CQP Options History — June 2018

In June 2018, CQP traded between $34.51 and $36.95. ATM implied volatility averaged 22.7%, placing in the 41.5% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 1.8% (HV 20d: 24.5%). Max pain ranged from $32.00 to $35.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 2.87.

Notable Days

  • 2018-06-08: Highest Volume — 4,642 contracts
  • 2018-06-13: Largest IV drop — 29.8% change
  • 2018-06-12: Highest IV Rank — 97.0%
  • 2018-06-21: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.93$34.51$36.95$35.57$35.92
Max Pain$34.57$32.00$35.00$32.00$35.00
ATM IV22.7%20.1%31.5%20.1%21.7%
Expected Move6.3%5.8%6.7%5.8%6.2%
HV 20d24.5%16.3%28.1%16.8%25.4%
HV 60d21.3%20.5%23.5%21.1%20.7%
IV Rank41.5%24.7%97.0%24.7%34.9%
IV Percentile51.9%15.5%99.6%15.5%39.3%
Term Structure0.6%-0.6%2.2%0.6%1.4%
VWIV22.1%20.1%22.9%20.1%22.8%
Skew 25d3.3%2.1%5.1%3.0%4.0%
Skew 10d5.6%-31.9%17.3%2.8%9.9%
Call IV 25d20.8%19.9%22.0%19.9%20.7%
Put IV 25d24.1%22.9%25.8%22.9%24.7%
Bid-Ask Spread %74.3517.0998.4898.4852.44
Gamma HHI0.180.160.250.170.23
Net GEX-253.8K-683.5K-15.4K-29.3K-680.5K
Net DEX-2.2M-8.8M9.3M-8.8M9.3M
Net VEX-61.7K-74.4K-55.8K-55.8K-74.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.870.735.514.264.13
Total Volume2,430.1434164,6422,8552,701
Total OI17,503.38111,13222,31921,02214,270

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-06-01$35.57$32.0020.1%5.8%16.8%24.7%20.1%3.0%0.6%-29.3K-8.8M-55.8K4.2698.485432,3125,15815,864
2018-06-04$35.57$34.0021.1%5.9%17.0%31.2%20.9%3.7%0.5%-170.3K-7.9M-60.1K5.0982.124562,3215,16616,819
2018-06-05$35.60$34.0020.7%6.1%17.0%28.7%21.9%3.3%-0.0%-119.0K-7.4M-62.4K5.5182.994222,3245,16816,826
2018-06-06$35.49$34.0021.7%6.3%16.3%34.7%21.7%3.3%-0.3%-122.2K-7.0M-62.0K5.0993.664532,3045,18416,828
2018-06-07$36.08$34.0021.6%6.1%16.6%34.4%21.3%3.4%-0.3%-132.1K-8.5M-59.1K2.8882.277972,2975,16916,828
2018-06-08$34.51$34.0024.6%6.3%24.7%52.9%22.5%3.1%0.3%-15.4K-3.3M-67.1K1.8188.531,6532,9895,48416,835
2018-06-11$35.94$34.0028.2%6.2%27.7%75.8%21.6%3.0%-0.2%-29.4K-7.4M-59.6K2.4679.991,1992,9445,07516,749
2018-06-12$35.92$35.0031.5%6.2%27.8%97.0%22.1%2.1%0.6%-56.6K-7.3M-60.0K1.5776.011,2251,9245,08216,780
2018-06-13$35.73$35.0022.1%6.3%28.1%37.5%21.9%2.5%-0.6%-42.6K-6.8M-59.4K1.5597.881,2671,9705,06416,782
2018-06-14$35.63$35.0022.1%6.3%27.6%37.2%21.7%3.2%-0.4%-75.1K-6.3M-59.9K1.1480.461,2841,4635,05616,824
2018-06-15$35.46$35.0022.2%6.4%27.7%38.1%21.4%4.1%0.6%-354.4K-5.2M-58.8K0.7796.544683615,04416,821
2018-06-18$35.79$35.0022.3%6.4%27.6%38.9%22.6%2.9%0.5%-336.6K1.3M-55.8K0.7386.382411752,5308,602
2018-06-19$35.70$35.0022.0%6.3%27.0%36.9%22.8%3.8%1.4%-325.2K1.5M-57.8K1.6389.523034952,5738,613
2018-06-20$36.01$35.0023.1%6.6%26.8%43.5%21.8%4.1%1.5%-336.7K1.4M-57.0K1.0896.795065442,5788,904
2018-06-21$36.33$35.0023.4%6.7%26.9%45.5%22.9%5.1%0.4%-273.4K791.8K-57.5K1.0787.585045412,7798,938
2018-06-22$36.95$35.0021.3%6.1%27.3%32.4%22.5%2.6%2.2%-191.3K-629.4K-57.3K2.6687.144371,1612,8969,005
2018-06-25$36.55$35.0022.4%6.4%27.7%39.0%22.9%3.2%0.1%-310.6K995.9K-60.1K3.4825.734961,7252,9909,717
2018-06-26$36.66$35.0020.9%6.0%27.2%30.0%22.4%2.8%1.2%-475.6K3.3M-67.2K4.9320.544832,3832,99811,034
2018-06-27$36.72$35.0021.8%6.3%25.5%35.5%22.7%2.3%1.1%-570.6K4.7M-71.1K4.3439.264992,1683,01011,269
2018-06-28$36.30$35.0022.9%6.6%25.8%42.5%22.8%4.0%1.6%-683.5K7.9M-74.4K4.1217.095262,1692,98111,278
2018-06-29$35.92$35.0021.7%6.2%25.4%34.9%22.8%4.0%1.4%-680.5K9.3M-74.1K4.1352.445272,1743,00011,270