CQP Options History — March 2017

In March 2017, CQP traded between $30.88 and $33.06. ATM implied volatility averaged 24.1%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 8.8% (HV 20d: 15.2%). Max pain ranged from $29.00 to $32.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 7.70.

Notable Days

  • 2017-03-01: Highest Volume — 5,247 contracts
  • 2017-03-13: Largest IV spike — 18.5% change
  • 2017-03-14: Highest IV Rank — 25.6%
  • 2017-03-15: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.76$30.88$33.06$33.06$32.30
Max Pain$31.30$29.00$32.00$29.00$32.00
ATM IV24.1%21.8%29.8%24.0%22.4%
Expected Move6.7%6.2%7.1%6.9%6.4%
HV 20d15.2%12.6%17.3%13.8%16.8%
HV 60d20.3%17.2%23.8%23.3%17.6%
IV Rank5.3%0.0%25.6%2.2%2.4%
IV Percentile6.9%0.0%48.4%0.8%1.6%
Term Structure1.1%-0.8%3.1%-0.1%2.4%
VWIV25.9%21.8%32.8%30.9%21.8%
Skew 25d3.0%0.9%4.8%2.0%2.3%
Skew 10d8.5%-2.8%18.1%5.6%8.7%
Call IV 25d22.5%20.9%25.1%24.3%21.0%
Put IV 25d25.5%23.0%27.7%26.3%23.3%
Bid-Ask Spread %99.7184.45121.86106.5497.31
Gamma HHI0.240.160.520.160.18
Net GEX-51.4K-449.1K624.8K83.9K-199.1K
Net DEX-1.7M-8.2M4.3M-8.2M157.7K
Net VEX-43.1K-45.4K-40.0K-40.0K-42.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.701.1115.4513.341.38
Total Volume3,168.3041,4675,2475,2471,562
Total OI12,083.5658,26514,64413,5149,672

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$33.06$29.0024.0%6.9%13.8%2.2%30.9%2.0%-0.1%83.9K-8.2M-40.0K13.34106.543664,8814,8468,668
2017-03-02$32.62$29.0023.4%6.7%15.2%0.0%26.2%1.7%-0.8%106.4K-7.1M-41.3K15.4598.923174,8984,8468,670
2017-03-03$32.34$29.0023.8%6.8%15.5%1.5%28.1%1.9%0.5%66.6K-5.9M-43.8K11.26106.874274,8084,8529,162
2017-03-06$31.90$32.0025.3%7.0%16.6%7.7%27.4%3.2%1.0%77.8K-4.6M-44.8K11.1486.303543,9454,9129,167
2017-03-07$31.97$32.0024.8%6.7%16.5%5.6%27.0%3.4%1.0%69.3K-4.5M-45.4K11.4886.783423,9264,9289,297
2017-03-08$31.44$32.0026.9%7.0%17.3%13.8%27.0%4.0%0.6%95.8K-3.3M-45.0K14.1194.222783,9234,9259,298
2017-03-09$31.61$32.0025.4%6.8%17.2%7.9%26.9%4.8%0.4%92.5K-3.7M-45.1K11.89100.413494,1504,9519,298
2017-03-10$31.76$32.0024.2%6.7%14.3%3.2%26.4%4.2%1.0%28.9K-4.0M-44.5K14.4198.222884,1504,9409,662
2017-03-13$31.53$32.0028.7%6.8%14.0%20.9%28.0%2.8%1.0%27.6K-3.6M-43.2K14.3193.142904,1504,9459,662
2017-03-14$31.26$32.0029.8%7.1%14.3%25.6%26.2%2.8%-0.4%74.8K-2.9M-42.8K11.9197.702823,3604,9609,662
2017-03-15$31.36$32.0024.8%7.1%14.0%5.4%32.8%3.8%0.6%56.5K-3.3M-42.5K11.43118.242943,3604,9589,677
2017-03-16$31.09$32.0022.4%6.4%14.1%0.0%26.3%2.5%2.1%244.6K-2.1M-41.6K11.10104.273043,3734,9469,681
2017-03-17$30.93$32.0022.4%6.4%14.2%0.1%24.2%2.8%1.4%624.8K-553.8K-41.4K12.28111.073013,6954,9439,701
2017-03-20$31.04$32.0022.5%6.4%13.6%0.4%24.0%3.5%2.2%-449.1K4.3M-41.4K1.5398.047651,1731,6176,648
2017-03-21$30.88$31.0022.5%6.5%12.6%0.5%22.6%3.9%1.6%-387.7K4.0M-45.0K1.2084.457098492,2516,662
2017-03-22$30.98$31.0022.6%6.5%12.8%0.6%23.7%4.2%2.0%-385.4K3.4M-44.1K1.4191.526088592,3216,692
2017-03-23$31.30$31.0023.2%6.7%13.6%3.2%26.9%0.9%2.5%-339.5K2.5M-43.9K1.11115.587828672,3546,707
2017-03-24$32.14$31.0021.8%6.2%16.8%0.0%25.4%3.2%3.1%-240.5K486.9K-43.1K1.3894.486308672,5646,716
2017-03-27$31.95$31.0023.6%6.8%16.9%6.7%25.2%3.9%1.0%-238.9K841.9K-43.7K1.1491.677578662,7626,716
2017-03-28$32.40$31.0023.9%6.8%16.7%7.8%22.0%2.8%1.0%-200.4K-115.7K-42.3K1.1599.227558662,8276,716
2017-03-29$32.54$31.0022.0%6.3%16.7%0.8%22.5%2.9%0.5%-173.8K-578.5K-41.5K1.26121.866958792,8296,716
2017-03-30$32.08$32.0023.1%6.6%16.8%4.8%23.8%1.7%2.0%-218.1K191.0K-42.3K1.3696.556669052,8636,732
2017-03-31$32.30$32.0022.4%6.4%16.8%2.4%21.8%2.3%2.4%-199.1K157.7K-42.4K1.3897.316569062,8906,782