CQP Options History — October 2017

In October 2017, CQP traded between $27.45 and $29.15. ATM implied volatility averaged 21.9%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 0.7% (HV 20d: 22.6%). Max pain ranged from $27.00 to $28.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2017-10-30: Highest Volume — 875 contracts
  • 2017-10-09: Largest IV spike — 12.8% change
  • 2017-10-25: Highest IV Rank — 32.7%
  • 2017-10-25: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.32$27.45$29.15$28.38$27.91
Max Pain$27.36$27.00$28.00$27.00$28.00
ATM IV21.9%19.4%24.7%22.2%23.6%
Expected Move6.3%5.6%7.1%6.4%6.8%
HV 20d22.6%13.8%26.1%26.1%13.8%
HV 60d20.0%19.5%20.7%20.5%19.7%
IV Rank17.1%3.2%32.7%18.6%26.7%
IV Percentile30.6%1.6%61.9%32.1%56.3%
Term Structure-1.0%-2.9%1.0%-0.3%-1.7%
VWIV23.2%18.8%25.4%19.0%25.4%
Skew 25d4.6%1.3%8.0%3.5%4.6%
Skew 10d8.6%-1.3%18.1%-0.6%3.1%
Call IV 25d20.0%14.2%23.1%20.0%23.0%
Put IV 25d24.6%21.6%28.0%23.4%27.6%
Bid-Ask Spread %49.3116.4587.5819.2623.35
Gamma HHI0.480.310.570.560.39
Net GEX-246.6K-328.0K-64.0K-296.5K-223.0K
Net DEX11.5M9.8M13.1M11.1M12.6M
Net VEX-19.7K-24.4K-11.2K-23.6K-15.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.430.980.800.47
Total Volume722.364586875602672
Total OI7,341.2277,0577,7187,0577,718

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$28.38$27.0022.2%6.4%26.1%18.6%19.0%3.5%-0.3%-296.5K11.1M-23.6K0.8019.263352671,4965,561
2017-10-03$28.66$27.0019.4%5.6%26.0%3.2%18.8%8.0%0.2%-328.0K10.8M-23.9K0.8716.503703231,5365,559
2017-10-04$28.33$27.0021.0%6.0%26.0%12.0%19.5%1.3%1.0%-281.8K11.1M-22.6K0.6717.373502361,5775,553
2017-10-05$28.48$27.0021.0%6.2%25.5%12.0%23.3%4.1%-1.1%-299.2K10.8M-23.7K0.6916.453922721,5775,570
2017-10-06$28.50$27.0020.1%6.3%25.0%6.9%22.5%4.0%-1.5%-298.8K10.6M-24.4K0.7618.863732831,6565,565
2017-10-09$28.47$27.0022.7%6.5%24.3%21.3%24.4%4.7%-2.1%-270.4K11.0M-21.0K0.7517.233732801,6865,580
2017-10-10$28.43$27.0021.2%6.3%24.2%13.3%24.4%4.5%-0.9%-251.6K11.1M-20.4K0.6818.393662501,6865,581
2017-10-11$28.58$27.0020.6%5.9%24.0%9.6%24.2%4.4%-0.0%-275.6K11.0M-20.9K0.5719.824432511,6855,581
2017-10-12$28.55$27.0020.7%5.9%22.5%10.3%24.6%3.9%0.1%-264.3K11.0M-21.3K0.5974.764252511,7855,581
2017-10-13$28.63$27.0020.6%5.9%22.2%9.7%23.8%4.8%0.0%-278.5K10.7M-22.8K0.5273.304742461,7845,581
2017-10-16$29.15$27.0021.3%6.1%22.9%13.6%22.5%4.7%-1.2%-324.0K10.1M-24.2K0.5273.274892551,7895,587
2017-10-17$29.06$27.0020.8%6.0%23.0%10.7%24.8%5.1%0.3%-319.3K9.8M-24.4K0.5079.975152551,7935,608
2017-10-18$28.52$27.0020.9%6.0%24.0%11.5%22.4%5.0%-1.0%-250.5K10.9M-21.3K0.6481.605263361,8055,608
2017-10-19$28.49$27.0023.0%6.6%24.0%23.2%23.3%4.4%-2.3%-253.8K11.3M-20.5K0.8074.334753781,8095,707
2017-10-20$28.26$28.0021.6%6.2%23.5%15.6%23.1%3.2%-1.2%-276.3K11.7M-18.9K0.8876.054303801,8485,759
2017-10-23$27.93$28.0023.2%6.7%23.7%24.5%24.3%4.9%-2.0%-211.3K12.4M-15.8K0.8423.094303601,6215,640
2017-10-24$27.70$28.0023.2%6.7%22.8%24.6%24.8%4.1%-1.9%-170.3K12.7M-14.3K0.5720.954482551,6725,643
2017-10-25$27.45$28.0024.7%7.1%23.0%32.7%23.8%4.2%-2.9%-146.9K12.9M-12.9K0.5685.794532551,7215,644
2017-10-26$27.62$28.0023.6%6.8%22.1%26.7%23.3%5.8%-1.5%-163.6K12.7M-14.2K0.4384.225262281,7355,661
2017-10-27$27.90$28.0022.7%6.5%14.3%21.7%23.6%7.4%0.7%-177.7K12.6M-15.0K0.4382.695552361,7675,672
2017-10-30$28.10$28.0023.7%6.8%14.2%27.1%24.7%4.7%-2.3%-64.0K13.1M-11.2K0.9887.584424331,8485,672
2017-10-31$27.91$28.0023.6%6.8%13.8%26.7%25.4%4.6%-1.7%-223.0K12.6M-15.8K0.4723.354572151,8545,864