CQP Options History — January 2018

In January 2018, CQP traded between $29.71 and $32.00. ATM implied volatility averaged 22.3%, placing in the 31.0% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 6.5% (HV 20d: 15.9%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2018-01-11: Highest Volume — 1,246 contracts
  • 2018-01-10: Largest IV spike — 14.2% change
  • 2018-01-30: Highest IV Rank — 52.5%
  • 2018-01-30: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.54$29.71$32.00$29.73$30.60
Max Pain$29.38$29.00$30.00$29.00$30.00
ATM IV22.3%19.8%24.8%20.0%22.4%
Expected Move6.5%5.7%7.1%5.7%6.4%
HV 20d15.9%13.4%18.4%18.0%18.4%
HV 60d19.0%18.4%20.0%18.9%19.8%
IV Rank31.0%9.1%52.5%11.2%31.8%
IV Percentile47.2%5.6%88.5%8.3%51.2%
Term Structure-0.2%-2.0%1.8%1.1%-1.1%
VWIV24.0%19.1%31.1%22.7%25.5%
Skew 25d4.8%3.2%6.3%3.2%3.2%
Skew 10d9.1%-39.8%18.3%10.0%4.5%
Call IV 25d20.3%18.3%23.0%18.8%23.0%
Put IV 25d25.1%22.1%27.7%22.1%26.2%
Bid-Ask Spread %67.4925.70103.4038.63103.40
Gamma HHI0.420.370.520.380.50
Net GEX730.3K538.7K1.0M654.5K717.2K
Net DEX-12.4M-15.3M-9.6M-9.9M-11.4M
Net VEX-31.0K-37.3K-23.5K-37.3K-27.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.291.010.910.42
Total Volume951.3816471,2461,056930
Total OI9,051.3817,30910,0959,5948,064

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$29.73$29.0020.0%5.7%18.0%11.2%22.7%3.2%1.1%654.5K-9.9M-37.3K0.9138.635525046,9032,691
2018-01-03$29.82$29.0019.8%5.7%16.7%9.1%31.1%3.3%1.7%664.9K-10.1M-37.1K1.0151.595005076,9712,699
2018-01-04$29.96$29.0020.6%6.7%16.3%16.2%23.2%5.2%-2.0%698.3K-10.8M-36.6K0.4569.875102307,0002,699
2018-01-05$29.71$29.0020.1%6.5%16.6%12.3%22.4%5.6%0.6%677.5K-9.6M-36.9K0.4226.545442307,0092,715
2018-01-08$29.76$29.0021.3%6.4%15.9%22.4%25.2%4.9%0.6%745.0K-10.3M-35.5K0.5269.885132677,0562,715
2018-01-09$29.90$29.0021.4%6.4%15.5%22.9%25.8%4.6%-0.3%766.7K-10.8M-35.0K0.6273.415703517,0572,714
2018-01-10$29.87$29.0024.4%7.0%14.9%48.9%26.9%5.7%-1.1%817.7K-10.7M-34.3K0.5570.405513017,0462,706
2018-01-11$30.22$29.0021.4%6.1%15.2%22.9%20.3%4.8%1.1%938.7K-12.4M-33.5K0.2965.299642827,1212,706
2018-01-12$30.60$29.0022.2%6.4%15.5%30.0%24.3%3.3%-0.6%918.4K-14.4M-32.9K0.3566.378372967,3332,715
2018-01-16$30.23$29.0024.1%6.9%16.4%46.3%23.8%6.3%-1.4%1.0M-13.0M-32.0K0.3650.787982867,3372,717
2018-01-17$30.46$29.0024.0%6.9%15.3%45.4%24.2%5.6%-0.9%981.6K-13.9M-30.9K0.3972.957662957,3422,717
2018-01-18$30.26$29.0024.2%6.9%15.8%47.3%26.5%4.8%-1.8%784.0K-12.4M-31.3K0.3777.968032957,3512,717
2018-01-19$30.48$29.0023.0%6.6%14.7%37.2%23.4%4.0%-0.8%637.1K-14.9M-29.6K0.3885.707983047,3582,737
2018-01-22$30.89$30.0021.6%6.2%13.4%24.8%23.8%5.6%-0.1%633.2K-12.6M-27.1K0.5925.704082396,1921,117
2018-01-23$31.06$30.0023.3%6.7%13.4%39.0%23.8%5.6%-1.8%619.4K-13.2M-26.8K0.5873.494402546,2071,129
2018-01-24$32.00$30.0022.4%6.4%15.7%31.6%21.2%5.1%-0.2%538.7K-15.3M-23.5K0.4172.898593536,3051,152
2018-01-25$31.65$30.0023.7%6.8%16.1%42.6%21.7%4.9%0.7%619.4K-14.5M-26.0K0.6072.205933586,6711,265
2018-01-26$31.82$30.0020.7%5.9%15.5%17.1%19.1%6.2%1.8%606.7K-15.1M-24.7K0.6279.895793616,6681,270
2018-01-29$31.53$30.0023.3%6.7%15.7%39.3%21.5%3.3%1.0%630.2K-14.3M-24.9K0.5286.015622956,6271,305
2018-01-30$30.85$30.0024.8%7.1%18.1%52.5%26.9%5.3%-0.0%658.0K-11.8M-27.8K0.3984.396412536,6291,346
2018-01-31$30.60$30.0022.4%6.4%18.4%31.8%25.5%3.2%-1.1%717.2K-11.4M-27.5K0.42103.406542766,7051,359