CQP Options History — May 2018

In May 2018, CQP traded between $30.88 and $36.14. ATM implied volatility averaged 19.2%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 1.9% (HV 20d: 17.4%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.66.

Notable Days

  • 2018-05-02: Highest Volume — 6,037 contracts
  • 2018-05-04: Largest IV drop — 17.5% change
  • 2018-05-30: Highest IV Rank — 31.2%
  • 2018-05-01: Largest Expected Move — 6.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.64$30.88$36.14$30.97$36.14
Max Pain$31.18$30.00$32.00$30.00$32.00
ATM IV19.2%16.2%22.4%22.1%20.8%
Expected Move5.5%4.6%6.3%6.3%6.0%
HV 20d17.4%15.9%18.7%17.5%17.0%
HV 60d20.6%20.0%21.1%21.0%20.8%
IV Rank14.0%0.0%31.2%25.8%29.4%
IV Percentile13.5%0.0%56.3%50.4%27.0%
Term Structure0.5%-3.0%2.1%-1.4%0.1%
VWIV19.8%17.1%24.4%24.4%21.8%
Skew 25d3.1%0.2%5.2%4.2%2.1%
Skew 10d6.2%-34.8%16.5%11.4%-8.0%
Call IV 25d17.9%15.4%21.8%20.6%20.2%
Put IV 25d21.0%18.6%24.7%24.7%22.3%
Bid-Ask Spread %65.3818.24111.1524.71103.42
Gamma HHI0.340.160.450.410.16
Net GEX-860.0K-1.5M-34.0K-900.5K-34.0K
Net DEX4.3M-10.0M14.5M8.3M-10.0M
Net VEX-68.8K-78.2K-53.4K-57.2K-54.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.660.289.444.990.54
Total Volume1,757.6367026,0373,110923
Total OI17,677.81812,27220,95512,27220,955

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$30.97$30.0022.1%6.3%17.5%25.8%24.4%4.2%-1.4%-900.5K8.3M-57.2K4.9924.715192,5912,7139,559
2018-05-02$31.42$30.0022.1%6.3%17.5%25.4%24.2%4.2%-3.0%-815.1K6.3M-56.8K9.44111.155785,4592,7259,668
2018-05-03$30.88$31.0022.4%5.6%18.3%27.8%20.4%2.7%0.6%-1.4M14.5M-69.8K4.0551.845782,3402,83112,684
2018-05-04$31.10$31.0018.5%5.3%17.7%0.0%18.1%3.1%1.5%-1.4M11.9M-78.2K0.6324.954302722,76513,712
2018-05-07$31.20$31.0019.1%5.5%17.6%4.4%18.2%3.6%0.6%-1.4M10.8M-76.1K0.5318.245773072,72313,715
2018-05-08$30.88$31.0020.0%5.8%18.2%11.5%21.3%2.6%0.0%-1.5M13.3M-77.1K0.4982.125562732,79613,792
2018-05-09$31.09$31.0018.9%5.4%18.3%3.0%18.4%3.8%0.2%-1.4M11.9M-75.3K0.5431.175062742,80413,792
2018-05-10$31.06$31.0018.5%5.3%18.0%0.0%18.1%3.2%1.1%-1.4M11.7M-74.8K0.5319.375412862,82813,793
2018-05-11$31.44$31.0018.0%5.2%18.1%0.0%17.1%2.5%1.1%-1.3M9.5M-73.0K0.5223.175512862,83113,819
2018-05-14$31.63$31.0016.2%4.6%16.6%0.0%18.3%3.6%2.1%-1.2M8.2M-70.5K0.4729.797533532,84713,833
2018-05-15$31.87$31.0018.4%5.3%16.3%13.8%19.7%2.9%1.0%-867.1K6.2M-70.0K2.1754.201,0572,2893,15613,924
2018-05-16$32.57$31.0016.8%4.8%17.8%3.7%17.5%3.4%1.2%-862.9K4.1M-75.5K4.3925.294131,8153,50715,404
2018-05-17$32.81$31.0017.4%5.0%17.8%7.9%18.1%2.9%1.4%-895.1K3.8M-76.4K1.6552.481,1501,9023,49815,536
2018-05-18$32.66$31.0017.6%5.0%17.5%8.8%18.3%4.4%1.8%-929.8K2.6M-74.0K2.2594.088551,9233,70915,542
2018-05-21$33.37$31.0017.7%5.1%18.7%9.5%18.6%0.2%1.4%-725.1K2.0M-68.5K0.4497.958413723,07314,950
2018-05-22$33.79$31.0018.6%5.3%16.7%15.2%19.2%2.8%1.0%-449.8K-237.0K-66.5K0.8296.971,2651,0423,52015,001
2018-05-23$33.99$32.0019.0%5.5%16.6%17.9%17.6%3.3%0.8%-335.9K-1.6M-69.6K0.42108.596162584,24115,803
2018-05-24$33.99$32.0019.4%5.6%16.7%20.6%21.7%1.7%1.2%-311.4K-2.1M-68.5K0.4492.865592484,33515,820
2018-05-25$34.32$32.0019.6%5.6%15.9%21.6%19.8%5.2%1.0%-349.5K-2.7M-67.5K0.4698.715162374,35315,829
2018-05-29$34.91$32.0021.1%6.0%16.1%31.1%22.5%4.8%-1.2%-271.5K-4.9M-61.3K0.3698.616832474,35115,824
2018-05-30$35.90$32.0021.1%6.1%17.2%31.2%22.9%1.2%-0.7%-142.5K-8.7M-53.4K0.2898.611,1163114,52715,824
2018-05-31$36.14$32.0020.8%6.0%17.0%29.4%21.8%2.1%0.1%-34.0K-10.0M-54.1K0.54103.426003235,10015,855