CQP Options History — October 2016

In October 2016, CQP traded between $26.61 and $29.52. ATM implied volatility averaged 28.3%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 6.0% (HV 20d: 22.3%). Max pain ranged from $28.00 to $28.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 1.49.

Notable Days

  • 2016-10-03: Highest Volume — 3,294 contracts
  • 2016-10-10: Largest IV spike — 7.2% change
  • 2016-10-31: Highest IV Rank — 9.0%
  • 2016-10-31: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.67$26.61$29.52$29.11$26.61
Max Pain$28.00$28.00$28.00$28.00$28.00
ATM IV28.3%25.9%32.1%27.1%32.1%
Expected Move8.2%7.7%9.2%7.8%9.2%
HV 20d22.3%17.7%25.7%24.8%18.9%
HV 60d21.5%20.6%22.2%21.7%21.4%
IV Rank4.5%1.5%9.0%3.0%9.0%
IV Percentile13.4%1.2%33.3%5.2%33.3%
Term Structure-0.1%-2.1%1.4%1.4%-2.1%
VWIV30.0%24.9%33.9%29.0%29.6%
Skew 25d5.4%3.1%8.6%3.1%4.5%
Skew 10d17.6%-16.6%57.6%13.0%12.7%
Call IV 25d27.1%25.1%30.5%26.6%30.5%
Put IV 25d32.4%29.7%35.1%29.7%35.1%
Bid-Ask Spread %99.5185.11113.52101.1593.52
Gamma HHI0.180.160.280.160.20
Net GEX83.8K-212.2K480.0K67.4K-212.2K
Net DEX-1.4M-5.0M4.7M-2.5M4.7M
Net VEX-60.1K-67.8K-51.4K-67.1K-51.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.490.692.862.520.69
Total Volume1,702.7627733,2943,2941,041
Total OI15,345.76213,96415,90415,58414,619

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$29.11$28.0027.1%7.8%24.8%3.0%29.0%3.1%1.4%67.4K-2.5M-67.1K2.52101.159352,3596,5349,050
2016-10-04$28.69$28.0027.2%7.8%25.7%3.1%31.9%4.3%0.8%31.2K-773.2K-67.8K2.8693.288252,3596,5299,060
2016-10-05$28.95$28.0026.8%7.7%25.3%2.6%31.6%3.6%1.4%58.6K-2.0M-66.5K2.74105.888222,2506,5399,063
2016-10-06$28.82$28.0026.4%8.2%25.4%2.1%31.1%4.2%-0.9%59.8K-1.6M-65.4K2.77108.058162,2606,5559,072
2016-10-07$28.92$28.0025.9%8.0%23.2%1.5%28.9%5.1%0.0%79.4K-2.3M-65.2K2.5396.778942,2606,5709,074
2016-10-10$29.34$28.0027.8%8.4%22.8%3.8%30.3%7.3%-0.3%156.2K-3.7M-64.6K0.8685.428837636,7509,074
2016-10-11$29.16$28.0027.8%8.2%23.1%3.8%29.3%6.4%0.1%146.4K-3.1M-62.9K0.9989.337837726,7519,077
2016-10-12$28.76$28.0029.0%8.3%24.0%5.3%29.2%5.9%0.1%90.4K-1.9M-63.8K1.00113.367737706,7609,087
2016-10-13$28.48$28.0030.6%8.8%24.1%7.2%29.3%5.0%-0.5%67.4K-986.5K-62.6K1.0285.117567716,7629,068
2016-10-14$28.64$28.0029.4%8.4%23.7%5.8%31.6%4.8%-1.3%108.7K-1.3M-62.4K1.13100.316797696,7599,065
2016-10-17$28.88$28.0028.2%8.1%22.9%4.4%32.1%6.6%0.1%197.3K-2.1M-59.8K1.10100.457007696,7619,069
2016-10-18$29.16$28.0028.8%8.2%22.4%5.0%30.8%8.4%0.2%270.7K-3.6M-58.5K1.53104.055017696,7669,069
2016-10-19$29.52$28.0028.3%8.1%22.0%4.4%30.3%5.6%0.1%270.3K-5.0M-57.1K1.60107.704787676,7869,069
2016-10-20$29.52$28.0028.0%8.0%20.2%4.1%33.9%8.6%0.2%341.6K-5.0M-56.6K1.62104.644737676,7829,069
2016-10-21$29.01$28.0028.9%8.3%20.8%5.2%31.5%4.5%-0.8%480.0K-3.0M-56.4K1.3889.365177146,8359,069
2016-10-24$28.95$28.0027.9%8.0%20.1%4.0%28.0%6.5%-0.4%-14.6K-1.6M-55.3K0.97113.525064915,9138,051
2016-10-25$28.63$28.0026.8%7.7%19.9%2.6%24.9%6.9%0.9%-26.3K-323.6K-55.2K1.02108.253823916,0718,085
2016-10-26$28.01$28.0028.5%8.2%21.2%4.7%28.6%3.8%-0.3%-113.1K1.7M-54.2K1.2493.843854776,1218,088
2016-10-27$27.77$28.0029.1%8.4%20.6%5.5%28.8%3.3%-0.2%-143.2K2.4M-54.8K0.8997.885504886,1348,210
2016-10-28$27.21$28.0030.5%8.7%17.7%7.1%28.9%4.5%-0.5%-157.1K2.9M-53.9K0.7497.896284656,2768,219
2016-10-31$26.61$28.0032.1%9.2%18.9%9.0%29.6%4.5%-2.1%-212.2K4.7M-51.4K0.6993.526174246,3968,223