CQP Options History — February 2018

In February 2018, CQP traded between $29.15 and $30.71. ATM implied volatility averaged 25.2%, placing in the 50.3% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 3.4% (HV 20d: 21.9%). Max pain ranged from $29.00 to $29.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 1.20.

Notable Days

2018-02-13: Highest Volume — 3,518 contracts
2018-02-07: Largest IV drop — 19.5% change
2018-02-06: Highest IV Rank — 100.0%
2018-02-06: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.86	$29.15	$30.71	$30.71	$29.32
Max Pain	$29.00	$29.00	$29.00	$29.00	$29.00
ATM IV	25.2%	21.6%	32.0%	22.0%	25.5%
Expected Move	7.1%	6.2%	8.1%	6.4%	7.3%
HV 20d	21.9%	18.4%	24.0%	18.4%	20.7%
HV 60d	19.4%	18.7%	20.3%	19.4%	19.1%
IV Rank	50.3%	22.0%	100.0%	28.6%	51.4%
IV Percentile	81.9%	37.7%	100.0%	45.2%	94.4%
Term Structure	-1.3%	-4.0%	1.3%	-0.3%	-0.6%
VWIV	24.9%	20.9%	30.2%	21.9%	25.9%
Skew 25d	4.5%	2.6%	6.6%	3.5%	3.7%
Skew 10d	11.6%	3.9%	22.9%	14.8%	13.3%
Call IV 25d	22.6%	20.2%	26.3%	21.2%	23.7%
Put IV 25d	27.1%	23.4%	32.9%	24.7%	27.4%
Bid-Ask Spread %	53.26	18.76	91.37	36.11	30.65
Gamma HHI	0.49	0.40	0.63	0.48	0.48
Net GEX	505.6K	317.8K	634.6K	597.2K	634.6K
Net DEX	-6.6M	-11.9M	-2.5M	-11.9M	-3.0M
Net VEX	-37.6K	-45.6K	-25.1K	-25.1K	-40.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.20	0.20	3.49	0.48	0.59
Total Volume	1,758.474	789	3,518	926	789
Total OI	10,033.684	7,702	11,439	7,702	11,439

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2018-02-01	$30.71	$29.00	22.0%	6.4%	18.4%	28.6%	21.9%	3.5%	-0.3%	597.2K	-11.9M	-25.1K	0.48	36.11	625	301	6,319	1,383
2018-02-02	$29.99	$29.00	25.0%	6.8%	20.4%	54.0%	22.5%	4.4%	-1.1%	622.5K	-9.7M	-26.6K	0.50	25.86	615	309	6,333	1,422
2018-02-05	$29.71	$29.00	28.3%	6.9%	20.5%	82.4%	25.2%	3.4%	-1.8%	614.6K	-8.6M	-25.9K	1.30	79.29	623	810	6,330	1,440
2018-02-06	$30.32	$29.00	32.0%	8.1%	21.7%	100.0%	30.2%	6.6%	-2.4%	497.5K	-9.5M	-29.2K	1.17	86.80	675	788	6,263	1,964
2018-02-07	$30.16	$29.00	25.8%	7.4%	21.8%	53.1%	25.3%	5.6%	-1.8%	560.8K	-9.2M	-28.4K	1.21	48.02	723	872	6,318	1,979
2018-02-08	$29.64	$29.00	28.2%	8.1%	22.7%	71.6%	28.9%	6.4%	-3.5%	498.7K	-7.6M	-29.5K	1.03	91.37	731	755	6,293	2,070
2018-02-09	$29.51	$29.00	28.1%	8.1%	22.2%	71.1%	30.0%	6.6%	-4.0%	432.6K	-6.7M	-32.0K	3.49	72.69	723	2,526	6,324	2,457
2018-02-12	$30.11	$29.00	25.4%	7.3%	23.0%	50.8%	25.8%	4.3%	-1.8%	317.8K	-5.9M	-44.1K	3.33	58.24	750	2,501	6,324	4,550
2018-02-13	$30.23	$29.00	25.3%	7.3%	22.7%	49.8%	25.2%	4.3%	-2.0%	343.2K	-6.5M	-43.9K	2.16	76.98	1,112	2,406	6,455	4,566
2018-02-14	$29.95	$29.00	25.0%	7.2%	22.7%	47.6%	24.6%	2.6%	-0.8%	370.0K	-5.9M	-45.5K	2.20	78.41	1,097	2,410	6,714	4,555
2018-02-15	$29.82	$29.00	23.7%	6.8%	22.6%	37.4%	21.7%	5.5%	-0.5%	386.2K	-5.1M	-45.6K	2.27	29.21	1,037	2,353	6,729	4,575
2018-02-16	$29.15	$29.00	24.7%	7.1%	23.7%	44.9%	26.2%	5.7%	-0.3%	489.9K	-2.5M	-44.2K	0.41	33.38	1,019	416	6,761	4,565
2018-02-20	$29.63	$29.00	25.0%	7.2%	24.0%	47.6%	26.6%	3.7%	-1.0%	423.1K	-4.8M	-43.4K	0.33	69.76	955	312	6,176	4,391
2018-02-21	$29.68	$29.00	24.3%	7.0%	23.9%	42.5%	22.8%	5.5%	-2.5%	519.6K	-5.3M	-42.4K	0.20	73.06	1,061	210	6,432	4,405
2018-02-22	$29.63	$29.00	23.9%	6.9%	20.7%	39.2%	22.9%	3.5%	-1.0%	556.1K	-4.7M	-42.9K	0.35	52.12	761	270	6,633	4,459
2018-02-23	$30.05	$29.00	21.6%	6.2%	21.4%	22.0%	20.9%	3.2%	1.3%	563.2K	-7.0M	-42.1K	0.55	21.59	667	368	6,759	4,469
2018-02-26	$29.86	$29.00	23.0%	6.6%	21.2%	32.2%	23.6%	4.6%	-0.3%	577.2K	-6.0M	-42.0K	0.56	18.76	645	359	6,780	4,574
2018-02-27	$29.85	$29.00	22.7%	6.5%	21.1%	29.8%	22.2%	3.1%	-0.2%	602.2K	-6.1M	-41.3K	0.73	29.59	484	353	6,794	4,640
2018-02-28	$29.32	$29.00	25.5%	7.3%	20.7%	51.4%	25.9%	3.7%	-0.6%	634.6K	-3.0M	-40.4K	0.59	30.65	497	292	6,795	4,644