CQP Options History — November 2017

In November 2017, CQP traded between $27.43 and $28.73. ATM implied volatility averaged 23.4%, placing in the 25.7% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 3.3% (HV 20d: 20.2%). Max pain ranged from $28.00 to $31.00. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.39.

Notable Days

  • 2017-11-22: Highest Volume — 2,290 contracts
  • 2017-11-27: Largest IV spike — 21.0% change
  • 2017-11-15: Highest IV Rank — 34.8%
  • 2017-11-15: Largest Expected Move — 7.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.90$27.43$28.73$28.12$27.53
Max Pain$30.52$28.00$31.00$28.00$30.00
ATM IV23.4%20.3%25.1%24.2%24.4%
Expected Move6.6%5.8%7.2%6.9%7.0%
HV 20d20.2%13.6%24.0%13.6%23.7%
HV 60d20.6%18.9%21.7%19.0%21.4%
IV Rank25.7%8.0%34.8%29.9%31.2%
IV Percentile53.9%10.3%71.4%61.1%68.3%
Term Structure-0.3%-3.0%3.2%-3.0%-2.0%
VWIV25.0%21.0%38.7%38.7%24.7%
Skew 25d4.4%3.4%5.9%4.5%4.5%
Skew 10d13.9%2.8%50.5%50.5%4.6%
Call IV 25d21.5%18.5%24.5%22.2%23.4%
Put IV 25d25.9%22.6%29.1%26.7%27.9%
Bid-Ask Spread %35.7013.36119.37119.3741.63
Gamma HHI0.290.190.530.410.21
Net GEX-107.2K-365.8K62.8K-235.0K28.0K
Net DEX9.3M2.0M14.1M12.6M2.6M
Net VEX-17.6K-21.9K-14.8K-15.3K-17.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.390.352.330.462.33
Total Volume1,593.197432,2907771,999
Total OI7,957.0485,29210,1817,7746,142

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$28.12$28.0024.2%6.9%13.6%29.9%38.7%4.5%-3.0%-235.0K12.6M-15.3K0.46119.375332441,8625,912
2017-11-02$27.71$31.0023.9%6.0%14.3%28.4%21.0%3.4%0.4%-191.7K12.3M-15.3K0.4846.325252501,9885,916
2017-11-03$28.30$31.0023.9%6.2%16.4%28.4%22.7%3.7%-0.7%-275.2K11.7M-18.2K0.4016.586182501,9775,923
2017-11-06$28.52$31.0024.2%6.1%16.7%30.2%24.6%4.5%-0.4%-321.3K10.8M-19.8K0.9617.205375162,0865,922
2017-11-07$28.73$31.0024.1%6.2%16.8%29.4%24.9%4.9%-0.7%-365.8K10.1M-21.9K1.3213.364285652,1976,118
2017-11-08$28.39$31.0022.5%6.4%17.3%20.4%22.1%3.6%-0.8%-281.4K11.1M-19.5K0.6944.614403032,2696,160
2017-11-09$27.44$31.0022.6%6.5%21.0%21.0%22.5%4.7%0.4%-148.7K12.5M-14.8K0.3530.258823062,3106,186
2017-11-10$28.03$31.0023.4%6.7%22.6%25.5%24.8%3.7%0.0%-140.9K11.2M-18.3K1.3727.538941,2212,5536,199
2017-11-13$27.80$31.0023.0%6.6%21.5%23.4%24.3%3.6%-0.1%-104.8K13.4M-20.4K1.3841.488781,2082,9147,179
2017-11-14$27.64$31.0022.4%6.4%21.6%19.7%24.8%4.4%1.0%-74.3K13.9M-19.0K1.8119.146421,1612,9247,182
2017-11-15$27.43$31.0025.1%7.2%20.8%34.8%25.9%5.2%-0.1%-64.6K14.1M-18.1K1.8649.986351,1842,9967,181
2017-11-16$27.55$31.0022.0%6.3%20.9%17.8%24.5%5.9%3.2%-42.0K14.1M-17.5K1.8125.776471,1732,9957,186
2017-11-17$27.64$31.0023.2%6.6%20.8%24.2%24.8%4.4%0.7%-100.2K14.0M-17.4K2.0817.495641,1733,0037,177
2017-11-20$27.58$31.0023.5%6.7%20.5%25.9%24.7%3.8%0.0%-107.9K13.9M-17.2K2.0740.434981,0332,3096,861
2017-11-21$27.50$30.0024.4%7.0%20.3%31.0%24.3%3.5%-0.4%-2.0K3.3M-15.4K2.0117.345151,0372,3752,917
2017-11-22$28.02$30.0022.3%6.4%21.1%19.0%26.2%5.2%2.1%12.7K2.8M-16.2K1.1270.301,0781,2122,3962,921
2017-11-24$28.60$30.0020.3%5.8%22.1%8.0%22.0%4.1%-2.0%62.8K2.0M-17.6K1.1433.381,0691,2202,9773,122
2017-11-27$27.85$30.0024.6%7.0%24.0%32.0%26.1%5.8%-2.5%42.2K3.0M-17.3K1.0024.011,1191,1183,0043,132
2017-11-28$27.76$30.0023.7%6.8%23.9%27.0%25.9%4.0%-0.6%45.2K2.7M-17.1K2.2822.945751,3123,0633,146
2017-11-29$27.68$30.0024.7%7.1%23.8%32.6%26.0%4.6%-1.6%14.3K3.3M-17.3K2.2030.655931,3023,0653,353
2017-11-30$27.53$30.0024.4%7.0%23.7%31.2%24.7%4.5%-2.0%28.0K2.6M-17.0K2.3341.636001,3993,0733,069