CQP Options History — December 2017

In December 2017, CQP traded between $27.02 and $29.62. ATM implied volatility averaged 22.0%, placing in the 20.0% IV rank vs the trailing year. The 30-day expected move averaged 6.1%. IV traded above realized volatility by 2.2% (HV 20d: 19.9%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.54.

Notable Days

  • 2017-12-27: Highest Volume — 3,873 contracts
  • 2017-12-11: Largest IV spike — 40.5% change
  • 2017-12-11: Highest IV Rank — 64.6%
  • 2017-12-04: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.18$27.02$29.62$27.70$29.62
Max Pain$29.05$29.00$30.00$30.00$29.00
ATM IV22.0%18.7%30.4%23.5%19.0%
Expected Move6.1%5.4%6.9%6.7%5.5%
HV 20d19.9%17.4%23.2%23.2%18.1%
HV 60d20.7%18.8%21.4%21.3%18.9%
IV Rank20.0%0.0%64.6%26.1%2.8%
IV Percentile33.4%0.0%99.2%58.3%1.2%
Term Structure1.5%-1.3%2.7%-1.3%1.8%
VWIV22.5%19.1%26.7%26.7%19.1%
Skew 25d4.9%3.5%6.7%5.3%3.5%
Skew 10d12.3%1.0%18.9%8.4%4.8%
Call IV 25d19.2%16.3%22.5%22.5%18.1%
Put IV 25d24.1%21.6%27.8%27.8%21.6%
Bid-Ask Spread %38.0818.79108.3337.7524.47
Gamma HHI0.260.190.380.210.38
Net GEX139.7K-100.8K631.7K25.8K631.7K
Net DEX-151.5K-9.1M4.2M2.2M-9.1M
Net VEX-21.3K-39.1K-15.5K-17.5K-38.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.540.162.852.250.96
Total Volume1,816.451,0883,8732,0291,122
Total OI6,813.455,5959,4276,2149,427

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$27.70$30.0023.5%6.7%23.2%26.1%26.7%5.3%-1.3%25.8K2.2M-17.5K2.2537.756251,4043,1173,097
2017-12-04$27.29$29.0027.8%6.9%22.4%50.1%23.3%5.7%1.3%-7.3K3.0M-15.9K2.1336.266191,3163,1433,097
2017-12-05$27.16$29.0024.7%6.7%22.1%32.6%24.2%4.3%1.5%-38.4K3.5M-16.5K1.9724.227231,4213,1533,316
2017-12-06$27.02$29.0024.4%6.7%21.9%30.9%24.1%5.1%0.8%-100.8K4.2M-15.5K2.6518.795301,4063,0883,456
2017-12-07$27.51$29.0022.6%6.5%22.8%20.7%24.2%5.7%1.8%-76.2K3.5M-17.1K2.4831.225561,3783,0833,656
2017-12-08$27.87$29.0021.6%6.3%19.8%15.4%24.6%5.4%1.8%3992.3M-18.5K2.8531.155521,5753,2883,649
2017-12-11$28.32$29.0030.4%6.4%19.2%64.6%24.9%6.7%1.3%98.9K1.2M-17.3K2.2327.925481,2213,2993,292
2017-12-12$28.30$29.0024.4%6.3%18.9%31.2%22.3%5.1%1.8%113.9K1.1M-17.0K1.0743.638429053,3363,281
2017-12-13$28.40$29.0021.8%6.2%18.8%17.5%22.0%4.5%1.5%199.6K790.7K-17.3K1.2083.788289943,6163,282
2017-12-14$28.65$29.0019.0%5.4%18.6%1.3%20.8%4.8%1.1%226.6K642.9K-17.7K0.6021.831,5229153,6273,406
2017-12-15$28.28$29.0021.1%6.0%19.4%19.5%23.7%3.7%2.2%193.6K138.0K-21.4K1.4224.047471,0584,5473,400
2017-12-18$28.34$29.0020.8%6.0%19.4%16.7%19.2%4.0%1.0%207.2K-1.9M-22.2K0.6329.246694193,8871,750
2017-12-19$28.00$29.0020.7%5.9%19.9%16.2%23.2%4.4%2.0%146.4K-1.1M-21.5K1.46108.336509473,8291,766
2017-12-20$27.61$29.0019.8%5.7%20.6%8.5%20.8%4.4%2.0%16.5K847.4K-20.4K1.7145.556691,1423,8342,387
2017-12-21$27.81$29.0021.0%6.0%19.6%18.4%20.9%5.2%1.1%66.4K-20.1K-21.8K1.2530.056718403,8532,326
2017-12-22$28.19$29.0019.9%5.7%18.7%9.0%19.1%6.0%2.1%68.0K-414.7K-22.6K1.0840.126306813,8612,661
2017-12-26$28.74$29.0018.7%5.4%17.4%0.0%20.9%4.4%2.7%138.0K-1.8M-23.2K1.5033.574827253,8612,711
2017-12-27$29.20$29.0020.6%5.9%18.0%16.4%23.3%4.8%2.5%251.8K-3.1M-24.0K0.1625.913,3325413,8932,623
2017-12-28$29.62$29.0019.0%5.5%18.3%2.8%23.2%4.2%1.2%631.5K-9.0M-39.1K1.2343.755046206,7452,626
2017-12-29$29.62$29.0019.0%5.5%18.1%2.8%19.1%3.5%1.8%631.7K-9.1M-38.7K0.9624.475725506,7782,649