CQP Options History — January 2020

In January 2020, CQP traded between $38.74 and $42.56. ATM implied volatility averaged 19.5%, placing in the 16.4% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded below realized volatility by 4.7% (HV 20d: 24.2%). Max pain ranged from $37.00 to $41.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2020-01-16: Highest Volume — 437 contracts
  • 2020-01-15: Largest IV drop — 16.4% change
  • 2020-01-31: Highest IV Rank — 25.6%
  • 2020-01-31: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.64$38.74$42.56$39.40$38.74
Max Pain$39.67$37.00$41.00$41.00$40.00
ATM IV19.5%17.2%21.1%20.5%21.1%
Expected Move5.5%4.9%6.1%5.9%6.1%
HV 20d24.2%19.5%26.6%20.2%24.5%
HV 60d22.0%19.4%23.2%19.7%22.7%
IV Rank16.4%3.8%25.6%21.9%25.6%
IV Percentile15.8%2.0%37.3%19.8%37.3%
Term Structure1.3%0.4%2.2%1.5%1.2%
VWIV19.0%10.5%21.3%20.0%20.9%
Skew 25d3.6%1.6%5.3%3.1%4.3%
Skew 10d8.6%-2.2%14.0%6.3%11.3%
Call IV 25d17.9%15.4%20.3%18.6%20.3%
Put IV 25d21.4%18.9%24.5%21.8%24.5%
Bid-Ask Spread %61.7347.2085.0585.0558.20
Gamma HHI0.430.330.620.370.36
Net GEX-100.3K-323.5K515.6K-114.3K-79.8K
Net DEX6.0M1.2M8.8M7.3M8.8M
Net VEX-18.9K-25.2K-10.3K-17.2K-10.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.006.460.911.00
Total Volume118.14364378632
Total OI6,756.5716,1986,9496,8296,819

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$39.40$41.0020.5%5.9%20.2%21.9%20.0%3.1%1.5%-114.3K7.3M-17.2K0.9185.0545414,0162,813
2020-01-03$39.57$41.0018.9%5.4%19.5%13.6%18.5%5.3%1.9%-124.8K7.3M-17.0K0.0080.801904,0132,840
2020-01-06$39.98$37.0020.7%5.9%19.5%23.4%19.5%3.9%0.9%-111.9K6.9M-18.1K0.3450.8986294,0252,840
2020-01-07$41.43$37.0020.1%5.7%23.0%19.8%18.9%4.0%1.2%-6.6K4.2M-23.7K0.0551.13251124,0972,845
2020-01-08$40.44$37.0020.8%5.9%24.7%23.6%20.0%3.8%0.4%-89.7K5.9M-20.7K0.1653.4864104,0322,850
2020-01-09$40.75$37.0019.2%5.6%24.6%15.0%20.8%4.7%0.7%-90.9K5.8M-20.2K6.4649.8313844,0282,853
2020-01-10$40.66$39.0018.4%5.5%24.6%10.6%20.8%3.9%1.5%-92.6K5.9M-20.2K1.9266.7013254,0392,845
2020-01-13$41.20$40.0020.9%5.5%24.8%24.2%18.8%4.0%1.4%8.9K4.8M-21.7K2.7058.7010274,0482,862
2020-01-14$41.19$40.0021.1%5.6%24.5%25.4%19.4%3.6%0.4%-7.9K5.0M-21.2K0.0762.504034,0592,890
2020-01-15$42.56$40.0017.6%5.1%26.4%6.3%18.9%3.1%1.7%9.7K1.2M-25.2K0.0962.31213194,0572,887
2020-01-16$42.49$40.0018.1%5.2%26.4%8.8%18.5%3.5%1.3%-90.0K2.2M-23.9K0.0276.72427103,8972,891
2020-01-17$42.06$40.0017.2%4.9%26.6%3.8%17.5%3.7%1.8%515.6K3.5M-23.2K0.0966.43202183,9582,901
2020-01-21$41.83$39.0017.8%5.1%25.4%7.4%19.4%1.9%0.9%-312.9K4.9M-23.0K1.7169.97871493,4802,718
2020-01-22$41.54$41.0018.0%5.1%24.4%8.1%10.5%1.6%1.6%-323.5K5.5M-22.4K0.1263.66163193,5482,823
2020-01-23$41.14$41.0017.9%5.1%24.2%8.0%16.7%3.1%2.2%-305.5K6.3M-20.5K0.1364.1199133,6982,845
2020-01-24$40.33$41.0020.3%5.8%25.3%21.3%21.3%3.7%0.5%-243.7K7.5M-17.1K0.2458.871743,7632,858
2020-01-27$39.59$41.0021.0%6.0%26.0%25.0%19.7%3.4%1.2%-177.4K8.1M-14.4K0.2347.202663,7782,862
2020-01-28$39.68$41.0019.1%5.5%25.4%14.5%19.4%4.3%1.7%-185.5K8.2M-13.2K0.2852.7575213,7792,867
2020-01-29$39.58$40.0019.5%5.6%24.2%16.8%19.5%3.2%1.6%-159.6K8.1M-13.4K0.2069.26513,8472,883
2020-01-30$39.22$40.0020.4%5.8%24.2%21.6%19.2%2.4%1.0%-124.0K8.6M-11.1K0.2447.8083203,8512,883
2020-01-31$38.74$40.0021.1%6.1%24.5%25.6%20.9%4.3%1.2%-79.8K8.8M-10.3K1.0058.2016163,9282,891