CQP Options History — August 2016

In August 2016, CQP traded between $26.39 and $28.37. ATM implied volatility averaged 29.3%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 7.4% (HV 20d: 21.9%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 5.64.

Notable Days

  • 2016-08-31: Highest Volume — 7,378 contracts
  • 2016-08-10: Largest IV drop — 22.1% change
  • 2016-08-02: Highest IV Rank — 13.2%
  • 2016-08-02: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.08$26.39$28.37$27.25$27.01
Max Pain$27.13$27.00$28.00$28.00$27.00
ATM IV29.3%26.2%36.0%32.4%26.6%
Expected Move8.2%7.5%10.0%9.3%7.6%
HV 20d21.9%18.5%25.4%18.5%18.8%
HV 60d23.7%22.0%26.2%25.1%22.0%
IV Rank3.9%0.0%13.2%10.3%0.4%
IV Percentile8.4%0.0%42.9%21.0%0.4%
Term Structure1.9%-3.4%25.0%-2.2%2.1%
VWIV31.6%21.8%39.1%36.4%27.8%
Skew 25d3.8%1.7%5.7%4.1%2.9%
Skew 10d3.7%-8.9%18.5%-2.1%0.2%
Call IV 25d27.9%25.7%32.5%31.5%26.1%
Put IV 25d31.8%28.0%37.6%35.6%29.0%
Bid-Ask Spread %101.7791.00114.74107.13110.39
Gamma HHI0.160.120.210.120.19
Net GEX-153.6K-335.7K303.6K-38.9K-226.7K
Net DEX4.0M-283.7K5.9M2.7M4.3M
Net VEX-44.8K-51.5K-39.4K-51.5K-43.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.640.0410.708.065.06
Total Volume4,670.69677,3784,4667,378
Total OI22,220.69620,68423,34421,82822,638

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$27.25$28.0032.4%9.3%18.5%10.3%36.4%4.1%-2.2%-38.9K2.7M-51.5K8.06107.134933,9738,40513,423
2016-08-02$26.39$28.0034.8%10.0%19.5%13.2%35.9%5.7%-3.4%-262.7K5.5M-46.9K7.2593.124903,5548,40213,465
2016-08-03$26.81$28.0032.4%9.3%20.6%10.3%38.7%3.5%-1.9%-179.5K4.8M-48.2K4.90114.747263,5608,41113,550
2016-08-04$26.94$27.0032.5%8.6%20.7%10.5%39.1%4.4%0.7%-146.9K3.7M-46.9K7.08101.545043,5708,53113,552
2016-08-05$26.70$27.0031.1%8.5%20.2%8.8%37.8%3.7%0.2%-198.3K4.4M-47.3K6.3895.217134,5518,52013,562
2016-08-08$27.03$27.0034.0%8.5%21.0%12.3%38.5%2.9%0.6%-189.7K4.5M-50.7K6.7797.326764,5768,33114,558
2016-08-09$26.81$27.0036.0%9.0%21.1%10.2%37.0%4.9%0.7%-255.3K5.3M-51.1K5.69104.778024,5608,45514,595
2016-08-10$26.86$27.0028.1%8.0%21.2%0.2%36.8%2.9%2.1%-335.7K5.7M-48.6K5.69104.588114,6188,49614,614
2016-08-11$27.01$27.0028.4%8.2%21.4%0.5%30.4%3.9%1.7%-276.6K4.6M-47.4K8.31100.105574,6288,48614,540
2016-08-12$27.76$27.0027.4%7.9%24.0%0.0%30.2%4.4%2.3%26.2K2.0M-47.8K7.70100.565994,6158,47514,562
2016-08-15$28.37$27.0029.0%8.3%25.4%2.0%31.2%5.5%0.7%303.6K-283.7K-47.2K8.8094.745224,5968,42114,509
2016-08-16$28.18$27.0027.8%8.0%23.4%0.6%31.5%4.5%2.1%228.3K539.1K-45.3K10.7091.004294,5908,42914,508
2016-08-17$27.72$27.0026.9%7.7%24.1%0.0%27.8%2.9%2.9%5.0K2.3M-44.9K0.40109.21528,42514,499
2016-08-18$27.40$27.0028.2%8.1%23.2%1.6%27.3%5.2%1.3%-236.2K4.0M-39.9K0.6695.083272168,42614,499
2016-08-19$27.12$27.0028.0%8.0%23.0%1.3%29.7%5.1%1.0%-204.3K4.4M-40.6K8.92101.555084,5338,73914,605
2016-08-22$26.91$27.0027.4%7.9%23.0%0.6%27.3%1.7%25.0%-176.1K4.1M-39.5K4.3997.399984,3797,41313,271
2016-08-23$26.93$27.0026.2%7.5%23.1%0.0%27.2%2.2%2.4%-138.9K3.8M-40.1K5.0699.078684,3907,48013,274
2016-08-24$27.03$27.0027.2%7.8%23.1%1.3%26.0%4.0%0.5%-131.7K3.8M-40.0K0.04109.9419877,42513,281
2016-08-25$26.58$27.0027.0%7.7%23.7%0.9%29.3%3.0%2.5%-214.7K4.7M-39.4K4.6198.941,1115,1247,59713,282
2016-08-26$26.49$27.0028.7%8.2%22.9%3.1%29.1%5.0%0.4%-305.1K5.9M-41.1K3.58110.091,4695,2557,53314,073
2016-08-29$26.66$27.0027.2%7.8%22.4%1.2%29.3%3.7%1.2%-306.5K5.7M-40.3K5.7395.608654,9597,54414,205
2016-08-30$26.96$27.0026.7%7.7%19.6%0.6%21.8%2.0%1.8%-273.1K5.1M-41.5K4.01108.741,2224,8997,76014,307
2016-08-31$27.01$27.0026.6%7.6%18.8%0.4%27.8%2.9%2.1%-226.7K4.3M-43.7K5.06110.391,2186,1608,32414,314