CQP Options History — April 2020

In April 2020, CQP traded between $25.22 and $35.64. ATM implied volatility averaged 74.1%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded below realized volatility by 22.1% (HV 20d: 96.3%). Max pain ranged from $22.00 to $31.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 1.56.

Notable Days

  • 2020-04-29: Highest Volume — 220 contracts
  • 2020-04-23: Largest IV drop — 25.7% change
  • 2020-04-01: Highest IV Rank — 55.1%
  • 2020-04-01: Largest Expected Move — 25.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.10$25.22$35.64$25.22$33.49
Max Pain$28.43$22.00$31.00$30.00$30.00
ATM IV74.1%53.9%89.9%89.9%61.1%
Expected Move21.4%15.5%25.8%25.8%17.5%
HV 20d96.3%46.6%154.2%149.2%56.7%
HV 60d91.4%88.1%94.4%88.1%94.4%
IV Rank43.2%28.1%55.1%55.1%33.5%
IV Percentile89.8%85.3%94.0%94.0%86.1%
Term Structure-1.6%-12.2%15.9%2.5%-1.0%
VWIV74.8%51.3%102.5%85.3%59.0%
Skew 25d21.1%11.4%32.1%32.1%14.7%
Skew 10d28.0%5.2%44.1%11.6%39.4%
Call IV 25d64.3%42.0%75.4%73.5%55.3%
Put IV 25d85.4%61.7%105.6%105.6%70.1%
Bid-Ask Spread %89.6264.35115.12100.8095.99
Gamma HHI0.130.110.170.120.15
Net GEX77.2K33.1K157.3K33.1K131.2K
Net DEX-1.4M-4.4M553.9K553.9K-3.1M
Net VEX-21.8K-27.0K-14.2K-14.2K-26.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.0016.1416.141.02
Total Volume112.33313220120214
Total OI4,782.2384,3995,0644,5164,908

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$25.22$30.0089.9%25.8%149.2%55.1%85.3%32.1%2.5%33.1K553.9K-14.2K16.14100.8071133,2891,227
2020-04-02$27.83$22.0085.2%23.0%154.2%51.5%83.2%21.0%-4.3%45.9K-204.5K-18.9K0.2575.25161413,3031,340
2020-04-03$27.86$26.0080.7%25.4%153.8%48.2%0.0%22.9%-12.2%48.2K-587.1K-20.6K0.6883.8634233,4321,379
2020-04-06$27.78$26.0080.1%24.2%145.6%47.7%80.0%23.0%-5.3%51.6K-334.8K-18.7K1.8278.3434623,4431,382
2020-04-07$26.66$26.0079.3%24.0%145.4%47.1%88.0%20.8%-5.3%44.2K68.6K-17.8K2.4464.359223,4611,411
2020-04-08$27.92$27.0086.9%24.9%146.0%52.8%102.5%24.7%-10.7%52.7K-515.2K-20.2K0.1373.054663,4571,427
2020-04-09$28.23$27.0085.2%24.4%139.7%51.5%84.7%24.6%-9.3%53.6K-474.7K-20.3K0.6281.29100623,4651,433
2020-04-13$28.01$27.0083.6%24.0%137.0%50.3%98.7%22.4%-6.5%55.2K-248.6K-18.6K3.4185.75321093,5451,458
2020-04-14$28.95$27.0077.5%22.2%135.6%45.8%73.5%14.3%-3.9%59.5K-866.2K-20.4K0.8493.5577653,5611,388
2020-04-15$28.89$29.0081.1%23.3%134.4%48.5%85.9%29.7%2.8%68.9K-866.9K-20.9K2.7187.267193,6201,422
2020-04-16$29.19$29.0079.7%22.8%64.1%47.4%77.5%29.1%-3.5%77.2K-875.0K-20.7K0.1675.9598163,6261,438
2020-04-17$30.40$29.0073.8%21.2%56.7%43.0%72.7%11.4%-1.2%69.8K-1.5M-22.1K0.6487.03105673,6041,454
2020-04-20$30.64$30.0078.8%22.6%54.8%46.7%81.0%21.4%-6.2%67.4K-1.5M-22.4K0.21103.4598213,3231,076
2020-04-21$31.24$30.0068.5%19.6%54.8%39.0%70.1%20.5%-0.3%80.3K-1.8M-23.4K0.35102.1646163,4191,082
2020-04-22$32.11$30.0075.3%21.6%54.9%44.1%76.9%18.9%3.0%84.7K-2.4M-25.0K0.1890.6956103,4371,094
2020-04-23$33.14$30.0055.9%16.0%49.0%29.6%53.1%15.5%15.9%99.1K-2.9M-26.2K0.38115.12136513,4671,102
2020-04-24$32.74$30.0053.9%15.5%46.6%28.1%51.3%12.4%2.4%112.2K-2.4M-24.2K0.0096.5711603,5611,102
2020-04-27$32.94$30.0064.4%18.5%46.7%35.9%51.6%30.5%-2.4%115.8K-2.6M-25.0K0.1896.571123,6421,101
2020-04-28$33.12$31.0061.3%17.6%46.7%33.6%60.5%20.8%1.4%114.2K-2.8M-25.1K0.5298.2831163,6501,101
2020-04-29$35.64$31.0054.1%15.5%49.7%28.2%61.4%12.2%10.3%157.3K-4.4M-27.0K0.0796.78206143,6801,117
2020-04-30$33.49$30.0061.1%17.5%56.7%33.5%59.0%14.7%-1.0%131.2K-3.1M-26.0K1.0295.991061083,8031,105