CQP Options History — September 2016

In September 2016, CQP traded between $26.55 and $29.72. ATM implied volatility averaged 28.2%, placing in the 3.3% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 8.7% (HV 20d: 19.5%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 4.07.

Notable Days

  • 2016-09-01: Highest Volume — 6,490 contracts
  • 2016-09-14: Largest IV drop — 35.0% change
  • 2016-09-13: Highest IV Rank — 21.8%
  • 2016-09-13: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.90$26.55$29.72$26.84$29.25
Max Pain$27.33$27.00$28.00$27.00$28.00
ATM IV28.2%24.6%43.6%26.2%26.1%
Expected Move7.8%7.1%8.7%7.5%7.5%
HV 20d19.5%16.4%24.8%18.9%24.8%
HV 60d21.4%20.6%22.1%21.5%21.8%
IV Rank3.3%0.0%21.8%0.0%1.7%
IV Percentile8.5%0.0%73.4%0.4%1.6%
Term Structure1.3%-1.8%3.7%1.8%2.4%
VWIV31.9%25.4%42.4%26.9%31.7%
Skew 25d4.2%1.7%6.4%3.3%1.7%
Skew 10d11.3%-15.6%50.3%-0.8%16.7%
Call IV 25d26.4%23.3%29.0%25.8%26.7%
Put IV 25d30.6%26.4%34.8%29.0%28.4%
Bid-Ask Spread %102.8680.37119.75110.50108.47
Gamma HHI0.230.160.350.270.16
Net GEX-375.6K-1.3M58.0K-430.7K58.0K
Net DEX2.8M-3.6M10.9M5.9M-3.2M
Net VEX-54.2K-67.1K-43.2K-45.5K-65.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.072.097.683.882.47
Total Volume4,430.4293,0866,4906,4903,538
Total OI20,333.14310,97328,00623,93315,177

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$26.84$27.0026.2%7.5%18.9%0.0%26.9%3.3%1.8%-430.7K5.9M-45.5K3.88110.501,3295,1618,32715,606
2016-09-02$27.12$27.0025.9%7.4%18.9%0.0%25.4%3.5%1.5%-377.0K4.6M-45.8K6.56102.397875,1618,43515,607
2016-09-06$27.14$27.0027.1%7.8%18.4%1.5%29.1%4.6%1.8%-356.4K4.3M-44.1K6.9280.376164,2638,70215,607
2016-09-07$27.56$27.0027.2%7.9%18.9%1.6%29.3%4.7%0.6%-256.5K3.0M-45.0K7.3197.936995,1118,72515,827
2016-09-08$27.52$27.0028.2%7.8%18.9%2.9%31.3%5.8%0.6%-454.0K3.7M-46.0K7.43100.396594,8998,79016,803
2016-09-09$26.82$27.0029.0%8.3%21.1%3.8%32.0%4.9%-0.2%-967.5K9.3M-48.7K7.6892.556354,8778,77718,240
2016-09-12$26.55$27.0032.9%8.3%18.6%8.6%31.5%4.6%0.7%-996.5K10.6M-45.2K5.6692.166523,6888,79918,248
2016-09-13$26.55$27.0043.6%8.7%16.4%21.8%32.9%6.4%-1.8%-1.1M10.9M-44.3K4.4597.038833,9288,80918,275
2016-09-14$26.69$27.0028.3%8.1%16.6%3.0%31.7%4.6%0.5%-1.2M9.6M-43.2K3.37106.331,2074,0648,84918,026
2016-09-15$27.08$27.0028.7%8.2%16.9%3.5%32.3%4.2%0.1%-1.3M6.8M-46.1K3.10102.901,3104,0639,37818,169
2016-09-16$27.48$27.0028.3%8.1%17.3%3.0%32.3%5.4%1.3%-167.4K2.0M-46.9K2.99119.751,2723,7999,81118,195
2016-09-19$28.04$27.0027.9%8.0%18.2%2.5%30.5%5.1%2.0%-120.0K762.5K-49.1K2.30110.651,1212,5734,0886,885
2016-09-20$28.50$27.0028.4%8.1%18.5%3.0%26.2%5.2%2.3%-137.3K757.6K-65.1K2.3687.619602,2634,7328,665
2016-09-21$29.02$27.0026.7%7.6%19.3%0.9%27.7%4.1%1.7%-48.8K-1.2M-64.0K2.93119.338052,3555,1568,651
2016-09-22$29.72$28.0024.6%7.1%20.6%0.0%27.4%2.1%1.8%24.7K-3.6M-62.2K3.50104.416862,4005,3428,744
2016-09-23$29.41$28.0025.8%7.4%19.8%1.4%37.3%4.6%3.7%-2.8K-2.6M-65.6K2.0993.791,1512,4005,4408,905
2016-09-26$28.96$28.0027.2%7.8%20.9%3.1%35.4%1.8%0.5%-20.1K-1.7M-66.6K2.26107.271,0622,4005,7428,905
2016-09-27$28.58$28.0025.8%7.4%21.8%1.3%38.0%6.0%1.9%-31.0K-708.0K-66.3K2.11103.911,1452,4215,8648,905
2016-09-28$28.79$28.0026.1%7.5%21.7%1.8%42.4%3.1%1.7%-12.0K-1.1M-66.3K2.68112.669352,5065,9248,906
2016-09-29$28.33$28.0028.2%8.1%22.7%4.3%38.2%3.4%1.7%-82.1K1.0M-67.1K3.40109.637402,5155,9658,995
2016-09-30$29.25$28.0026.1%7.5%24.8%1.7%31.7%1.7%2.4%58.0K-3.2M-65.2K2.47108.471,0202,5186,1918,986