CQP Options History — June 2017

In June 2017, CQP traded between $30.16 and $32.85. ATM implied volatility averaged 20.6%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 3.4% (HV 20d: 17.2%). Max pain ranged from $32.00 to $34.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 14.65.

Notable Days

  • 2017-06-14: Highest Volume — 6,477 contracts
  • 2017-06-12: Largest IV spike — 26.1% change
  • 2017-06-12: Highest IV Rank — 19.5%
  • 2017-06-22: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.56$30.16$32.85$32.05$32.33
Max Pain$32.64$32.00$34.00$32.00$32.00
ATM IV20.6%19.4%24.5%19.5%20.2%
Expected Move5.8%5.2%6.1%5.6%5.8%
HV 20d17.2%14.5%21.0%20.2%21.0%
HV 60d17.2%16.8%18.6%17.0%18.6%
IV Rank6.0%1.9%19.5%2.4%5.4%
IV Percentile6.0%0.8%25.4%0.8%5.6%
Term Structure1.0%-0.7%2.5%0.8%1.0%
VWIV20.1%18.5%21.2%19.6%19.6%
Skew 25d2.7%0.6%5.4%1.0%1.7%
Skew 10d8.6%0.3%15.7%5.1%8.6%
Call IV 25d18.6%17.0%20.3%19.7%18.6%
Put IV 25d21.4%20.2%22.6%20.7%20.2%
Bid-Ask Spread %32.8121.2881.3158.5829.27
Gamma HHI0.650.460.850.460.64
Net GEX-934.4K-1.6M-674.6K-674.6K-805.9K
Net DEX11.9M7.3M17.7M8.2M8.4M
Net VEX-72.4K-77.3K-66.9K-77.3K-71.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio14.651.4523.9117.241.49
Total Volume4,717.3187826,4774,834782
Total OI15,025.90911,00218,47217,05412,500

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$32.05$32.0019.5%5.6%20.2%2.4%19.6%1.0%0.8%-674.6K8.2M-77.3K17.2458.582654,5693,54613,508
2017-06-02$31.75$32.0019.7%5.7%17.2%3.0%19.6%1.9%1.0%-831.4K9.9M-77.2K12.8734.193734,8023,54913,612
2017-06-05$31.97$34.0020.2%5.8%17.3%4.8%20.7%2.6%0.3%-802.2K9.2M-75.5K12.8729.383744,8143,44713,858
2017-06-06$32.28$34.0021.2%5.8%17.4%8.1%20.7%2.3%1.0%-707.5K7.8M-74.5K18.7451.212654,9673,44513,878
2017-06-07$31.83$34.0021.6%5.6%18.1%9.5%20.1%2.5%1.2%-907.9K10.3M-75.4K15.6536.523064,7883,44614,020
2017-06-08$31.95$33.0019.8%5.7%17.7%3.3%20.3%3.1%0.9%-852.5K9.9M-75.2K15.6731.553094,8433,47114,183
2017-06-09$31.81$33.0019.4%5.5%17.8%1.9%19.6%2.3%1.1%-910.0K10.4M-74.4K15.3742.613154,8433,47514,237
2017-06-12$31.69$33.0024.5%5.7%15.1%19.5%20.0%2.6%0.7%-986.2K11.3M-72.4K14.9530.933134,6783,49014,237
2017-06-13$31.60$33.0020.2%5.2%14.5%4.5%19.1%2.3%2.5%-1.0M11.9M-71.2K13.9724.183294,5953,49214,246
2017-06-14$31.53$33.0019.6%5.6%14.5%2.5%20.7%3.3%0.8%-1.1M12.7M-70.1K19.8381.313116,1663,52514,261
2017-06-15$31.14$33.0020.1%5.8%14.5%4.3%19.5%2.8%1.1%-1.6M15.9M-72.8K18.0122.093045,4753,52514,947
2017-06-16$31.65$33.0020.4%5.8%15.8%5.3%20.5%2.7%-0.7%-863.0K12.6M-72.9K13.8427.083865,3423,53614,867
2017-06-19$31.10$33.0020.3%5.8%15.8%5.0%20.1%2.6%0.6%-925.5K13.7M-70.8K23.9121.281874,4711,4479,555
2017-06-20$30.63$32.0020.2%5.8%16.2%4.8%19.4%0.6%1.5%-914.1K15.4M-68.9K16.4222.862954,8441,4979,671
2017-06-21$30.16$32.0021.3%6.1%16.3%8.6%20.6%3.8%1.6%-977.2K17.7M-66.9K20.7132.822154,4531,67510,145
2017-06-22$30.42$32.0021.4%6.1%16.3%9.0%20.6%2.8%1.1%-1.0M16.8M-68.2K16.8225.692654,4571,67810,193
2017-06-23$30.94$32.0020.0%5.7%17.6%4.1%20.9%4.2%0.9%-1.0M15.1M-71.9K16.0025.462774,4331,72910,193
2017-06-26$31.10$32.0020.8%6.0%17.6%6.6%21.2%5.4%1.4%-1.0M14.4M-70.7K16.1925.142744,4351,74210,195
2017-06-27$31.47$32.0020.9%6.0%18.3%7.1%20.0%2.9%1.9%-984.0K12.5M-72.5K11.1424.293984,4351,83710,201
2017-06-28$32.02$32.0019.9%5.7%18.3%4.1%18.5%3.5%1.2%-913.2K10.3M-72.1K9.1521.854894,4731,95810,203
2017-06-29$32.85$32.0021.2%6.1%20.4%9.3%20.0%3.6%-0.4%-737.8K7.3M-70.3K1.4523.473545122,10610,244
2017-06-30$32.33$32.0020.2%5.8%21.0%5.4%19.6%1.7%1.0%-805.9K8.4M-71.8K1.4929.273144682,19710,303