CQP Options History — March 2018

In March 2018, CQP traded between $28.11 and $31.02. ATM implied volatility averaged 23.3%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 2.1% (HV 20d: 21.3%). Max pain ranged from $26.00 to $29.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2018-03-19: Highest Volume — 3,806 contracts
  • 2018-03-12: Largest IV spike — 30.7% change
  • 2018-03-12: Highest IV Rank — 68.2%
  • 2018-03-01: Largest Expected Move — 7.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.47$28.11$31.02$29.40$29.03
Max Pain$28.81$26.00$29.00$29.00$29.00
ATM IV23.3%19.9%27.8%25.4%21.9%
Expected Move6.5%5.7%7.3%7.3%6.3%
HV 20d21.3%18.0%25.7%20.7%25.7%
HV 60d19.9%18.8%22.0%19.1%21.6%
IV Rank34.9%9.1%68.2%50.5%23.8%
IV Percentile62.8%8.3%96.8%93.7%44.4%
Term Structure0.7%-1.0%2.4%-1.0%1.7%
VWIV23.0%19.4%26.5%24.6%21.8%
Skew 25d4.4%2.9%7.2%4.0%3.6%
Skew 10d12.5%7.2%25.4%12.1%16.1%
Call IV 25d20.9%19.4%23.3%23.3%20.1%
Put IV 25d25.3%22.7%28.7%27.3%23.7%
Bid-Ask Spread %47.4920.6297.2540.2656.77
Gamma HHI0.490.240.630.490.63
Net GEX119.6K-530.3K1.0M676.0K-516.9K
Net DEX-697.8K-12.6M11.2M-3.4M8.7M
Net VEX-34.9K-41.1K-23.9K-39.7K-41.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.354.050.641.31
Total Volume1,769.198183,8068181,670
Total OI10,449.7625,63312,27611,4609,385

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$29.40$29.0025.4%7.3%20.7%50.5%24.6%4.0%-1.0%676.0K-3.4M-39.7K0.6440.264993196,8054,655
2018-03-02$29.69$29.0023.1%6.6%21.0%32.8%26.5%7.2%0.1%629.9K-5.1M-39.5K0.4923.496453146,8104,675
2018-03-05$30.07$29.0023.2%6.5%19.9%34.1%22.9%4.6%0.0%589.5K-7.2M-38.3K0.3537.928152896,9274,675
2018-03-06$30.46$29.0023.7%6.5%20.1%37.8%21.6%4.2%1.7%556.8K-9.8M-36.3K0.4422.968823886,9654,687
2018-03-07$30.79$29.0022.1%6.2%19.1%26.0%20.0%4.9%1.6%468.6K-11.2M-35.8K0.4554.419364227,0614,587
2018-03-08$31.02$29.0021.8%6.3%19.1%23.4%19.4%5.0%0.3%403.8K-12.6M-34.7K0.3954.091,0894217,3524,605
2018-03-09$30.57$29.0021.2%6.4%18.8%19.1%21.8%4.9%-0.2%537.3K-11.0M-35.7K0.4671.298834097,5474,606
2018-03-12$30.20$29.0027.8%6.7%19.3%68.2%21.6%4.2%1.0%666.6K-9.2M-34.1K0.4748.888754087,5494,608
2018-03-13$30.30$29.0027.5%6.4%18.0%65.8%21.5%3.9%-0.0%541.7K-10.1M-32.6K0.4547.358994097,5564,609
2018-03-14$29.94$29.0021.9%6.3%18.5%24.3%22.0%4.1%0.6%719.8K-8.5M-31.4K0.4240.248973757,5964,609
2018-03-15$29.32$29.0023.5%6.7%19.6%36.3%25.1%3.3%0.0%1.0M-4.1M-29.7K0.4297.251,1024607,5944,591
2018-03-16$29.57$29.0019.9%5.7%19.9%9.1%21.5%2.9%2.4%-202.9K-7.8M-28.2K0.3769.941,3604997,6084,668
2018-03-19$28.77$26.0021.8%6.3%20.6%23.5%22.2%4.5%2.0%-237.7K5.1M-23.9K3.3559.188742,9322,0313,602
2018-03-20$29.04$28.0021.1%6.0%20.0%17.6%23.7%3.9%1.5%-530.3K9.2M-37.8K4.0521.266962,8212,0586,213
2018-03-21$29.43$29.0022.3%6.4%20.6%26.7%22.7%3.9%0.9%-528.5K7.8M-40.8K3.9292.037032,7532,0756,355
2018-03-22$28.17$29.0024.7%7.1%25.7%45.4%25.1%4.7%0.4%-446.0K10.9M-33.4K1.0752.859259912,0766,298
2018-03-23$28.11$29.0024.1%6.9%25.0%40.6%24.4%4.9%0.5%-421.5K11.1M-35.1K1.3529.026989392,3886,545
2018-03-26$28.17$29.0024.6%7.0%25.0%44.1%25.3%4.4%-0.2%-461.3K11.2M-33.5K1.4820.627001,0362,3896,605
2018-03-27$28.20$29.0025.4%7.3%25.0%50.5%24.7%4.8%0.2%-487.1K11.2M-34.0K1.0835.409551,0322,3966,737
2018-03-28$28.53$29.0023.1%6.6%24.9%32.7%24.5%5.1%0.3%-490.7K10.2M-37.9K1.2922.008011,0322,6276,720
2018-03-29$29.03$29.0021.9%6.3%25.7%23.8%21.8%3.6%1.7%-516.9K8.7M-41.1K1.3156.777229482,6656,720