CQP Options History — September 2018

In September 2018, CQP traded between $38.23 and $39.97. ATM implied volatility averaged 20.1%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 3.2% (HV 20d: 16.9%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 1.43.

Notable Days

2018-09-18: Highest Volume — 2,247 contracts
2018-09-11: Largest IV spike — 7.7% change
2018-09-11: Highest IV Rank — 36.1%
2018-09-12: Largest Expected Move — 6.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$38.94	$38.23	$39.97	$38.24	$39.77
Max Pain	$36.68	$36.00	$38.00	$38.00	$37.00
ATM IV	20.1%	18.5%	21.9%	19.9%	18.8%
Expected Move	5.8%	5.3%	6.1%	5.7%	5.4%
HV 20d	16.9%	11.7%	21.8%	21.8%	11.9%
HV 60d	19.4%	19.1%	21.0%	21.0%	19.3%
IV Rank	24.8%	14.7%	36.1%	23.7%	16.8%
IV Percentile	19.8%	4.8%	45.6%	16.3%	7.5%
Term Structure	0.7%	-0.4%	2.6%	-0.4%	1.7%
VWIV	20.3%	17.5%	21.5%	21.1%	18.4%
Skew 25d	2.6%	2.1%	3.2%	3.0%	2.1%
Skew 10d	6.8%	-0.1%	12.7%	7.7%	5.3%
Call IV 25d	19.1%	17.5%	20.6%	18.6%	18.4%
Put IV 25d	21.8%	20.4%	23.0%	21.6%	20.5%
Bid-Ask Spread %	39.45	18.15	111.61	35.91	27.23
Gamma HHI	0.50	0.31	0.73	0.31	0.65
Net GEX	-1.3M	-1.9M	-359.1K	-1.7M	-790.9K
Net DEX	7.8M	3.3M	12.2M	11.4M	4.2M
Net VEX	-81.1K	-90.8K	-71.6K	-90.8K	-71.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.43	0.43	2.18	1.09	0.44
Total Volume	1,743.158	578	2,247	1,633	985
Total OI	20,660.105	11,151	24,397	23,118	11,768

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
2018-09-04	$38.24	$38.00	19.9%	5.7%	21.8%	23.7%	21.1%	3.0%	-0.4%	-1.7M	11.4M	-90.8K	1.09	35.91	782	851	4,583	18,535
2018-09-05	$38.27	$38.00	20.5%	5.9%	21.8%	27.4%	21.0%	2.6%	0.2%	-1.7M	11.5M	-89.2K	1.13	30.62	783	887	4,588	18,531
2018-09-06	$38.40	$36.00	20.9%	5.9%	21.8%	29.5%	21.5%	2.8%	0.7%	-1.6M	10.2M	-87.1K	1.08	63.61	782	846	4,590	18,550
2018-09-07	$38.53	$36.00	19.5%	5.7%	20.5%	21.2%	20.8%	3.0%	1.6%	-1.5M	9.2M	-86.0K	1.92	33.05	757	1,451	4,594	18,553
2018-09-10	$38.67	$36.00	20.3%	5.9%	18.6%	26.2%	20.9%	3.2%	-0.1%	-1.5M	8.8M	-88.9K	2.03	27.16	716	1,457	4,592	19,556
2018-09-11	$38.48	$36.00	21.9%	6.0%	18.7%	36.1%	21.0%	3.0%	1.1%	-1.6M	10.4M	-88.8K	1.81	25.56	798	1,448	4,553	19,575
2018-09-12	$38.23	$36.00	21.4%	6.1%	17.7%	32.8%	21.4%	2.4%	0.3%	-1.9M	12.2M	-88.7K	1.78	39.12	805	1,429	4,660	19,582
2018-09-13	$38.30	$36.00	20.5%	5.9%	15.9%	27.3%	21.2%	2.7%	0.3%	-1.8M	11.7M	-87.2K	1.99	57.01	722	1,435	4,670	19,595
2018-09-14	$38.63	$36.00	19.6%	5.6%	15.8%	21.3%	19.5%	2.1%	0.1%	-1.5M	9.1M	-83.7K	2.18	32.50	665	1,448	4,673	19,595
2018-09-17	$38.23	$36.00	20.7%	5.9%	16.2%	28.7%	20.3%	2.1%	0.5%	-1.9M	11.4M	-81.9K	2.06	36.93	703	1,448	4,671	19,603
2018-09-18	$38.66	$37.00	20.0%	5.7%	16.0%	24.1%	20.2%	2.5%	0.7%	-1.5M	8.0M	-78.8K	1.86	22.17	787	1,460	4,687	19,608
2018-09-19	$38.94	$37.00	19.9%	5.7%	16.1%	23.5%	20.1%	3.0%	2.6%	-906.2K	5.8M	-77.7K	1.97	65.28	718	1,415	4,765	19,632
2018-09-20	$39.60	$37.00	19.8%	5.7%	16.4%	22.9%	19.6%	2.9%	-0.2%	-359.1K	3.3M	-75.1K	1.83	33.28	762	1,392	4,742	19,622
2018-09-21	$39.72	$37.00	19.9%	5.7%	16.1%	23.7%	20.2%	2.4%	0.4%	-825.1K	3.4M	-74.5K	1.86	24.17	767	1,423	4,703	19,626
2018-09-24	$39.39	$37.00	20.4%	5.9%	16.1%	26.8%	21.3%	2.3%	1.4%	-823.4K	5.6M	-74.1K	0.67	18.15	347	231	2,537	8,614
2018-09-25	$39.97	$37.00	20.2%	5.8%	15.6%	25.1%	20.2%	2.2%	-0.1%	-815.3K	3.8M	-72.4K	0.71	46.54	390	277	2,655	8,632
2018-09-26	$39.86	$37.00	19.3%	5.5%	12.7%	19.8%	19.2%	3.1%	1.7%	-820.7K	4.4M	-72.5K	0.43	111.61	675	289	2,682	8,657
2018-09-27	$39.97	$37.00	18.5%	5.3%	11.7%	14.7%	17.5%	2.9%	1.7%	-750.9K	3.4M	-71.6K	0.45	19.72	684	305	3,081	8,682
2018-09-28	$39.77	$37.00	18.8%	5.4%	11.9%	16.8%	18.4%	2.1%	1.7%	-790.9K	4.2M	-71.9K	0.44	27.23	686	299	3,088	8,680