CQP Options History — December 2016

In December 2016, CQP traded between $27.25 and $29.72. ATM implied volatility averaged 28.5%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 2.5% (HV 20d: 30.9%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2016-12-16: Highest Volume — 3,543 contracts
  • 2016-12-12: Largest IV spike — 21.1% change
  • 2016-12-12: Highest IV Rank — 14.6%
  • 2016-12-01: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.72$27.25$29.72$29.12$28.68
Max Pain$27.95$27.00$29.00$27.00$27.00
ATM IV28.5%24.9%36.7%32.9%25.9%
Expected Move7.8%7.2%9.4%9.4%7.4%
HV 20d30.9%26.0%36.8%26.1%31.2%
HV 60d25.1%23.2%26.9%23.9%26.0%
IV Rank4.6%0.4%14.6%10.0%1.6%
IV Percentile17.3%0.4%61.9%42.5%4.4%
Term Structure1.1%-2.5%3.7%-2.0%2.0%
VWIV26.7%19.7%35.8%34.7%21.1%
Skew 25d3.5%0.5%6.1%6.1%3.6%
Skew 10d10.8%-5.7%26.1%26.1%4.7%
Call IV 25d26.1%24.0%31.1%31.1%24.0%
Put IV 25d29.6%25.2%37.2%37.2%27.6%
Bid-Ask Spread %97.1774.71113.85105.14109.25
Gamma HHI0.230.190.300.200.20
Net GEX238.9K-55.1K526.4K297.5K111.3K
Net DEX-4.2M-9.5M410.4K-6.5M-2.4M
Net VEX-32.7K-39.6K-27.0K-39.6K-32.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.201.230.260.40
Total Volume1,581.3336283,5431,4761,380
Total OI11,131.3336,60514,14413,4548,387

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$29.12$27.0032.9%9.4%26.1%10.0%34.7%6.1%-2.0%297.5K-6.5M-39.6K0.26105.141,1673096,9206,534
2016-12-02$29.33$27.0030.2%8.7%26.0%6.7%35.8%4.1%-2.5%401.9K-7.7M-36.7K0.26101.141,1693086,9406,535
2016-12-05$29.52$29.0029.0%7.6%26.1%5.2%26.9%6.1%1.4%459.7K-8.7M-35.0K0.2492.291,2012936,9366,545
2016-12-06$29.41$29.0030.0%8.1%26.2%6.5%27.1%4.3%0.4%480.4K-8.6M-34.4K0.2481.811,2252946,9976,549
2016-12-07$29.25$29.0030.1%8.0%26.4%6.6%27.6%4.1%1.6%467.6K-8.0M-34.0K0.2992.811,0963156,9746,550
2016-12-08$29.72$29.0029.1%7.8%26.5%5.4%27.3%3.7%0.7%526.4K-9.5M-32.9K0.3774.715872156,9696,566
2016-12-09$28.86$29.0030.3%7.9%26.7%6.8%27.0%3.4%-0.2%454.5K-6.4M-32.4K0.3793.196632436,9466,576
2016-12-12$28.80$29.0036.7%7.7%26.7%14.6%27.3%2.8%0.1%478.8K-6.5M-30.4K0.6392.673852436,9166,598
2016-12-13$28.89$29.0035.4%7.8%26.5%13.1%27.5%4.3%0.3%519.3K-6.5M-29.8K0.3783.946872566,9216,597
2016-12-14$27.25$29.0029.0%8.3%33.9%5.3%27.9%3.4%-0.2%120.8K-887.5K-27.6K0.6596.548375476,9866,534
2016-12-15$27.45$29.0028.3%8.1%33.7%4.5%28.1%3.5%1.4%188.6K-1.3M-27.0K1.23102.268411,0316,7866,818
2016-12-16$27.81$29.0026.0%7.5%34.0%1.7%26.9%3.3%1.3%-55.1K-1.8M-28.1K0.2088.482,9645796,8147,330
2016-12-19$28.02$27.0025.3%7.2%33.2%0.8%26.6%4.0%3.3%21.2K-561.5K-29.6K1.1392.551,0391,1753,5833,022
2016-12-20$27.74$27.0025.6%7.4%33.0%1.2%26.4%2.9%1.2%-31.4K410.4K-33.4K0.73106.379777173,7383,817
2016-12-21$28.85$27.0025.6%7.3%35.9%1.2%28.1%4.0%1.7%45.5K-1.7M-33.9K0.74106.879937323,7683,854
2016-12-22$28.38$27.0025.6%7.4%36.4%1.2%26.6%1.1%2.2%36.1K-1.3M-34.2K0.77107.109847603,9823,844
2016-12-23$28.83$27.0024.9%7.2%36.7%0.4%25.7%0.5%3.7%62.9K-2.2M-34.0K0.5794.361,3447603,9983,880
2016-12-27$29.17$27.0025.7%7.4%36.8%1.3%22.5%3.8%3.0%151.4K-3.4M-33.9K0.5793.131,3517754,4053,930
2016-12-28$29.03$27.0026.2%7.5%36.6%1.8%19.7%3.2%1.8%145.0K-2.9M-33.9K0.38112.151,0003834,4153,938
2016-12-29$28.94$27.0025.9%7.4%31.1%1.6%20.0%2.1%2.0%134.6K-2.5M-33.6K0.40113.859893944,4223,938
2016-12-30$28.68$27.0025.9%7.4%31.2%1.6%21.1%3.6%2.0%111.3K-2.4M-32.7K0.40109.259863944,4283,959