CQP Options History — September 2017

In September 2017, CQP traded between $26.82 and $28.68. ATM implied volatility averaged 21.2%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 2.9% (HV 20d: 18.4%). Max pain ranged from $27.00 to $31.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.92.

Notable Days

  • 2017-09-06: Highest Volume — 2,275 contracts
  • 2017-09-13: Largest IV drop — 15.5% change
  • 2017-09-12: Highest IV Rank — 28.8%
  • 2017-09-05: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.57$26.82$28.68$27.88$28.68
Max Pain$27.45$27.00$31.00$31.00$27.00
ATM IV21.2%19.4%26.0%21.1%19.4%
Expected Move6.0%5.6%6.5%6.0%5.6%
HV 20d18.4%15.4%25.8%18.0%25.8%
HV 60d19.1%17.9%20.6%18.9%20.6%
IV Rank11.2%3.1%28.8%8.9%3.1%
IV Percentile17.3%0.8%63.9%11.5%0.8%
Term Structure0.4%-1.1%2.4%0.6%0.5%
VWIV21.1%16.8%23.8%16.8%20.0%
Skew 25d3.5%2.1%4.9%2.1%3.2%
Skew 10d7.2%-5.7%13.9%9.6%11.3%
Call IV 25d19.5%18.0%21.1%19.3%18.3%
Put IV 25d23.0%21.4%24.2%21.4%21.5%
Bid-Ask Spread %22.7511.0742.2434.7136.00
Gamma HHI0.430.230.600.270.60
Net GEX-380.4K-603.5K-168.9K-516.8K-365.3K
Net DEX15.7M10.7M21.1M18.8M10.7M
Net VEX-18.5K-24.4K-12.3K-21.3K-24.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.920.723.211.720.90
Total Volume1,543.755952,2751,835697
Total OI9,081.456,47111,77811,0466,913

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$27.88$31.0021.1%6.0%18.0%8.9%16.8%2.1%0.6%-516.8K18.8M-21.3K1.7234.716751,1602,0009,046
2017-09-05$27.65$28.0022.5%6.5%17.8%14.8%23.8%3.3%-0.2%-542.6K18.9M-21.1K1.7624.206581,1602,0009,146
2017-09-06$28.03$28.0019.9%6.2%15.9%4.1%22.3%3.5%-0.5%-526.1K18.4M-21.6K2.0021.117591,5162,0059,146
2017-09-07$27.63$28.0021.8%6.2%15.4%11.8%22.7%3.2%-0.1%-595.9K19.4M-21.3K1.9420.387591,4742,1089,450
2017-09-08$27.33$28.0022.3%6.4%15.8%13.7%22.1%4.2%0.1%-591.9K20.1M-17.7K1.7623.007781,3702,1089,451
2017-09-11$26.94$28.0023.1%6.1%16.4%17.3%21.1%4.9%0.3%-563.8K20.7M-14.8K1.7142.248081,3792,1109,450
2017-09-12$26.82$27.0026.0%6.4%16.0%28.8%22.1%3.5%-0.4%-590.4K21.1M-12.3K1.4024.709021,2672,1579,459
2017-09-13$27.15$27.0022.0%6.3%16.2%12.5%21.8%2.6%-1.1%-508.8K20.0M-16.8K1.3920.469161,2752,3489,387
2017-09-14$27.83$27.0020.6%5.9%18.7%10.0%21.9%3.6%-0.1%-603.5K18.6M-21.9K2.1922.015871,2832,3699,362
2017-09-15$27.56$27.0020.1%5.8%19.0%6.9%20.4%3.3%0.9%-234.3K19.4M-17.8K3.2124.573971,2752,4259,353
2017-09-18$27.59$27.0020.0%5.7%19.0%6.4%20.8%4.3%0.8%-243.9K11.9M-18.2K2.4924.673999921,0795,392
2017-09-19$27.70$27.0020.5%5.9%19.0%9.4%21.8%3.0%0.1%-246.9K11.9M-18.3K2.6516.123759921,1465,396
2017-09-20$27.55$27.0020.2%5.8%18.4%7.3%21.0%3.0%0.9%-224.9K12.0M-17.3K3.0715.653271,0041,2085,396
2017-09-21$27.44$27.0021.0%6.0%18.3%12.0%20.1%4.7%0.8%-202.4K12.1M-17.5K2.7718.063289091,2205,393
2017-09-22$27.04$27.0020.5%5.9%18.9%9.0%20.6%3.0%1.0%-168.9K12.3M-15.0K2.6411.073489181,2295,398
2017-09-25$27.34$27.0021.6%6.2%19.1%15.5%21.1%3.5%0.8%-193.1K12.0M-16.2K2.3119.063979191,2495,405
2017-09-26$27.90$27.0021.4%6.1%20.3%14.1%21.0%4.4%-1.0%-248.3K11.7M-19.5K0.7218.563452501,3005,425
2017-09-27$27.90$27.0019.6%5.6%19.2%4.0%20.0%4.0%1.1%-254.9K11.5M-20.3K0.7318.083482551,3415,439
2017-09-28$27.37$27.0021.5%6.2%20.4%14.8%21.0%2.3%2.4%-185.3K12.1M-16.5K0.9920.353393351,3535,467
2017-09-29$28.68$27.0019.4%5.6%25.8%3.1%20.0%3.2%0.5%-365.3K10.7M-24.4K0.9036.003673301,3575,556