CQP Options History — May 2017

In May 2017, CQP traded between $30.95 and $33.29. ATM implied volatility averaged 21.3%, placing in the 2.9% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 3.2% (HV 20d: 18.2%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 5.07.

Notable Days

  • 2017-05-31: Highest Volume — 5,200 contracts
  • 2017-05-25: Largest IV drop — 12.1% change
  • 2017-05-01: Highest IV Rank — 8.0%
  • 2017-05-01: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.05$30.95$33.29$32.03$32.14
Max Pain$31.27$31.00$32.00$32.00$32.00
ATM IV21.3%18.9%23.7%23.7%20.3%
Expected Move6.1%5.4%6.8%6.8%5.8%
HV 20d18.2%14.3%20.5%14.8%20.5%
HV 60d16.5%15.6%17.1%15.6%17.0%
IV Rank2.9%0.0%8.0%8.0%5.0%
IV Percentile3.0%0.0%10.7%10.7%2.0%
Term Structure-0.1%-2.4%1.1%-2.4%-0.5%
VWIV21.6%19.3%26.7%26.7%20.3%
Skew 25d3.6%2.0%7.6%7.6%2.8%
Skew 10d9.1%0.0%16.1%8.3%4.0%
Call IV 25d19.4%17.7%21.6%20.0%18.9%
Put IV 25d23.0%20.0%27.7%27.7%21.7%
Bid-Ask Spread %45.0916.33115.60115.6033.62
Gamma HHI0.290.240.440.250.44
Net GEX-381.1K-702.3K60.4K-351.3K-628.7K
Net DEX3.1M-2.5M7.7M2.3M7.7M
Net VEX-49.7K-77.0K-37.4K-45.8K-77.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.070.5616.936.6816.93
Total Volume2,598.3644615,2003,4875,200
Total OI12,580.45510,94516,72110,94516,721

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$32.03$32.0023.7%6.8%14.8%8.0%26.7%7.6%-2.4%-351.3K2.3M-45.8K6.68115.604543,0332,8958,050
2017-05-02$32.25$32.0023.5%6.8%14.3%7.3%25.5%7.2%-1.6%-304.9K1.9M-45.7K8.8981.323413,0332,9048,050
2017-05-03$31.96$32.0023.4%6.7%14.7%6.5%25.3%4.4%-1.8%-361.8K2.5M-44.9K9.11110.443323,0262,9118,050
2017-05-04$31.01$31.0023.4%6.7%18.0%6.7%23.4%4.0%-0.0%-546.5K5.6M-46.1K4.5054.716703,0162,9198,071
2017-05-05$31.16$31.0021.3%6.2%16.8%0.0%22.6%3.4%0.2%-508.4K4.7M-46.2K3.6882.746922,5453,2358,083
2017-05-08$31.41$31.0023.1%6.2%17.2%6.8%22.4%4.0%-0.1%-552.2K5.4M-51.6K3.0836.067352,2623,2758,986
2017-05-09$31.26$31.0021.3%6.2%17.2%0.0%22.7%3.6%-0.1%-615.4K5.9M-51.2K3.0526.067422,2623,3249,020
2017-05-10$30.95$31.0022.2%6.4%17.5%3.5%22.1%3.2%0.3%-702.3K7.5M-50.0K1.5349.768411,2883,3139,020
2017-05-11$31.05$31.0021.9%6.3%17.4%2.1%23.0%3.3%1.0%-682.6K6.9M-50.7K2.3942.645261,2583,3899,027
2017-05-12$31.89$31.0020.5%5.9%19.6%0.0%20.3%3.0%0.7%-414.7K3.0M-48.7K3.0724.224111,2603,4729,031
2017-05-15$32.26$31.0020.8%6.0%20.0%1.0%19.6%3.0%1.1%-227.8K1.4M-45.3K2.9435.324281,2603,4069,026
2017-05-16$32.24$31.0021.1%6.1%18.9%2.2%20.0%3.0%0.1%-215.8K1.4M-45.0K4.3536.072911,2653,4129,030
2017-05-17$31.87$31.0021.5%6.2%19.1%3.5%19.8%2.4%0.8%-390.6K3.1M-45.9K2.7456.734561,2513,4289,015
2017-05-18$31.89$31.0020.8%6.0%18.9%1.1%19.6%3.6%0.4%-379.9K3.2M-45.5K0.5623.884552553,5289,010
2017-05-19$32.37$31.0020.9%6.0%19.4%1.2%20.3%3.7%0.6%-281.3K1.1M-44.0K0.7723.454333343,5309,025
2017-05-22$32.56$31.0020.0%5.7%19.4%0.0%20.2%2.7%-0.5%-197.3K556.0K-41.0K1.1323.382162453,0658,544
2017-05-23$32.78$31.0019.9%5.7%19.1%0.0%21.9%4.8%-0.3%-141.0K-362.0K-40.5K1.2220.722573133,1918,572
2017-05-24$33.08$31.0021.5%6.2%19.2%5.7%20.8%2.1%-1.4%-74.0K-1.3M-38.2K0.9253.903433163,2628,625
2017-05-25$33.29$31.0018.9%5.4%19.0%0.0%19.3%2.4%0.6%60.4K-2.5M-37.4K11.1016.334284,7493,3798,684
2017-05-26$32.89$32.0019.3%5.5%19.3%1.7%19.4%2.0%-0.4%-404.7K4.1M-77.0K11.2922.584054,5713,47713,152
2017-05-30$32.78$32.0019.5%5.6%19.3%2.4%20.0%2.4%0.4%-463.4K4.9M-75.9K11.5722.503954,5713,49113,172
2017-05-31$32.14$32.0020.3%5.8%20.5%5.0%20.3%2.8%-0.5%-628.7K7.7M-77.0K16.9333.622904,9103,54913,172