CQP Options History — November 2019

In November 2019, CQP traded between $39.03 and $43.98. ATM implied volatility averaged 20.0%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 2.5% (HV 20d: 17.4%). Max pain ranged from $42.00 to $44.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.47.

Notable Days

2019-11-18: Highest Volume — 577 contracts
2019-11-11: Largest IV spike — 33.9% change
2019-11-29: Highest IV Rank — 31.4%
2019-11-29: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.64	$39.03	$43.98	$43.71	$39.03
Max Pain	$42.90	$42.00	$44.00	$44.00	$42.00
ATM IV	20.0%	16.9%	22.6%	17.1%	22.6%
Expected Move	5.7%	4.9%	6.5%	4.9%	6.5%
HV 20d	17.4%	13.8%	24.1%	14.3%	24.1%
HV 60d	21.6%	20.7%	22.5%	22.1%	22.5%
IV Rank	17.3%	1.9%	31.4%	2.4%	31.4%
IV Percentile	13.4%	0.4%	36.1%	0.4%	36.1%
Term Structure	1.3%	-0.7%	2.9%	0.8%	-0.7%
VWIV	19.1%	17.7%	24.5%	17.8%	24.5%
Skew 25d	3.7%	1.6%	5.5%	5.5%	3.9%
Skew 10d	8.0%	-1.7%	14.3%	6.4%	14.2%
Call IV 25d	18.3%	13.6%	20.6%	13.6%	20.6%
Put IV 25d	22.0%	19.1%	24.5%	19.1%	24.5%
Bid-Ask Spread %	75.17	37.82	87.88	74.78	75.15
Gamma HHI	0.28	0.22	0.37	0.23	0.27
Net GEX	23.1K	-254.4K	719.3K	572.4K	-204.4K
Net DEX	5.7M	1.3M	8.9M	2.0M	8.7M
Net VEX	-36.7K	-49.0K	-22.4K	-49.0K	-23.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.01	1.89	1.86	0.19
Total Volume	197.95	48	577	123	92
Total OI	8,600.15	7,035	9,751	9,233	7,859

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
2019-11-01	$43.71	$44.00	17.1%	4.9%	14.3%	2.4%	17.8%	5.5%	0.8%	572.4K	2.0M	-49.0K	1.86	74.78	43	80	5,586	3,647
2019-11-04	$43.98	$43.00	19.1%	5.2%	14.4%	10.4%	17.7%	1.6%	2.3%	719.3K	1.3M	-48.7K	0.01	75.64	306	3	5,594	3,786
2019-11-05	$43.37	$43.00	17.1%	5.3%	13.8%	3.0%	18.0%	3.1%	2.6%	429.6K	4.0M	-44.0K	1.05	76.91	154	161	5,859	3,786
2019-11-06	$42.67	$43.00	19.4%	5.4%	14.6%	14.2%	18.2%	3.3%	2.5%	307.5K	4.8M	-45.3K	0.62	83.59	170	106	5,886	3,865
2019-11-07	$42.37	$43.00	20.7%	5.7%	14.7%	20.0%	18.7%	3.3%	2.3%	185.4K	4.7M	-43.7K	1.89	87.88	38	72	5,977	3,692
2019-11-08	$42.59	$43.00	16.9%	5.3%	14.8%	1.9%	18.0%	4.4%	2.1%	196.7K	4.6M	-45.0K	0.13	84.04	71	9	5,961	3,738
2019-11-11	$42.40	$43.00	22.6%	5.6%	14.8%	29.3%	19.3%	3.9%	2.0%	-16.6K	5.4M	-40.9K	0.50	79.11	133	67	5,891	3,666
2019-11-12	$42.77	$43.00	20.1%	5.4%	15.2%	17.3%	18.6%	3.6%	2.0%	169.7K	4.2M	-42.3K	0.43	76.40	100	43	5,982	3,587
2019-11-13	$42.66	$43.00	18.9%	5.4%	15.1%	11.6%	18.6%	4.2%	2.6%	26.2K	4.5M	-41.2K	0.31	75.10	84	26	6,036	3,586
2019-11-14	$42.75	$43.00	18.3%	5.2%	14.7%	9.2%	17.9%	3.2%	2.9%	-55.1K	4.2M	-41.8K	0.02	79.00	47	1	6,068	3,587
2019-11-15	$42.41	$43.00	19.0%	5.5%	14.7%	12.9%	18.2%	3.4%	2.6%	-92.0K	5.0M	-38.9K	0.35	77.69	106	37	6,083	3,606
2019-11-18	$41.17	$43.00	19.9%	5.7%	16.9%	17.6%	18.1%	3.4%	0.6%	-171.0K	6.5M	-32.5K	0.43	81.67	404	173	3,905	3,130
2019-11-19	$40.33	$43.00	21.6%	6.2%	17.9%	26.2%	19.3%	3.5%	0.3%	-224.4K	7.7M	-30.1K	0.50	74.89	233	117	3,896	3,351
2019-11-20	$39.94	$43.00	22.1%	6.3%	17.9%	28.5%	20.2%	4.1%	0.2%	-231.0K	8.2M	-28.5K	0.22	83.24	49	11	3,894	3,374
2019-11-21	$41.05	$43.00	21.1%	6.0%	21.3%	23.4%	20.3%	4.2%	-0.1%	-219.2K	6.8M	-33.3K	0.12	73.47	116	14	3,861	3,356
2019-11-22	$40.83	$43.00	20.1%	5.8%	20.9%	18.2%	18.4%	3.8%	0.6%	-220.1K	6.9M	-31.1K	0.13	37.82	78	10	3,950	3,350
2019-11-25	$39.69	$43.00	20.5%	5.9%	22.6%	20.6%	21.1%	4.6%	-0.2%	-254.4K	8.6M	-24.5K	0.38	77.94	271	103	3,991	3,349
2019-11-26	$39.14	$42.00	21.4%	6.1%	22.5%	25.1%	19.3%	3.9%	-0.2%	-228.8K	8.9M	-22.4K	0.19	51.11	109	21	4,221	3,373
2019-11-27	$39.86	$42.00	20.9%	6.0%	23.5%	22.4%	18.7%	2.7%	0.2%	-226.9K	7.7M	-27.1K	0.15	78.07	261	40	4,287	3,387
2019-11-29	$39.03	$42.00	22.6%	6.5%	24.1%	31.4%	24.5%	3.9%	-0.7%	-204.4K	8.7M	-23.1K	0.19	75.15	77	15	4,446	3,413