, CQP traded between $27.31 and $29.74. ATM implied volatility averaged 31.6%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 8.3% (HV 20d: 23.3%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 7.13.

Notable Days

  • 2016-07-27: Highest Volume — 5,698 contracts
  • 2016-07-11: Largest IV spike — 22.4% change
  • 2016-07-11: Highest IV Rank — 21.2%
  • 2016-07-11: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.37$27.31$29.74$29.74$27.72
Max Pain$29.30$28.00$30.00$29.00$28.00
ATM IV31.6%29.2%37.0%29.7%30.1%
Expected Move9.0%8.4%9.6%8.5%8.6%
HV 20d23.3%16.5%26.5%25.2%17.9%
HV 60d25.0%24.4%25.9%25.4%25.0%
IV Rank11.3%6.5%21.2%12.9%7.6%
IV Percentile18.5%5.6%52.0%12.3%7.1%
Term Structure-0.6%-2.1%1.5%1.5%-1.8%
VWIV34.1%28.7%38.5%30.1%36.4%
Skew 25d5.9%3.3%9.4%5.3%3.3%
Skew 10d16.7%3.2%61.9%10.3%10.1%
Call IV 25d29.9%27.4%31.7%27.7%30.2%
Put IV 25d35.7%33.0%40.5%33.0%33.5%
Bid-Ask Spread %92.0079.38114.38114.38102.86
Gamma HHI0.150.120.200.200.12
Net GEX160.0K-68.0K403.9K403.9K59.3K
Net DEX-1.1M-5.6M2.7M-5.6M1.1M
Net VEX-51.0K-61.0K-42.5K-61.0K-52.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.133.9114.316.228.46
Total Volume5,144.754,6735,6984,7905,054
Total OI19,362.5517,89421,91718,66221,876

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$29.74$29.0029.7%8.5%25.2%12.9%30.1%5.3%1.5%403.9K-5.6M-61.0K6.22114.386634,1278,03910,623
2016-07-05$28.96$30.0035.2%9.5%26.3%19.2%38.5%9.4%-1.8%293.9K-3.6M-55.6K6.2295.486824,2408,06210,627
2016-07-06$28.65$30.0034.2%9.3%26.5%18.0%37.9%7.1%0.1%172.8K-1.3M-56.1K5.8579.387024,1088,07910,934
2016-07-07$28.76$30.0032.4%9.3%25.1%15.9%38.5%8.5%-0.4%188.3K-1.8M-57.2K6.0486.426644,0098,09410,994
2016-07-08$29.03$30.0030.3%9.3%25.4%13.6%35.8%6.0%-2.1%256.8K-3.1M-55.3K3.9189.851,0644,1628,09210,995
2016-07-11$28.94$30.0037.0%9.6%24.8%21.2%35.3%5.4%-1.3%258.6K-3.3M-53.8K4.4695.538893,9698,23411,127
2016-07-12$28.93$30.0034.5%9.3%23.5%18.3%36.0%5.3%-1.9%236.3K-2.5M-58.1K7.4286.186534,8458,47811,151
2016-07-13$28.83$30.0031.8%9.1%23.5%9.6%37.1%6.7%-1.4%252.0K-2.8M-51.7K7.9794.096114,8698,46610,509
2016-07-14$28.79$30.0030.1%8.6%23.5%7.6%35.5%5.6%0.9%245.9K-3.0M-51.8K7.1992.146584,7328,40010,529
2016-07-15$28.75$30.0029.6%8.5%23.0%7.0%36.6%6.3%-0.4%203.4K-1.5M-48.5K7.3887.886434,7458,44310,527
2016-07-18$28.86$30.0029.6%8.5%22.7%7.0%32.4%7.5%0.8%259.9K-2.7M-45.6K6.1981.157294,5167,47710,417
2016-07-19$28.06$30.0031.3%9.0%23.1%9.0%32.1%5.2%0.1%107.1K309.9K-48.1K7.7087.305884,5257,75010,425
2016-07-20$28.12$29.0030.2%8.7%23.1%7.7%30.2%3.9%-0.2%154.5K-896.4K-44.1K6.87107.306764,6417,86910,436
2016-07-21$27.52$29.0031.4%9.0%24.0%9.1%30.1%6.3%-0.9%51.0K662.3K-43.5K9.5498.894834,6067,98310,753
2016-07-22$27.83$29.0029.2%8.4%24.5%6.5%28.7%6.1%-0.5%103.9K18.8K-42.5K8.2990.675834,8317,99010,825
2016-07-25$27.62$28.0031.6%9.1%24.4%9.3%31.2%4.9%-0.5%28.4K1.0M-46.4K4.4086.549234,0617,97211,652
2016-07-26$27.56$28.0031.3%9.0%22.9%9.0%33.7%5.5%-0.2%18.5K1.4M-48.7K6.5787.186614,3418,28112,220
2016-07-27$27.47$28.0031.4%9.0%20.4%9.1%31.6%4.3%-1.4%-68.0K2.7M-46.9K7.6285.556615,0378,36112,644
2016-07-28$27.31$28.0031.6%9.1%16.5%9.4%33.6%4.7%-1.1%-26.9K2.6M-52.8K14.3191.323234,6218,49313,424
2016-07-29$27.72$28.0030.1%8.6%17.9%7.6%36.4%3.3%-1.8%59.3K1.1M-52.6K8.46102.865344,5208,45313,423