CQP Options History — April 2017

In April 2017, CQP traded between $31.76 and $32.85. ATM implied volatility averaged 23.1%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded above realized volatility by 6.8% (HV 20d: 16.3%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 3.87.

Notable Days

  • 2017-04-19: Highest Volume — 5,573 contracts
  • 2017-04-12: Largest IV spike — 12.2% change
  • 2017-04-17: Highest IV Rank — 12.4%
  • 2017-04-17: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.21$31.76$32.85$31.92$31.82
Max Pain$31.16$31.00$32.00$32.00$31.00
ATM IV23.1%21.7%24.9%22.9%23.2%
Expected Move6.7%6.4%7.1%6.6%6.7%
HV 20d16.3%14.8%17.9%16.6%14.8%
HV 60d16.9%15.7%17.8%17.8%15.8%
IV Rank5.6%0.0%12.4%4.2%6.0%
IV Percentile6.0%0.0%13.9%3.2%8.3%
Term Structure-0.5%-2.2%1.1%1.1%-2.2%
VWIV24.3%21.3%26.4%24.8%24.9%
Skew 25d4.0%1.4%5.4%2.6%3.1%
Skew 10d9.9%-4.8%18.7%-3.2%12.0%
Call IV 25d21.9%20.0%23.7%23.0%23.1%
Put IV 25d25.9%24.2%28.5%25.6%26.2%
Bid-Ask Spread %93.7530.48121.4995.4987.48
Gamma HHI0.200.180.250.200.24
Net GEX-208.9K-379.1K-40.9K-233.1K-379.1K
Net DEX668.3K-2.2M3.0M559.8K3.0M
Net VEX-43.5K-50.7K-35.0K-41.3K-47.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.870.3311.501.286.20
Total Volume2,616.2639235,5731,5323,522
Total OI10,557.2639,65311,8729,65310,923

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-04-03$31.92$32.0022.9%6.6%16.6%4.2%24.8%2.6%1.1%-233.1K559.8K-41.3K1.2895.496718612,8806,773
2017-04-04$32.03$32.0023.1%6.6%16.6%4.8%23.4%1.6%0.3%-228.2K349.8K-40.9K1.2493.036958612,9056,798
2017-04-05$31.76$32.0023.1%6.6%15.7%4.9%25.8%1.4%0.5%-258.9K917.5K-40.9K0.85121.496465502,9346,798
2017-04-06$32.30$31.0021.7%6.4%16.7%0.0%21.3%4.0%-0.0%-198.5K-138.3K-39.9K0.4199.869023682,9516,898
2017-04-07$32.20$31.0022.1%6.6%16.7%1.5%21.7%4.6%-0.0%-169.3K-342.5K-40.3K0.3388.601,0153383,1726,889
2017-04-10$32.19$31.0022.1%6.7%16.4%1.7%22.2%5.4%-0.5%-152.0K-558.7K-39.4K0.4785.367543513,2446,897
2017-04-11$32.17$31.0022.0%6.9%16.1%1.3%25.2%4.0%-1.2%-146.9K-582.3K-38.6K0.6596.035593643,2556,890
2017-04-12$32.34$31.0024.7%7.1%16.1%11.7%26.0%3.7%-1.2%-110.9K-993.5K-38.3K0.6484.195663643,2576,910
2017-04-13$32.74$31.0023.2%6.6%16.1%5.8%25.8%3.6%-0.1%-58.8K-2.1M-36.0K0.5989.576133623,2706,910
2017-04-17$32.85$31.0024.9%7.1%15.8%12.4%26.4%4.8%-0.1%-40.9K-2.2M-35.0K0.5993.186133623,4106,906
2017-04-18$32.23$31.0024.7%7.1%17.6%11.6%25.6%5.0%-0.7%-223.9K1.5M-50.4K6.0498.047834,7323,4268,298
2017-04-19$32.00$31.0023.9%6.9%17.7%8.7%24.6%4.8%-0.2%-209.1K2.2M-50.7K5.72113.058294,7443,5278,318
2017-04-20$32.23$31.0023.8%6.8%17.8%8.4%24.9%5.2%-1.0%-174.7K1.6M-49.7K6.0799.897794,7253,5278,331
2017-04-21$31.95$31.0022.9%6.6%17.9%4.9%24.3%5.2%-0.0%-160.2K2.1M-48.3K7.92103.125964,7233,5408,332
2017-04-24$32.20$31.0022.7%6.5%15.5%4.0%22.4%5.1%-0.6%-287.4K2.1M-47.6K6.6230.483752,4842,9287,356
2017-04-25$32.55$31.0022.3%6.4%15.8%2.3%23.7%4.1%-0.5%-245.5K1.1M-45.7K10.5293.072762,9042,9657,386
2017-04-26$32.35$31.0022.9%6.6%15.2%4.9%25.5%5.1%-1.2%-334.7K2.0M-48.2K11.50114.742522,8993,0327,846
2017-04-27$32.11$31.0023.3%6.7%15.3%6.4%23.9%2.8%-1.7%-357.8K2.3M-47.6K5.7794.554832,7883,0557,851
2017-04-28$31.82$31.0023.2%6.7%14.8%6.0%24.9%3.1%-2.2%-379.1K3.0M-47.9K6.2087.484893,0332,8758,048