CQP Options History — January 2017

In January 2017, CQP traded between $28.08 and $30.82. ATM implied volatility averaged 26.6%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 1.1% (HV 20d: 25.5%). Max pain ranged from $27.00 to $30.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.08.

Notable Days

  • 2017-01-18: Highest Volume — 2,819 contracts
  • 2017-01-17: Largest IV spike — 5.1% change
  • 2017-01-17: Highest IV Rank — 6.5%
  • 2017-01-10: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.15$28.08$30.82$29.36$29.91
Max Pain$28.40$27.00$30.00$27.00$30.00
ATM IV26.6%25.1%28.3%26.8%26.0%
Expected Move7.7%7.2%8.2%7.7%7.5%
HV 20d25.5%17.9%32.4%32.3%21.8%
HV 60d26.4%26.1%26.8%26.5%26.5%
IV Rank3.1%0.8%6.5%2.6%2.4%
IV Percentile9.9%0.8%22.6%9.1%7.1%
Term Structure-0.0%-1.1%2.4%2.4%-0.7%
VWIV27.6%26.0%30.0%28.9%27.5%
Skew 25d3.7%1.7%5.8%2.8%1.7%
Skew 10d7.8%-0.7%22.1%10.4%8.0%
Call IV 25d25.4%21.9%27.4%26.3%25.5%
Put IV 25d29.1%26.8%31.2%29.1%27.2%
Bid-Ask Spread %109.9286.24123.63109.99104.03
Gamma HHI0.230.200.320.210.26
Net GEX42.1K-184.6K230.0K172.1K99.8K
Net DEX-1.8M-5.2M1.2M-3.6M-2.4M
Net VEX-31.2K-34.9K-26.8K-31.3K-32.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.363.780.391.22
Total Volume1,556.97782,8191,3811,100
Total OI9,050.658,3769,9568,3879,414

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$29.36$27.0026.8%7.7%32.3%2.6%28.9%2.8%2.4%172.1K-3.6M-31.3K0.39109.999913904,4283,959
2017-01-04$29.49$27.0027.1%7.8%32.3%2.9%29.1%3.3%2.1%180.1K-4.0M-31.1K0.40120.479793964,4704,018
2017-01-05$29.39$29.0026.7%8.2%32.3%2.5%27.7%4.8%-0.5%185.6K-4.3M-30.4K0.3686.241,0923964,4554,071
2017-01-06$29.10$29.0025.8%8.2%32.4%1.4%27.5%2.8%-0.1%160.0K-3.3M-30.9K0.3697.261,0593824,5644,071
2017-01-09$29.03$29.0026.5%8.1%31.8%2.2%26.4%4.1%0.1%180.3K-3.3M-29.3K0.36106.751,0503824,5614,079
2017-01-10$28.34$29.0027.2%8.2%31.3%3.1%27.5%4.1%-1.1%41.7K-1.0M-29.3K0.50105.871,0295104,5654,098
2017-01-11$28.40$29.0027.5%7.9%31.3%3.5%26.7%3.1%-0.3%-4.1K-800.4K-31.3K0.74112.481,0317604,5474,678
2017-01-12$28.08$28.0027.6%7.9%31.5%5.2%26.4%3.4%-0.9%-88.6K419.9K-30.2K1.21116.556417774,5574,678
2017-01-13$28.19$28.0026.9%7.7%23.2%4.1%26.0%3.1%0.5%-96.1K180.1K-29.1K0.97113.767997734,3804,680
2017-01-17$28.27$28.0028.3%8.1%23.1%6.5%27.5%2.0%-0.9%-129.7K-14.7K-27.6K0.94113.748117624,3664,684
2017-01-18$28.19$28.0028.0%8.0%22.7%6.0%27.9%2.6%-0.4%-184.6K221.7K-26.8K1.63118.891,0701,7494,3884,683
2017-01-19$28.30$28.0026.7%7.7%22.6%3.7%28.4%4.1%0.3%-181.5K1.1M-33.0K2.20123.638331,8354,2375,675
2017-01-20$28.39$28.0026.8%7.7%22.3%3.8%26.3%2.3%-0.2%-114.2K770.7K-32.3K1.81111.949441,7074,1855,771
2017-01-23$28.80$28.0026.5%7.6%17.9%3.4%26.4%5.7%-0.0%-126.0K1.2M-33.4K3.7897.883661,3843,1265,250
2017-01-24$29.69$28.0026.0%7.4%19.9%2.4%26.1%5.6%-0.2%-8.9K-1.2M-32.6K0.53111.258484493,2745,270
2017-01-25$30.25$28.0025.6%7.3%20.2%1.7%29.2%4.0%-0.8%158.1K-3.1M-34.9K0.78114.874383403,9575,341
2017-01-26$30.75$29.0025.1%7.2%20.5%0.8%28.7%5.8%0.1%193.5K-4.8M-32.3K0.66108.494823204,0115,351
2017-01-27$30.82$29.0025.4%7.3%20.3%1.4%30.0%5.1%-0.4%230.0K-5.2M-32.9K1.24117.314846024,2165,302
2017-01-30$30.30$29.0026.2%7.5%21.5%2.8%27.7%4.2%0.5%173.6K-3.7M-33.6K1.56106.984597184,2615,392
2017-01-31$29.91$30.0026.0%7.5%21.8%2.4%27.5%1.7%-0.7%99.8K-2.4M-32.5K1.22104.034966043,8305,584