CQP Options History — November 2016

In November 2016, CQP traded between $26.36 and $29.28. ATM implied volatility averaged 31.9%, placing in the 8.8% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 11.0% (HV 20d: 20.9%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2016-11-18: Highest Volume — 3,232 contracts
  • 2016-11-11: Largest IV spike — 10.0% change
  • 2016-11-29: Highest IV Rank — 12.8%
  • 2016-11-29: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.73$26.36$29.28$26.59$29.28
Max Pain$27.10$27.00$28.00$28.00$27.00
ATM IV31.9%28.6%35.2%32.8%33.5%
Expected Move9.0%8.2%10.1%9.4%9.6%
HV 20d20.9%17.5%26.3%18.6%26.3%
HV 60d21.2%20.0%24.1%21.2%24.1%
IV Rank8.8%4.8%12.8%9.9%10.7%
IV Percentile33.8%17.5%49.6%38.5%44.8%
Term Structure-1.6%-5.9%1.2%-2.0%-5.9%
VWIV33.5%27.0%47.7%33.4%47.7%
Skew 25d5.2%2.7%8.0%2.7%8.0%
Skew 10d12.0%-0.8%28.7%15.0%18.8%
Call IV 25d29.5%26.8%33.9%33.2%28.9%
Put IV 25d34.7%31.6%37.7%35.9%36.9%
Bid-Ask Spread %97.5781.63110.5787.88106.73
Gamma HHI0.200.160.250.200.21
Net GEX49.2K-299.4K370.0K-235.5K318.8K
Net DEX-693.2K-6.6M6.1M5.0M-6.6M
Net VEX-48.0K-56.5K-40.7K-51.7K-40.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.132.911.080.26
Total Volume1,958.4291,0573,2321,2491,507
Total OI14,371.47612,88015,97414,70213,356

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$26.59$28.0032.8%9.4%18.6%9.9%33.4%2.7%-2.0%-235.5K5.0M-51.7K1.0887.886016486,4488,254
2016-11-02$26.36$28.0033.1%9.5%18.0%10.2%33.7%3.8%-2.3%-299.4K6.1M-50.9K0.88110.576065356,4928,504
2016-11-03$26.58$27.0035.1%8.6%18.6%12.6%33.0%5.0%-0.3%-230.8K5.5M-52.4K0.95104.095745436,4808,492
2016-11-04$26.70$27.0034.1%8.5%18.6%11.5%30.5%4.1%0.4%-246.1K4.5M-52.2K0.8381.635774806,4808,503
2016-11-07$26.77$27.0031.6%8.2%17.5%8.4%28.7%5.9%1.2%-251.8K5.2M-48.7K0.1897.252,3434316,4938,512
2016-11-08$26.77$27.0031.1%8.4%17.6%7.8%28.9%4.5%-0.0%-233.1K3.9M-54.4K0.2088.242,1674277,1978,512
2016-11-09$27.14$27.0029.0%8.3%18.3%5.3%27.0%6.4%-0.3%-153.7K2.9M-54.6K0.13102.672,0232737,2938,517
2016-11-10$28.08$27.0029.1%8.4%22.3%5.5%29.4%3.7%0.8%57.6K-1.5M-56.5K0.1996.601,4152737,4028,522
2016-11-11$28.30$27.0032.1%9.2%22.4%9.0%33.2%5.9%-1.4%106.3K-2.9M-55.8K1.0599.581,2051,2687,4498,525
2016-11-14$28.13$27.0032.9%9.4%22.2%10.1%37.0%6.8%-2.3%216.7K-3.2M-51.8K2.4794.119192,2707,6917,584
2016-11-15$28.32$27.0032.0%9.2%22.1%9.0%36.1%6.1%-1.7%370.0K-4.5M-47.8K2.9195.917852,2817,6916,404
2016-11-16$27.91$27.0030.4%8.7%21.9%7.0%34.6%5.3%-0.6%248.3K-2.5M-47.0K2.4692.469322,2917,6846,452
2016-11-17$27.97$27.0030.2%8.6%21.9%6.7%34.7%5.8%-0.8%222.3K-2.1M-45.6K2.3594.409462,2257,5376,478
2016-11-18$28.57$27.0028.6%8.2%22.8%4.8%34.6%5.0%0.5%193.3K-5.1M-44.9K2.2298.531,0052,2277,5596,470
2016-11-21$28.15$27.0031.2%9.0%23.3%8.0%29.3%5.9%-3.2%152.2K-3.3M-43.9K0.22104.431,1632556,5666,314
2016-11-22$28.32$27.0031.3%9.0%23.2%8.1%31.4%6.6%-2.7%181.3K-3.7M-43.4K0.2598.349652446,6936,381
2016-11-23$28.40$27.0031.8%9.1%21.8%8.6%32.7%5.3%-3.3%195.8K-4.0M-43.1K0.22100.438871996,7646,382
2016-11-25$28.25$27.0031.8%9.1%21.6%8.7%33.3%4.2%-2.8%159.0K-3.4M-41.5K0.1894.721,1171996,7666,397
2016-11-28$28.03$27.0033.2%9.5%20.4%10.4%34.4%4.6%-3.8%155.9K-2.9M-40.8K0.35100.118683046,8116,397
2016-11-29$27.75$27.0035.2%10.1%18.9%12.8%39.1%3.8%-3.9%105.8K-1.9M-41.0K0.37100.308403096,8366,513
2016-11-30$29.28$27.0033.5%9.6%26.3%10.7%47.7%8.0%-5.9%318.8K-6.6M-40.7K0.26106.731,1993086,8396,517