CQP Options History — September 2019

In September 2019, CQP traded between $43.83 and $48.20. ATM implied volatility averaged 22.1%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded below realized volatility by 3.3% (HV 20d: 25.5%). Max pain ranged from $43.00 to $46.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.48.

Notable Days

2019-09-17: Highest Volume — 1,802 contracts
2019-09-16: Largest IV spike — 15.9% change
2019-09-16: Highest IV Rank — 30.1%
2019-09-16: Largest Expected Move — 7.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.58	$43.83	$48.20	$43.83	$45.38
Max Pain	$44.40	$43.00	$46.00	$43.00	$44.00
ATM IV	22.1%	18.7%	24.3%	23.4%	22.0%
Expected Move	6.3%	5.4%	7.0%	6.7%	6.3%
HV 20d	25.5%	19.9%	29.8%	23.1%	28.3%
HV 60d	22.3%	20.4%	24.3%	20.4%	23.8%
IV Rank	21.9%	8.6%	30.1%	26.8%	21.2%
IV Percentile	24.6%	2.0%	41.7%	34.9%	21.0%
Term Structure	0.7%	-1.2%	1.7%	-0.7%	1.7%
VWIV	21.5%	17.0%	24.6%	23.1%	20.7%
Skew 25d	4.6%	0.6%	8.5%	6.6%	4.0%
Skew 10d	11.4%	6.0%	34.0%	16.4%	10.0%
Call IV 25d	19.9%	13.9%	22.0%	21.3%	20.1%
Put IV 25d	24.5%	19.4%	27.9%	27.9%	24.1%
Bid-Ask Spread %	62.12	44.10	88.92	83.49	52.61
Gamma HHI	0.29	0.18	0.38	0.34	0.24
Net GEX	1.3M	377.5K	2.8M	1.7M	469.5K
Net DEX	-14.7M	-31.3M	-3.5M	-8.9M	-4.9M
Net VEX	-26.9K	-36.8K	-19.5K	-36.1K	-22.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.05	2.80	0.92	0.54
Total Volume	264.15	19	1,802	23	60
Total OI	7,646.75	3,832	9,788	8,826	4,213

Daily Data (20 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
2019-09-03	$43.83	$43.00	23.4%	6.7%	23.1%	26.8%	23.1%	6.6%	-0.7%	1.7M	-8.9M	-36.1K	0.92	83.49	12	11	7,201	1,625
2019-09-04	$44.43	$43.00	22.9%	6.6%	23.6%	24.7%	22.1%	5.0%	-1.1%	2.0M	-11.9M	-36.8K	0.29	86.15	68	20	7,209	1,635
2019-09-05	$44.99	$45.00	20.2%	5.8%	23.9%	14.5%	20.4%	5.5%	0.6%	2.1M	-15.3M	-35.9K	0.18	65.56	66	12	7,229	1,629
2019-09-06	$44.24	$45.00	20.1%	5.7%	23.6%	13.9%	17.8%	4.9%	1.7%	2.2M	-10.5M	-34.1K	0.10	60.81	123	12	7,234	1,628
2019-09-09	$44.33	$45.00	22.8%	6.2%	20.6%	24.4%	23.2%	4.3%	1.1%	2.3M	-11.3M	-32.2K	0.32	57.36	47	15	7,318	1,638
2019-09-10	$44.53	$45.00	20.5%	5.8%	20.4%	15.7%	21.3%	4.3%	1.2%	2.5M	-12.4M	-31.9K	0.65	56.00	23	15	7,353	1,645
2019-09-11	$44.82	$45.00	19.9%	5.7%	19.9%	13.2%	17.7%	4.5%	1.7%	2.8M	-14.4M	-30.8K	0.08	61.48	24	2	7,357	1,659
2019-09-12	$44.59	$45.00	18.7%	5.4%	19.9%	8.6%	19.3%	8.5%	1.4%	2.8M	-12.6M	-29.6K	1.00	87.65	20	20	7,349	1,657
2019-09-13	$46.67	$45.00	20.9%	6.0%	25.5%	17.3%	19.9%	0.6%	1.4%	1.8M	-26.1M	-22.3K	0.07	88.92	325	23	7,343	1,636
2019-09-16	$48.20	$45.00	24.3%	7.0%	27.0%	30.1%	22.7%	6.2%	-0.6%	732.6K	-31.3M	-19.5K	0.37	73.76	816	300	7,560	1,633
2019-09-17	$48.02	$46.00	23.9%	6.9%	27.0%	28.7%	17.0%	5.1%	-1.2%	703.3K	-30.1M	-22.3K	0.08	59.36	1,668	134	7,886	1,902
2019-09-18	$47.55	$44.00	23.1%	6.6%	27.1%	25.6%	22.0%	4.0%	-0.1%	880.1K	-28.0M	-23.7K	0.06	55.09	181	10	7,802	1,919
2019-09-19	$47.56	$44.00	23.0%	6.6%	26.8%	25.4%	23.9%	4.2%	1.0%	675.4K	-28.2M	-23.3K	0.23	48.72	133	30	7,840	1,919
2019-09-20	$47.48	$44.00	23.0%	6.6%	25.9%	25.1%	24.6%	4.4%	0.3%	673.9K	-28.0M	-23.3K	0.07	62.76	413	30	7,850	1,929
2019-09-23	$45.67	$44.00	22.8%	6.5%	29.4%	24.5%	23.1%	4.4%	0.8%	383.1K	-4.9M	-22.6K	1.09	56.24	106	116	2,919	913
2019-09-24	$45.22	$44.00	23.1%	6.6%	29.7%	25.6%	22.1%	4.5%	1.2%	377.5K	-4.2M	-22.7K	0.05	47.20	167	8	2,970	1,002
2019-09-25	$44.70	$44.00	22.9%	6.6%	29.8%	25.0%	22.1%	3.7%	0.9%	404.5K	-3.6M	-22.8K	0.26	44.91	145	38	3,052	1,000
2019-09-26	$44.61	$44.00	22.8%	6.5%	29.8%	24.4%	23.3%	3.9%	1.4%	407.7K	-3.5M	-22.8K	2.80	44.10	5	14	3,116	1,017
2019-09-27	$44.84	$44.00	22.3%	6.4%	28.1%	22.6%	22.9%	4.2%	1.6%	431.3K	-3.9M	-22.7K	0.37	50.16	52	19	3,129	1,019
2019-09-30	$45.38	$44.00	22.0%	6.3%	28.3%	21.2%	20.7%	4.0%	1.7%	469.5K	-4.9M	-22.4K	0.54	52.61	39	21	3,179	1,034