CQP Options History — August 2018

In August 2018, CQP traded between $36.85 and $39.40. ATM implied volatility averaged 20.2%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 3.7% (HV 20d: 24.0%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 17 of 23 days. Put/call ratio averaged 2.35.

Notable Days

  • 2018-08-27: Highest Volume — 10,358 contracts
  • 2018-08-13: Largest IV spike — 33.5% change
  • 2018-08-07: Highest IV Rank — 49.4%
  • 2018-08-03: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.14$36.85$39.40$38.18$37.89
Max Pain$37.22$37.00$38.00$37.00$38.00
ATM IV20.2%17.3%24.0%20.8%18.9%
Expected Move5.6%5.1%6.4%6.0%5.4%
HV 20d24.0%17.6%26.2%17.6%22.0%
HV 60d22.5%20.3%23.2%20.5%23.0%
IV Rank25.6%6.7%49.4%29.2%16.9%
IV Percentile24.8%0.8%80.2%21.4%7.1%
Term Structure0.4%-2.0%1.6%-0.1%1.2%
VWIV20.0%18.0%24.6%22.6%19.9%
Skew 25d2.5%1.1%4.7%4.7%2.1%
Skew 10d5.9%1.6%11.9%5.6%6.8%
Call IV 25d18.4%16.0%20.8%18.9%18.9%
Put IV 25d20.9%18.7%24.1%23.6%21.0%
Bid-Ask Spread %41.3915.92102.42102.4238.53
Gamma HHI0.280.230.310.280.29
Net GEX-1.4M-2.0M-735.6K-1.7M-1.8M
Net DEX6.4M-1.8M14.1M6.8M14.1M
Net VEX-69.0K-96.0K-45.6K-71.5K-96.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.350.639.483.201.16
Total Volume2,408.9131,17910,3582,5321,770
Total OI20,038.69618,44123,09819,44023,098

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-08-01$38.18$37.0020.8%6.0%17.6%29.2%22.6%4.7%-0.1%-1.7M6.8M-71.5K3.20102.426031,9292,88516,555
2018-08-02$38.29$37.0020.9%6.0%17.6%29.9%24.6%4.5%-0.0%-1.7M6.2M-68.6K2.2027.808921,9642,76916,560
2018-08-03$36.85$38.0022.4%6.4%22.9%39.5%22.3%1.7%-2.0%-2.0M11.8M-72.7K0.7747.237585822,51916,589
2018-08-06$37.35$37.0023.2%5.8%23.0%44.4%20.4%3.3%-0.5%-2.0M8.4M-66.5K0.6318.387544732,53716,663
2018-08-07$37.48$37.0024.0%5.8%23.0%49.4%20.3%3.1%-0.5%-1.8M7.6M-65.1K0.7418.917565582,65516,665
2018-08-08$37.43$37.0023.4%5.6%23.0%45.3%19.8%2.1%0.2%-1.8M7.0M-64.4K0.7451.877215352,84716,590
2018-08-09$38.24$37.0017.3%5.1%23.0%6.7%20.9%3.6%0.7%-1.2M1.9M-54.2K2.9920.386001,7952,88816,615
2018-08-10$39.14$37.0017.7%5.3%24.1%9.3%20.7%1.3%0.2%-826.2K-1.8M-45.6K2.5437.081,1372,8882,89216,683
2018-08-13$39.26$37.0023.6%5.8%23.9%46.7%19.6%1.9%0.0%-823.5K-1.7M-45.6K1.4031.656449013,25616,637
2018-08-14$38.55$37.0022.5%5.7%24.4%39.9%20.0%3.6%1.1%-1.1M2.4M-54.8K1.8064.956091,0943,48916,712
2018-08-15$37.75$37.0020.4%5.9%25.3%26.9%23.0%3.6%0.8%-1.3M6.1M-60.8K6.0763.414802,9133,60116,520
2018-08-16$37.44$37.0020.6%5.9%25.4%27.9%19.0%2.7%0.6%-1.6M10.5M-76.7K1.7516.615108903,64317,738
2018-08-17$37.68$37.0018.5%5.3%25.5%14.8%18.3%2.3%1.6%-1.5M9.1M-72.7K2.0266.774939943,67917,796
2018-08-20$38.18$37.0019.7%5.6%25.8%21.9%18.4%2.7%0.3%-1.3M6.1M-68.5K2.0026.974028023,35515,086
2018-08-21$38.03$37.0019.2%5.5%25.6%18.8%18.5%2.4%0.5%-1.4M6.9M-69.7K1.8615.924127673,37115,093
2018-08-22$38.56$37.0018.5%5.3%25.0%14.6%18.6%2.6%0.6%-1.1M3.7M-63.8K1.6481.034958103,39215,103
2018-08-23$38.26$37.0019.0%5.4%25.2%17.7%18.5%1.8%1.2%-1.3M4.9M-66.2K1.5834.655308363,45715,148
2018-08-24$38.67$37.0018.7%5.4%25.1%15.8%18.0%1.7%1.0%-1.1M3.3M-64.0K1.5256.515408213,51115,163
2018-08-27$39.40$37.0019.4%5.6%25.2%20.6%19.8%1.4%0.7%-735.6K-285.7K-57.1K9.4829.659889,3703,56515,174
2018-08-28$38.47$38.0019.7%5.6%25.9%21.9%18.9%1.1%-0.5%-1.5M8.7M-93.0K5.4728.591,0065,5004,11118,389
2018-08-29$38.03$38.0018.6%5.3%26.2%15.0%18.9%1.5%0.4%-1.7M11.7M-95.6K1.3436.749181,2274,49718,413
2018-08-30$37.99$38.0018.8%5.4%26.2%16.6%18.9%1.9%1.1%-1.8M12.8M-94.9K1.1235.848219174,56118,420
2018-08-31$37.89$38.0018.9%5.4%22.0%16.9%19.9%2.1%1.2%-1.8M14.1M-96.0K1.1638.538219494,58318,515