CQP Options History — August 2017

In August 2017, CQP traded between $27.05 and $29.45. ATM implied volatility averaged 22.5%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 5.3% (HV 20d: 17.1%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 2.83.

Notable Days

  • 2017-08-24: Highest Volume — 2,441 contracts
  • 2017-08-15: Largest IV spike — 11.9% change
  • 2017-08-07: Highest IV Rank — 28.2%
  • 2017-08-01: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.23$27.05$29.45$29.45$27.66
Max Pain$30.96$30.00$32.00$30.00$31.00
ATM IV22.5%20.3%25.9%25.6%20.3%
Expected Move6.3%5.8%7.3%7.3%5.8%
HV 20d17.1%15.1%19.2%18.9%17.8%
HV 60d18.9%18.5%19.2%19.2%18.9%
IV Rank14.6%5.9%28.2%27.2%5.9%
IV Percentile24.1%7.5%52.0%46.8%7.5%
Term Structure-0.1%-2.2%1.6%-2.2%1.2%
VWIV22.6%16.6%26.5%22.7%16.6%
Skew 25d3.2%1.0%7.0%3.6%7.0%
Skew 10d5.9%-2.3%15.2%4.9%15.1%
Call IV 25d20.3%15.1%22.8%22.8%15.1%
Put IV 25d23.4%20.7%26.4%26.4%22.0%
Bid-Ask Spread %21.5313.6536.9722.4932.20
Gamma HHI0.460.230.710.710.25
Net GEX-662.1K-962.7K-480.5K-887.6K-504.9K
Net DEX20.7M17.0M23.9M18.3M19.0M
Net VEX-31.1K-49.0K-17.4K-49.0K-19.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.831.284.931.281.57
Total Volume1,697.6961,1662,4411,6161,737
Total OI12,494.91310,68113,93212,67611,046

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$29.45$30.0025.6%7.3%18.9%27.2%22.7%3.6%-2.2%-887.6K18.3M-49.0K1.2822.497099072,40810,268
2017-08-02$29.40$30.0023.5%6.7%18.7%18.9%22.7%3.6%-1.4%-919.9K19.0M-48.3K1.5525.247321,1362,39810,271
2017-08-03$29.38$32.0023.3%6.4%17.2%18.0%23.4%3.5%-1.2%-962.7K19.4M-47.9K3.8623.452409262,43210,551
2017-08-04$29.10$31.0024.6%6.5%16.5%23.2%23.1%3.5%-1.6%-923.2K19.9M-44.5K3.5221.732639252,47810,516
2017-08-07$28.76$31.0025.9%6.2%16.4%28.2%21.3%5.5%0.1%-861.3K21.6M-37.6K1.7326.755951,0322,46510,513
2017-08-08$27.98$31.0023.5%6.3%17.9%18.9%22.2%3.5%-0.4%-630.8K23.2M-31.0K1.6421.625989822,80110,619
2017-08-09$28.44$31.0022.7%6.5%19.1%15.4%24.6%2.8%-0.1%-760.7K22.2M-34.9K2.2317.034409822,79910,558
2017-08-10$28.34$31.0023.3%6.7%19.1%17.8%25.4%3.5%-0.2%-726.4K22.5M-34.1K2.2422.584399822,84410,558
2017-08-11$28.34$31.0022.3%6.4%19.2%13.9%24.2%2.3%1.6%-721.3K22.7M-33.4K2.7720.434271,1842,85410,558
2017-08-14$28.54$31.0020.8%5.9%18.9%7.6%22.0%2.3%1.0%-833.8K22.4M-33.4K2.7617.225061,3992,86110,759
2017-08-15$28.11$31.0023.2%6.7%17.8%17.6%23.3%2.3%-1.3%-675.5K23.9M-30.0K2.9717.994531,3472,86511,067
2017-08-16$28.06$31.0021.7%6.2%17.8%11.5%21.9%4.2%-0.2%-590.2K23.2M-28.2K2.2817.885351,2202,88610,579
2017-08-17$28.06$31.0022.1%6.3%17.8%12.9%21.8%1.0%0.3%-582.0K22.8M-29.2K2.4419.545351,3042,98510,578
2017-08-18$28.05$31.0021.7%6.2%15.3%11.5%22.1%5.1%-0.2%-562.6K22.2M-28.2K2.7815.615121,4242,98510,378
2017-08-21$27.86$31.0021.8%6.2%15.1%11.7%22.5%2.6%-0.7%-546.9K21.7M-25.9K2.9113.654451,2952,10510,130
2017-08-22$28.22$31.0021.8%6.3%16.1%12.0%22.6%2.6%-0.3%-561.8K21.2M-27.3K3.9417.513301,3012,15310,096
2017-08-23$28.04$31.0021.8%6.3%15.8%11.9%22.8%2.7%0.3%-480.5K17.0M-25.8K3.7817.053441,3012,1758,516
2017-08-24$28.05$31.0021.3%6.1%15.8%10.0%22.2%1.3%0.8%-488.6K17.1M-24.5K4.5118.484431,9982,1658,516
2017-08-25$27.72$31.0020.7%5.9%15.3%7.5%21.9%2.9%0.4%-511.9K18.8M-24.3K4.9319.543421,6862,1029,058
2017-08-28$27.52$31.0021.7%6.2%15.3%11.3%22.9%2.3%-0.1%-504.7K19.0M-21.6K4.1128.813321,3642,1049,036
2017-08-29$27.05$31.0021.9%6.3%16.0%12.4%21.5%2.4%0.5%-490.7K19.8M-17.4K3.6921.503461,2762,1119,039
2017-08-30$27.25$31.0021.5%6.2%16.5%10.7%26.5%2.6%0.6%-501.1K19.4M-20.2K1.4936.977111,0622,1519,046
2017-08-31$27.66$31.0020.3%5.8%17.8%5.9%16.6%7.0%1.2%-504.9K19.0M-19.6K1.5732.206751,0622,0009,046