CQP Options History — February 2020

In February 2020, CQP traded between $33.67 and $38.99. ATM implied volatility averaged 28.0%, placing in the 56.5% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 0.4% (HV 20d: 27.6%). Max pain ranged from $40.00 to $43.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 2.06.

Notable Days

2020-02-25: Highest Volume — 1,090 contracts
2020-02-06: Largest IV spike — 22.0% change
2020-02-25: Highest IV Rank — 100.0%
2020-02-28: Largest Expected Move — 14.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.38	$33.67	$38.99	$38.53	$33.67
Max Pain	$42.53	$40.00	$43.00	$40.00	$43.00
ATM IV	28.0%	19.7%	49.3%	20.5%	49.3%
Expected Move	8.0%	5.7%	14.1%	5.9%	14.1%
HV 20d	27.6%	20.3%	30.8%	24.5%	29.6%
HV 60d	25.2%	22.5%	26.8%	22.6%	25.2%
IV Rank	56.5%	17.9%	100.0%	22.2%	100.0%
IV Percentile	75.9%	16.7%	100.0%	25.8%	100.0%
Term Structure	-2.1%	-7.7%	2.1%	1.4%	-7.7%
VWIV	26.2%	14.2%	51.8%	22.2%	51.8%
Skew 25d	5.4%	2.5%	9.9%	5.3%	9.9%
Skew 10d	12.0%	6.0%	21.1%	13.8%	21.1%
Call IV 25d	25.8%	17.9%	46.7%	17.9%	46.7%
Put IV 25d	31.3%	22.9%	56.7%	23.2%	56.7%
Bid-Ask Spread %	66.39	57.09	78.70	60.79	61.47
Gamma HHI	0.22	0.15	0.36	0.33	0.17
Net GEX	14.0K	-77.5K	106.1K	-60.6K	78.1K
Net DEX	8.0M	6.3M	9.3M	9.0M	6.3M
Net VEX	-12.9K	-25.9K	-6.7K	-8.5K	-25.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.06	0.00	14.82	6.12	14.82
Total Volume	232.316	13	1,090	121	174
Total OI	7,714.895	6,823	9,165	6,823	9,165

Daily Data (19 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
2020-02-03	$38.53	$40.00	20.5%	5.9%	24.5%	22.2%	22.2%	5.3%	1.4%	-60.6K	9.0M	-8.5K	6.12	60.79	17	104	3,943	2,880
2020-02-04	$38.92	$40.00	19.8%	5.7%	24.5%	18.5%	14.2%	2.5%	2.1%	-77.5K	8.8M	-10.8K	0.00	71.64	174	0	3,951	2,968
2020-02-05	$38.99	$40.00	19.7%	5.7%	20.3%	17.9%	16.2%	3.0%	2.1%	-50.8K	8.9M	-10.2K	0.16	66.15	89	14	4,112	2,966
2020-02-06	$37.12	$43.00	24.1%	7.0%	25.1%	41.8%	23.1%	4.8%	-1.1%	-39.3K	9.3M	-7.9K	0.16	65.50	158	25	4,155	2,968
2020-02-07	$37.26	$43.00	24.7%	7.0%	24.9%	45.1%	21.1%	4.7%	-1.7%	-36.8K	8.9M	-9.4K	0.25	69.37	96	24	4,293	2,949
2020-02-10	$35.62	$43.00	26.6%	7.5%	28.7%	55.8%	24.6%	5.1%	-2.3%	-22.3K	9.0M	-6.7K	0.30	63.58	117	35	4,343	2,881
2020-02-11	$36.52	$43.00	25.7%	7.3%	30.1%	50.6%	23.6%	5.6%	-2.5%	-22.8K	8.8M	-8.0K	0.05	61.59	404	21	4,414	2,873
2020-02-12	$37.02	$43.00	24.4%	7.0%	30.8%	43.6%	23.8%	3.8%	-1.6%	9.6K	8.0M	-12.2K	0.11	66.18	74	8	4,779	2,868
2020-02-13	$36.67	$43.00	24.5%	7.0%	27.4%	44.3%	23.1%	5.9%	-1.6%	17.2K	8.2M	-11.3K	0.24	66.49	37	9	4,816	2,873
2020-02-14	$36.68	$43.00	23.8%	6.8%	27.4%	40.1%	20.3%	5.1%	-1.1%	22.6K	8.2M	-10.9K	0.18	73.81	111	20	4,853	2,870
2020-02-18	$36.74	$43.00	24.7%	7.1%	27.6%	45.3%	21.2%	4.9%	-1.7%	28.7K	8.0M	-11.7K	0.34	74.27	73	25	4,935	2,854
2020-02-19	$37.19	$43.00	24.6%	7.0%	28.4%	44.5%	24.2%	3.5%	-1.7%	46.5K	7.3M	-15.1K	0.30	74.06	73	22	5,147	2,848
2020-02-20	$36.66	$43.00	26.7%	7.7%	28.5%	56.3%	24.2%	5.2%	-4.0%	49.4K	7.6M	-14.2K	12.00	78.70	1	12	5,185	2,869
2020-02-21	$36.09	$43.00	27.9%	8.0%	28.7%	62.8%	28.8%	5.2%	-3.3%	19.9K	7.9M	-12.9K	0.61	69.09	175	107	5,186	2,873
2020-02-24	$35.19	$43.00	31.9%	9.1%	29.1%	85.0%	30.3%	5.6%	-2.2%	44.1K	7.6M	-13.9K	1.12	59.36	155	173	4,788	2,843
2020-02-25	$34.37	$43.00	35.4%	10.2%	29.4%	100.0%	29.9%	6.9%	-3.9%	56.8K	7.4M	-13.7K	0.03	62.16	1,063	27	4,932	2,791
2020-02-26	$34.34	$43.00	35.5%	10.2%	29.3%	100.0%	33.0%	8.8%	-4.4%	106.1K	6.5M	-20.4K	0.89	57.09	127	113	5,802	2,798
2020-02-27	$33.73	$43.00	41.4%	11.9%	29.5%	100.0%	42.9%	7.1%	-4.9%	96.5K	6.6M	-21.3K	1.40	60.16	232	325	5,919	2,893
2020-02-28	$33.67	$43.00	49.3%	14.1%	29.6%	100.0%	51.8%	9.9%	-7.7%	78.1K	6.3M	-25.9K	14.82	61.47	11	163	6,117	3,048