CQP Options History — March 2019

In March 2019, CQP traded between $41.81 and $44.11. ATM implied volatility averaged 24.8%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded below realized volatility by 8.5% (HV 20d: 33.4%). Max pain ranged from $38.00 to $43.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.28.

Notable Days

  • 2019-03-01: Highest Volume — 2,623 contracts
  • 2019-03-04: Largest IV spike — 7.9% change
  • 2019-03-04: Highest IV Rank — 40.4%
  • 2019-03-20: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.94$41.81$44.11$43.02$42.05
Max Pain$41.25$38.00$43.00$41.00$42.00
ATM IV24.8%23.0%26.8%24.8%24.1%
Expected Move7.3%6.9%9.7%7.1%7.3%
HV 20d33.4%24.1%37.5%34.7%24.1%
HV 60d31.0%30.5%31.8%30.8%30.7%
IV Rank33.0%26.1%40.4%33.0%30.4%
IV Percentile56.9%44.4%64.7%59.5%52.8%
Term Structure1.0%-1.0%14.3%1.0%1.2%
VWIV26.2%23.4%30.2%25.9%26.7%
Skew 25d3.9%2.4%4.7%3.5%4.5%
Skew 10d9.9%-7.5%18.7%-7.5%9.1%
Call IV 25d23.2%21.8%24.3%24.3%23.2%
Put IV 25d27.2%25.5%28.3%27.8%27.6%
Bid-Ask Spread %60.1428.5693.5384.9456.09
Gamma HHI0.270.160.500.160.31
Net GEX347.4K-853.1K768.4K711.2K398.4K
Net DEX-7.6M-18.6M2.0M-13.0M-2.3M
Net VEX-29.6K-34.9K-21.7K-34.9K-26.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.084.701.970.49
Total Volume842.4291282,6232,623421
Total OI11,021.7144,99217,05614,2385,751

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-03-01$43.02$41.0024.8%7.1%34.7%33.0%25.9%3.5%1.0%711.2K-13.0M-34.9K1.9784.948821,7417,3806,858
2019-03-04$42.78$41.0026.8%7.7%33.0%40.4%28.1%3.7%0.1%682.2K-11.3M-32.7K0.0887.18352287,3666,995
2019-03-05$42.64$41.0025.2%7.2%32.6%34.4%25.3%3.8%0.4%768.4K-10.6M-30.8K2.2188.375721,2677,5137,001
2019-03-06$42.11$41.0025.4%7.3%32.9%35.4%26.7%4.0%-0.3%412.7K-4.4M-33.1K3.2988.074121,3557,8658,269
2019-03-07$43.37$41.0025.8%7.4%34.3%36.8%24.3%4.2%-1.0%249.4K-12.5M-33.1K0.5590.635773187,7928,324
2019-03-08$44.11$41.0025.1%7.2%34.3%33.9%26.3%3.3%-0.5%322.0K-18.6M-33.0K0.2693.531,2213228,0508,302
2019-03-11$43.93$38.0026.4%6.9%34.4%39.2%27.9%4.1%-0.6%312.5K-18.2M-31.4K1.1459.271862128,5238,304
2019-03-12$43.81$39.0024.6%7.0%33.9%32.2%24.5%4.4%-0.1%21.2K-16.8M-29.6K0.1058.58721708,5268,511
2019-03-13$42.96$39.0024.6%7.1%34.7%32.2%25.8%4.1%0.3%-223.8K-8.2M-27.5K0.7059.357365128,3088,542
2019-03-14$43.12$40.0023.9%7.1%34.7%29.6%26.1%4.3%0.7%-853.1K-7.9M-26.4K1.0354.834664808,1268,930
2019-03-15$41.83$40.0024.9%7.1%36.0%33.5%25.3%4.5%-0.4%154.9K2.0M-21.7K0.4757.011,6007597,9608,950
2019-03-18$43.00$0.0024.2%7.2%37.5%30.8%23.4%4.7%0.9%468.7K-4.3M-28.7K0.5442.972511353,6701,322
2019-03-19$42.92$43.0023.4%7.1%36.9%27.4%24.4%2.4%1.1%483.2K-4.3M-29.6K0.6728.56136913,8431,451
2019-03-20$43.48$43.0024.3%9.7%36.5%31.1%30.2%4.4%14.3%526.3K-5.0M-31.8K1.0278.561501533,8631,537
2019-03-21$43.57$43.0023.0%6.9%33.4%26.1%24.4%2.7%1.2%543.3K-5.8M-31.2K0.7435.091501113,8961,543
2019-03-22$43.11$43.0024.2%7.2%33.3%30.7%26.7%3.7%1.1%521.0K-4.8M-30.4K1.0442.591171223,9771,550
2019-03-25$42.55$43.0025.1%7.3%33.5%34.1%26.8%4.4%0.5%455.0K-3.3M-28.0K0.6237.8779493,9961,560
2019-03-26$42.83$43.0025.3%7.5%33.0%34.7%27.4%4.2%0.6%499.2K-3.9M-29.0K4.7034.94371744,0591,612
2019-03-27$42.64$41.0024.8%7.2%28.8%33.0%27.0%4.0%-0.4%500.4K-3.7M-27.6K4.6743.86522434,0721,602
2019-03-28$41.81$42.0025.2%7.4%28.3%34.4%27.6%3.9%1.1%342.2K-1.7M-26.1K0.6440.632631684,0751,682
2019-03-29$42.05$42.0024.1%7.3%24.1%30.4%26.7%4.5%1.2%398.4K-2.3M-26.1K0.4956.092831384,0631,688