CQP Options History — October 2019

In October 2019, CQP traded between $43.85 and $45.17. ATM implied volatility averaged 21.5%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.7% (HV 20d: 19.8%). Max pain ranged from $44.00 to $44.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.42.

Notable Days

  • 2019-10-01: Highest Volume — 4,132 contracts
  • 2019-10-08: Largest IV spike — 15.3% change
  • 2019-10-01: Highest IV Rank — 28.4%
  • 2019-10-01: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.46$43.85$45.17$44.80$44.82
Max Pain$44.00$44.00$44.00$44.00$44.00
ATM IV21.5%18.0%23.8%23.8%21.3%
Expected Move6.3%5.7%6.8%6.8%6.1%
HV 20d19.8%11.6%28.2%28.2%11.6%
HV 60d23.4%21.8%24.0%23.8%21.9%
IV Rank19.4%5.8%28.4%28.4%19.6%
IV Percentile18.5%0.8%36.9%36.9%18.3%
Term Structure-0.9%-3.0%1.3%0.3%-1.8%
VWIV21.4%18.7%25.1%23.9%21.1%
Skew 25d4.2%2.8%7.0%3.7%3.6%
Skew 10d9.4%4.5%18.0%12.9%10.2%
Call IV 25d19.7%18.2%22.0%22.0%20.1%
Put IV 25d23.9%21.4%26.3%25.7%23.7%
Bid-Ask Spread %66.0550.2680.0553.3172.78
Gamma HHI0.210.180.260.260.21
Net GEX565.9K311.5K809.0K456.7K794.1K
Net DEX-1.9M-3.9M-238.1K-3.9M-3.1M
Net VEX-57.7K-64.0K-22.3K-22.3K-55.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.420.009.421.021.76
Total Volume359.69674,1324,13247
Total OI8,718.0434,2549,7274,2549,197

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-10-01$44.80$44.0023.8%6.8%28.2%28.4%23.9%3.7%0.3%456.7K-3.9M-22.3K1.0253.312,0422,0903,2011,053
2019-10-02$44.62$44.0021.7%6.2%27.9%20.2%22.5%5.4%1.3%429.8K-2.0M-63.5K2.6050.2615395,2403,126
2019-10-03$45.17$44.0020.1%6.6%27.9%14.0%0.0%4.9%-0.6%487.4K-3.4M-64.0K0.0953.773435,2423,149
2019-10-04$44.78$44.0018.0%6.2%27.4%5.8%0.0%4.9%-0.4%493.0K-2.4M-61.8K0.1060.984145,2373,148
2019-10-07$44.95$44.0020.3%6.3%27.4%14.9%22.8%4.2%-1.2%512.1K-2.9M-60.9K0.0057.219205,2583,148
2019-10-08$44.12$44.0023.5%6.7%28.2%27.0%20.7%5.3%-1.6%428.9K-347.0K-58.3K0.1571.534775,2213,148
2019-10-09$44.35$44.0023.5%6.7%28.1%27.2%23.0%7.0%-0.6%458.3K-989.1K-58.0K0.0180.051,555165,1853,155
2019-10-10$44.12$44.0023.8%6.8%28.1%28.2%22.3%4.9%-2.4%311.5K-407.9K-60.3K0.1365.218591145,2713,170
2019-10-11$44.20$44.0023.2%6.6%22.3%25.8%19.6%5.0%-2.0%522.3K-1.6M-62.4K1.3369.45346,1253,184
2019-10-14$44.03$44.0022.6%6.5%18.1%23.6%22.7%4.4%-1.0%517.4K-1.1M-60.5K9.4260.57121136,1253,179
2019-10-15$44.17$44.0021.5%6.2%18.3%19.5%21.5%3.2%-0.9%552.6K-1.5M-60.2K0.2968.48726,1133,209
2019-10-16$43.85$44.0020.5%5.9%18.2%15.7%22.1%4.4%-0.5%502.6K-238.1K-58.2K1.0063.2661616,1163,211
2019-10-17$44.22$44.0019.7%5.7%18.7%12.5%18.7%3.2%0.2%653.5K-1.7M-60.6K2.2275.891032296,1563,260
2019-10-18$44.38$44.0020.7%5.9%18.8%16.1%19.5%3.2%0.1%614.2K-1.9M-60.3K0.0664.323626,2343,493
2019-10-21$44.83$44.0020.2%5.8%14.0%14.2%19.6%4.3%0.1%644.7K-3.4M-60.4K0.8960.0688785,4223,297
2019-10-22$44.58$44.0020.9%6.0%13.7%16.9%20.3%2.8%-0.4%643.7K-2.6M-59.8K0.1969.0954105,4833,365
2019-10-23$44.23$44.0021.3%6.1%13.4%18.7%21.3%4.3%-1.0%579.3K-1.0M-57.2K0.0066.9110605,4703,435
2019-10-24$44.13$44.0020.8%6.0%13.4%16.6%21.4%3.8%0.1%600.5K-640.8K-57.0K1.8369.846115,5573,495
2019-10-25$44.46$44.0020.8%6.0%13.5%16.6%18.7%2.9%-1.2%677.6K-1.9M-58.4K7.5069.054305,5553,523
2019-10-28$44.35$44.0022.7%6.5%12.7%24.2%25.1%4.0%-3.0%641.0K-1.4M-55.9K0.1767.3184145,5553,553
2019-10-29$44.52$44.0021.4%6.1%12.1%19.2%21.1%3.3%-1.6%685.8K-1.9M-56.4K0.4570.3947215,5413,568
2019-10-30$44.92$44.0021.5%6.2%12.4%20.2%21.7%3.8%-2.0%809.0K-3.5M-55.8K1.4879.3733495,5683,574
2019-10-31$44.82$44.0021.3%6.1%11.6%19.6%21.1%3.6%-1.8%794.1K-3.1M-55.7K1.7672.7817305,5803,617