CQP Options History — February 2017

In February 2017, CQP traded between $29.91 and $32.99. ATM implied volatility averaged 25.5%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 6.6% (HV 20d: 18.9%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 8.36.

Notable Days

2017-02-21: Highest Volume — 5,522 contracts
2017-02-28: Largest IV drop — 13.2% change
2017-02-27: Highest IV Rank — 15.6%
2017-02-27: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.59	$29.91	$32.99	$29.91	$32.99
Max Pain	$29.05	$29.00	$30.00	$30.00	$29.00
ATM IV	25.5%	23.4%	27.3%	26.9%	23.7%
Expected Move	7.2%	6.7%	7.8%	7.7%	6.8%
HV 20d	18.9%	15.2%	20.7%	20.3%	15.2%
HV 60d	25.9%	23.4%	26.5%	26.4%	23.4%
IV Rank	3.9%	0.0%	15.6%	4.1%	1.4%
IV Percentile	7.0%	0.0%	26.6%	15.1%	0.4%
Term Structure	-0.0%	-1.8%	1.6%	-0.8%	-0.4%
VWIV	27.8%	24.3%	33.9%	32.1%	28.5%
Skew 25d	4.0%	2.2%	5.4%	4.8%	2.2%
Skew 10d	12.8%	4.8%	22.0%	18.9%	14.2%
Call IV 25d	24.1%	22.0%	26.8%	24.6%	24.4%
Put IV 25d	28.0%	26.6%	29.5%	29.4%	26.6%
Bid-Ask Spread %	101.30	88.59	125.03	125.03	98.57
Gamma HHI	0.21	0.16	0.28	0.26	0.17
Net GEX	121.0K	66.4K	163.0K	125.7K	134.1K
Net DEX	-5.5M	-8.6M	-610.3K	-2.6M	-8.6M
Net VEX	-41.0K	-46.2K	-32.2K	-32.3K	-37.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	8.36	1.33	15.67	1.33	12.61
Total Volume	3,766.842	1,073	5,522	1,073	4,995
Total OI	12,606.053	9,515	14,812	9,515	13,218

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2017-02-01	$29.91	$30.00	26.9%	7.7%	20.3%	4.1%	32.1%	4.8%	-0.8%	125.7K	-2.6M	-32.3K	1.33	125.03	461	612	3,914	5,601
2017-02-02	$30.31	$29.00	26.2%	7.3%	20.7%	2.7%	25.2%	4.7%	-1.0%	157.2K	-3.6M	-32.2K	2.82	101.50	419	1,181	3,941	5,799
2017-02-03	$30.48	$29.00	24.8%	7.3%	20.7%	0.2%	25.0%	3.8%	-0.3%	132.3K	-3.2M	-39.2K	3.51	107.10	447	1,570	4,013	6,994
2017-02-06	$30.46	$29.00	27.3%	7.3%	20.2%	4.7%	25.5%	4.2%	0.4%	70.0K	-2.0M	-44.8K	4.19	93.11	374	1,567	4,108	7,994
2017-02-07	$30.15	$29.00	26.7%	7.0%	20.7%	3.8%	25.1%	4.4%	1.6%	68.4K	-610.3K	-46.2K	4.39	99.00	356	1,563	4,119	7,994
2017-02-08	$30.41	$29.00	25.9%	7.4%	18.4%	2.8%	26.3%	5.0%	-0.4%	85.6K	-1.8M	-45.5K	4.75	105.79	329	1,563	4,109	7,994
2017-02-09	$31.27	$29.00	24.6%	7.0%	20.3%	0.0%	24.3%	5.4%	1.0%	144.1K	-4.7M	-40.6K	1.75	99.96	827	1,449	4,153	7,994
2017-02-10	$31.63	$29.00	24.4%	7.0%	19.5%	0.0%	30.3%	3.0%	0.5%	163.0K	-7.2M	-39.9K	7.03	88.59	530	3,725	4,723	7,995
2017-02-13	$31.65	$29.00	25.3%	7.2%	19.5%	1.9%	26.4%	4.3%	1.0%	124.3K	-6.4M	-42.0K	8.44	108.03	560	4,729	4,982	9,830
2017-02-14	$31.90	$29.00	25.2%	7.2%	19.5%	1.8%	27.0%	2.9%	-0.1%	152.4K	-7.4M	-44.3K	12.93	89.07	366	4,731	5,012	8,912
2017-02-15	$32.04	$29.00	24.9%	7.1%	19.3%	1.2%	27.8%	3.9%	0.3%	139.0K	-7.4M	-43.6K	12.37	108.00	382	4,724	5,017	8,916
2017-02-16	$31.95	$29.00	24.6%	7.1%	19.5%	0.6%	27.3%	3.5%	0.6%	130.1K	-7.6M	-43.6K	13.30	91.16	370	4,920	5,030	8,923
2017-02-17	$32.28	$29.00	23.4%	6.7%	19.5%	0.0%	27.9%	4.1%	1.3%	66.4K	-8.4M	-43.5K	15.67	90.34	314	4,920	5,081	9,027
2017-02-21	$32.67	$29.00	25.5%	7.3%	19.4%	6.8%	26.4%	4.0%	0.4%	102.3K	-6.6M	-39.5K	6.40	95.00	746	4,776	4,199	8,069
2017-02-22	$32.68	$29.00	25.8%	7.4%	17.3%	7.7%	26.3%	4.9%	-1.3%	139.9K	-7.2M	-39.4K	15.10	107.14	308	4,651	4,612	8,205
2017-02-23	$32.60	$29.00	25.2%	7.2%	16.7%	5.7%	33.9%	4.1%	-0.3%	116.3K	-6.5M	-42.0K	11.48	104.55	401	4,605	4,692	8,209
2017-02-24	$32.40	$29.00	26.5%	7.6%	16.3%	12.2%	30.6%	3.2%	-0.7%	119.1K	-6.5M	-41.6K	9.59	106.38	387	3,710	4,744	8,322
2017-02-27	$32.47	$29.00	27.3%	7.8%	16.3%	15.6%	31.4%	2.7%	-1.8%	128.1K	-6.6M	-40.5K	11.16	106.42	329	3,673	4,744	8,326
2017-02-28	$32.99	$29.00	23.7%	6.8%	15.2%	1.4%	28.5%	2.2%	-0.4%	134.1K	-8.6M	-37.6K	12.61	98.57	367	4,628	4,855	8,363