CQP Options History — July 2017

In July 2017, CQP traded between $29.42 and $32.14. ATM implied volatility averaged 22.6%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 0.5% (HV 20d: 22.1%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.78.

Notable Days

2017-07-28: Highest Volume — 1,799 contracts
2017-07-18: Largest IV spike — 8.4% change
2017-07-31: Highest IV Rank — 29.5%
2017-07-31: Largest Expected Move — 7.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.92	$29.42	$32.14	$32.14	$29.42
Max Pain	$30.20	$30.00	$32.00	$32.00	$30.00
ATM IV	22.6%	21.1%	26.2%	21.4%	26.2%
Expected Move	6.5%	6.0%	7.5%	6.1%	7.5%
HV 20d	22.1%	18.8%	23.5%	21.0%	18.8%
HV 60d	19.3%	18.3%	20.1%	18.3%	19.2%
IV Rank	15.0%	9.0%	29.5%	10.4%	29.5%
IV Percentile	23.1%	10.3%	54.4%	12.7%	54.4%
Term Structure	-1.1%	-2.6%	0.5%	-0.3%	-2.6%
VWIV	24.1%	20.8%	33.5%	20.8%	21.5%
Skew 25d	4.1%	1.9%	5.8%	1.9%	4.7%
Skew 10d	10.1%	3.4%	30.6%	3.4%	13.1%
Call IV 25d	20.7%	19.6%	22.1%	20.5%	22.1%
Put IV 25d	24.7%	22.4%	26.8%	22.4%	26.8%
Bid-Ask Spread %	36.26	20.90	107.76	42.29	22.13
Gamma HHI	0.68	0.49	0.77	0.65	0.72
Net GEX	-1.0M	-1.4M	-821.4K	-865.0K	-862.7K
Net DEX	14.6M	9.6M	19.7M	9.6M	18.6M
Net VEX	-61.6K	-71.3K	-48.8K	-71.3K	-48.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.78	0.88	3.72	1.61	1.20
Total Volume	965.25	765	1,799	765	1,583
Total OI	12,386.5	11,179	13,077	12,535	12,327

Daily Data (20 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
2017-07-03	$32.14	$32.00	21.4%	6.1%	21.0%	10.4%	20.8%	1.9%	-0.3%	-865.0K	9.6M	-71.3K	1.61	42.29	293	472	2,224	10,311
2017-07-05	$31.80	$32.00	21.4%	6.1%	21.0%	10.1%	33.5%	3.0%	-0.5%	-945.0K	11.1M	-70.3K	1.65	107.76	291	480	2,223	10,321
2017-07-06	$31.04	$30.00	22.8%	6.8%	22.1%	15.9%	25.3%	4.2%	-1.8%	-1.0M	13.9M	-69.3K	1.29	47.96	351	454	2,227	10,321
2017-07-07	$31.39	$30.00	22.2%	6.3%	22.5%	13.4%	24.5%	4.4%	-0.7%	-1.0M	13.0M	-69.1K	1.24	26.62	374	463	2,275	10,323
2017-07-10	$31.54	$30.00	21.6%	6.3%	22.6%	10.9%	25.3%	4.5%	-1.0%	-1.0M	12.2M	-67.8K	1.41	28.86	323	454	2,275	10,339
2017-07-11	$31.68	$30.00	21.1%	6.0%	22.6%	9.0%	24.5%	4.3%	-0.2%	-1.0M	11.4M	-67.3K	1.39	28.62	323	450	2,271	10,340
2017-07-12	$31.90	$30.00	21.4%	6.1%	22.7%	10.2%	24.9%	3.5%	-0.6%	-915.3K	10.1M	-66.8K	1.45	35.35	322	467	2,290	10,256
2017-07-13	$31.81	$30.00	21.2%	6.1%	22.7%	9.4%	25.6%	4.6%	-1.1%	-964.6K	10.3M	-66.1K	1.44	33.46	322	465	2,327	10,276
2017-07-14	$31.71	$30.00	21.1%	6.1%	22.2%	9.2%	23.9%	3.7%	-0.4%	-1.0M	11.2M	-66.2K	1.76	26.36	322	566	2,327	10,374
2017-07-17	$31.10	$30.00	21.9%	6.3%	22.6%	12.4%	22.4%	2.4%	-1.4%	-1.3M	13.8M	-63.2K	2.23	28.63	301	672	2,327	10,383
2017-07-18	$30.33	$30.00	23.8%	6.8%	23.5%	19.9%	24.3%	4.9%	-2.1%	-1.4M	18.4M	-58.1K	2.18	27.30	290	633	2,315	10,600
2017-07-19	$30.33	$30.00	23.1%	6.6%	22.9%	17.2%	22.9%	4.4%	-1.4%	-1.4M	18.8M	-58.3K	1.97	32.75	299	590	2,355	10,696
2017-07-20	$30.20	$30.00	23.2%	6.6%	22.2%	17.3%	23.2%	4.3%	-1.5%	-1.4M	19.7M	-56.1K	2.21	26.57	274	606	2,363	10,714
2017-07-21	$30.85	$30.00	21.9%	6.3%	23.3%	12.4%	23.4%	4.2%	-1.0%	-987.0K	16.5M	-60.2K	2.36	25.10	272	642	2,364	10,548
2017-07-24	$30.91	$30.00	22.9%	6.6%	22.5%	16.2%	24.9%	4.3%	-0.8%	-978.8K	14.6M	-58.9K	3.26	23.21	190	619	1,811	9,368
2017-07-25	$30.55	$30.00	22.3%	6.4%	22.8%	13.8%	26.2%	5.8%	0.5%	-964.2K	15.7M	-56.9K	3.72	34.95	162	603	1,874	9,397
2017-07-26	$30.14	$30.00	23.5%	6.7%	22.7%	18.8%	21.9%	3.0%	-1.1%	-942.4K	17.2M	-53.1K	0.91	81.55	681	620	1,882	9,399
2017-07-27	$30.00	$30.00	23.8%	6.8%	21.5%	19.9%	21.7%	4.3%	-1.5%	-837.5K	17.5M	-53.5K	0.88	20.90	681	596	2,408	9,429
2017-07-28	$29.48	$30.00	25.0%	7.2%	19.1%	24.7%	20.8%	4.9%	-2.0%	-821.4K	18.0M	-51.3K	1.46	24.72	732	1,067	2,408	9,462
2017-07-31	$29.42	$30.00	26.2%	7.5%	18.8%	29.5%	21.5%	4.7%	-2.6%	-862.7K	18.6M	-48.8K	1.20	22.13	719	864	2,366	9,961