CQP Options History — December 2019

In December 2019, CQP traded between $38.80 and $41.51. ATM implied volatility averaged 20.1%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 2.7% (HV 20d: 22.8%). Max pain ranged from $41.00 to $42.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2019-12-16: Highest Volume — 253 contracts
  • 2019-12-27: Largest IV spike — 10.0% change
  • 2019-12-03: Highest IV Rank — 35.4%
  • 2019-12-03: Largest Expected Move — 6.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.92$38.80$41.51$38.80$39.60
Max Pain$41.14$41.00$42.00$42.00$41.00
ATM IV20.1%17.1%23.4%23.1%19.5%
Expected Move5.8%4.9%6.7%6.6%5.6%
HV 20d22.8%19.9%25.6%23.1%20.1%
HV 60d20.1%18.5%22.6%22.3%19.7%
IV Rank18.8%3.2%35.4%33.8%16.4%
IV Percentile16.9%1.6%47.2%42.9%10.7%
Term Structure1.2%-1.8%2.5%-1.8%1.2%
VWIV19.1%14.4%23.5%21.8%14.4%
Skew 25d4.0%2.9%5.1%4.1%4.6%
Skew 10d10.9%6.1%16.1%12.6%12.6%
Call IV 25d18.5%16.2%21.5%21.5%18.0%
Put IV 25d22.5%20.2%26.6%25.7%22.7%
Bid-Ask Spread %71.0459.7482.2476.1974.30
Gamma HHI0.320.270.410.270.38
Net GEX-153.2K-218.5K-46.1K-204.9K-115.7K
Net DEX7.1M4.3M9.0M9.0M7.3M
Net VEX-23.3K-30.4K-17.3K-20.7K-17.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.021.140.240.06
Total Volume104.61962539489
Total OI7,730.7626,5278,4217,8996,792

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$38.80$42.0023.1%6.6%23.1%33.8%21.8%4.1%-1.8%-204.9K9.0M-20.7K0.2476.1976184,5013,398
2019-12-03$38.92$42.0023.4%6.7%22.9%35.4%23.4%5.1%-0.8%-203.4K8.9M-21.9K1.1474.4144504,5083,405
2019-12-04$39.54$42.0021.1%6.0%24.0%23.5%23.5%4.3%-0.3%-213.2K8.3M-24.0K0.0382.246524,5243,434
2019-12-05$39.23$41.0022.3%6.2%23.6%29.5%18.6%4.4%0.8%-207.9K8.6M-22.0K0.5059.74424,5553,434
2019-12-06$39.08$41.0020.4%6.0%23.6%20.1%22.0%3.5%1.4%-216.6K8.8M-21.4K0.0662.36197124,5573,436
2019-12-09$39.52$41.0020.7%5.8%24.0%21.6%19.5%4.3%1.8%-218.5K8.0M-23.1K0.0661.0413584,6193,437
2019-12-10$39.26$41.0022.3%6.2%24.0%29.5%19.2%3.7%1.2%-206.5K8.3M-21.7K0.0463.3410844,6773,448
2019-12-11$39.35$41.0021.8%6.2%23.7%26.9%18.3%4.5%1.2%-190.3K8.2M-21.9K1.0061.41444,7393,433
2019-12-12$39.76$41.0020.7%5.9%24.2%21.4%21.4%4.5%1.0%-179.9K7.5M-23.7K0.4565.131154,7393,377
2019-12-13$40.20$41.0019.8%5.7%24.7%17.1%19.1%3.0%2.0%-184.2K6.9M-24.8K0.1867.50143264,7503,377
2019-12-16$40.89$41.0018.5%5.3%25.6%10.2%18.7%4.1%2.0%-155.5K5.5M-27.3K1.1368.541191344,8633,395
2019-12-17$41.13$41.0018.8%5.4%23.5%11.7%18.6%3.7%2.0%-134.0K5.1M-28.5K0.7974.01110874,9243,401
2019-12-18$41.51$41.0017.9%5.1%22.4%7.3%18.3%4.6%2.5%-98.0K4.3M-30.4K0.0973.036464,9483,417
2019-12-19$40.61$41.0019.1%5.5%23.6%13.3%18.6%3.8%1.4%-185.7K6.1M-26.6K0.5676.1243244,9753,417
2019-12-20$39.85$41.0018.9%5.4%22.4%12.3%18.3%2.9%1.9%-116.0K7.7M-21.4K0.7371.1464475,0013,420
2019-12-23$40.48$41.0018.8%5.4%23.1%12.0%17.7%4.2%1.7%-100.8K6.1M-23.3K0.3275.24186593,7862,741
2019-12-24$40.54$41.0017.1%4.9%20.6%3.2%16.2%3.9%2.2%-55.5K5.8M-24.7K0.1375.673243,9192,783
2019-12-26$40.75$41.0017.9%5.1%19.9%7.5%18.3%4.0%1.8%-46.1K5.4M-25.3K0.3978.9446183,9492,789
2019-12-27$40.09$41.0019.7%5.7%20.0%17.0%18.7%3.3%1.1%-72.5K6.4M-22.0K0.0274.386013,9442,803
2019-12-30$39.24$41.0021.2%6.1%20.0%24.8%16.1%3.8%1.2%-111.3K7.5M-17.4K0.2377.0370163,9272,804
2019-12-31$39.60$41.0019.5%5.6%20.1%16.4%14.4%4.6%1.2%-115.7K7.3M-17.3K0.0674.308453,9792,813