CQP Options History — November 2018

In November 2018, CQP traded between $33.32 and $37.73. ATM implied volatility averaged 31.6%, placing in the 58.9% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded above realized volatility by 1.0% (HV 20d: 30.6%). Max pain ranged from $36.00 to $38.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 3.33.

Notable Days

  • 2018-11-29: Highest Volume — 4,584 contracts
  • 2018-11-14: Largest IV drop — 25.0% change
  • 2018-11-01: Highest IV Rank — 95.8%
  • 2018-11-01: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.47$33.32$37.73$34.02$37.73
Max Pain$37.81$36.00$38.00$36.00$38.00
ATM IV31.6%26.4%41.2%41.2%29.1%
Expected Move8.6%7.3%11.8%11.8%8.3%
HV 20d30.6%23.8%36.4%23.9%35.7%
HV 60d23.1%19.5%26.7%20.6%26.7%
IV Rank58.9%39.1%95.8%95.8%49.5%
IV Percentile93.9%87.7%99.6%99.6%90.5%
Term Structure-0.4%-11.8%22.6%-11.8%-0.9%
VWIV27.0%17.6%36.4%36.4%28.7%
Skew 25d3.9%1.7%6.8%1.7%5.3%
Skew 10d13.7%6.6%29.4%16.5%11.9%
Call IV 25d28.0%24.8%36.7%36.7%27.8%
Put IV 25d31.9%27.9%38.5%38.5%33.1%
Bid-Ask Spread %65.1727.29100.6956.0794.31
Gamma HHI0.690.560.770.620.74
Net GEX-729.9K-1.1M-416.2K-437.9K-990.9K
Net DEX17.2M10.6M21.9M21.4M12.7M
Net VEX-40.6K-70.2K-28.4K-32.1K-70.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.330.7815.332.3815.33
Total Volume1,524.6676644,5841,1644,557
Total OI11,156.1910,58112,64410,96312,644

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$34.02$36.0041.2%11.8%23.9%95.8%36.4%1.7%-11.8%-437.9K21.4M-32.1K2.3856.073448202,6778,286
2018-11-02$33.52$36.0041.2%11.8%23.8%95.6%34.9%2.7%-10.7%-440.9K21.0M-31.7K2.4069.263428202,6448,309
2018-11-05$33.32$38.0036.4%8.8%23.8%77.1%22.4%3.0%-2.3%-416.2K21.1M-30.6K2.7636.463269002,6758,346
2018-11-06$33.51$38.0033.0%8.5%23.8%64.4%27.1%6.8%-2.5%-423.4K21.9M-28.4K2.6927.293359002,7138,397
2018-11-07$34.10$38.0030.2%7.8%25.2%53.5%19.9%4.5%-0.8%-522.7K20.2M-33.8K1.7949.425008952,7748,398
2018-11-08$35.26$38.0026.4%7.3%27.2%39.1%17.6%2.5%1.2%-710.7K17.7M-42.8K2.0274.774529152,8128,414
2018-11-09$35.29$38.0028.8%7.5%26.7%48.4%25.8%3.9%-0.5%-698.8K18.1M-41.8K2.1445.774299202,8358,426
2018-11-12$35.09$38.0034.8%8.1%26.8%71.1%25.7%3.9%-1.3%-626.3K18.9M-37.2K2.1730.444419572,8598,430
2018-11-13$34.24$38.0037.4%8.0%26.2%81.1%19.8%2.4%-1.1%-506.4K21.1M-30.1K2.1335.934419382,8538,506
2018-11-14$34.55$38.0028.0%8.0%25.6%45.3%21.7%3.6%-1.4%-554.3K20.5M-32.4K2.2636.844199482,8558,492
2018-11-15$36.78$38.0026.7%7.7%34.4%40.3%25.9%3.7%-2.1%-985.1K13.7M-47.0K0.9237.714624232,8748,509
2018-11-16$36.50$38.0027.8%8.0%34.5%44.5%26.0%4.6%-2.6%-992.7K15.0M-45.2K0.7836.405063942,9388,549
2018-11-19$36.34$38.0028.8%8.3%34.0%48.3%28.7%4.1%22.6%-928.7K15.7M-43.7K2.2088.673968722,6088,187
2018-11-20$35.33$38.0030.6%8.8%34.7%55.0%19.7%5.1%-1.0%-673.7K17.4M-38.3K2.5787.833899992,6497,932
2018-11-21$36.33$38.0029.7%8.5%35.0%51.7%30.8%3.2%0.1%-894.2K15.1M-41.8K0.91100.693673352,6497,947
2018-11-23$35.33$38.0031.0%8.9%36.4%56.7%31.6%3.0%-0.7%-661.3K17.7M-35.7K0.8991.433673272,6457,942
2018-11-26$35.73$38.0030.6%8.8%36.3%55.1%32.1%5.5%0.3%-792.1K17.5M-34.2K0.9489.983623402,6457,965
2018-11-27$36.89$38.0028.9%8.3%36.0%48.5%30.6%5.2%7.0%-1.1M12.3M-41.8K1.0792.453203442,6487,986
2018-11-28$37.37$38.0032.2%9.2%36.1%61.4%29.7%4.0%-1.3%-1.1M12.4M-54.1K7.7496.963012,3312,6758,811
2018-11-29$37.66$38.0030.1%8.6%35.7%53.4%30.9%2.9%0.6%-924.5K10.6M-59.2K13.7489.823114,2732,6949,082
2018-11-30$37.73$38.0029.1%8.3%35.7%49.5%28.7%5.3%-0.9%-990.9K12.7M-70.2K15.3394.312794,2782,6859,959