CQP Options History — May 2020

In May 2020, CQP traded between $30.78 and $34.47. ATM implied volatility averaged 47.8%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 0.3% (HV 20d: 48.2%). Max pain ranged from $31.00 to $35.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.24.

Notable Days

2020-05-18: Highest Volume — 1,160 contracts
2020-05-22: Largest IV drop — 20.0% change
2020-05-01: Highest IV Rank — 34.3%
2020-05-01: Largest Expected Move — 17.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.47	$30.78	$34.47	$32.77	$32.79
Max Pain	$34.80	$31.00	$35.00	$31.00	$35.00
ATM IV	47.8%	38.0%	62.3%	62.3%	39.5%
Expected Move	13.6%	10.9%	17.9%	17.9%	11.3%
HV 20d	48.2%	34.8%	51.4%	48.4%	34.8%
HV 60d	94.5%	93.9%	94.9%	94.4%	94.4%
IV Rank	23.5%	16.2%	34.3%	34.3%	17.3%
IV Percentile	80.7%	75.8%	86.5%	86.5%	75.8%
Term Structure	0.5%	-7.2%	5.4%	-1.9%	2.4%
VWIV	47.7%	34.7%	88.1%	88.1%	47.6%
Skew 25d	11.7%	6.7%	18.5%	14.9%	12.5%
Skew 10d	25.2%	14.2%	46.2%	24.0%	28.0%
Call IV 25d	42.8%	32.2%	58.9%	58.9%	35.1%
Put IV 25d	54.5%	44.2%	73.7%	73.7%	47.7%
Bid-Ask Spread %	81.83	58.82	95.36	91.06	88.56
Gamma HHI	0.14	0.11	0.18	0.15	0.13
Net GEX	106.7K	55.0K	142.8K	112.8K	128.7K
Net DEX	-1.7M	-3.3M	-372.1K	-2.3M	-1.7M
Net VEX	-22.5K	-25.7K	-18.6K	-24.4K	-22.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.24	0.00	6.25	6.25	6.04
Total Volume	175.9	20	1,160	58	190
Total OI	5,363.3	4,415	5,940	5,038	5,923

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
2020-05-01	$32.77	$31.00	62.3%	17.9%	48.4%	34.3%	88.1%	14.9%	-1.9%	112.8K	-2.3M	-24.4K	6.25	91.06	8	50	3,863	1,175
2020-05-04	$33.77	$35.00	53.0%	16.1%	48.9%	27.4%	52.1%	8.1%	-7.2%	142.8K	-3.0M	-24.3K	1.81	75.04	43	78	3,800	1,224
2020-05-05	$34.47	$35.00	47.7%	13.6%	48.8%	23.4%	38.9%	16.3%	-0.8%	142.5K	-3.3M	-24.3K	0.47	86.31	34	16	3,816	1,296
2020-05-06	$34.02	$35.00	50.4%	14.1%	45.8%	25.4%	52.0%	12.3%	-0.4%	141.9K	-3.3M	-25.7K	1.78	67.09	54	96	3,846	1,305
2020-05-07	$32.33	$35.00	57.4%	15.5%	49.1%	30.7%	48.4%	14.9%	-5.0%	104.1K	-1.9M	-23.2K	0.27	79.16	44	12	3,821	1,318
2020-05-08	$32.68	$35.00	46.9%	14.7%	49.1%	22.8%	43.4%	13.6%	-1.5%	106.1K	-2.0M	-23.7K	0.67	82.04	12	8	3,829	1,314
2020-05-11	$32.61	$35.00	55.3%	13.7%	48.9%	29.1%	48.9%	12.7%	3.0%	96.4K	-1.6M	-22.0K	2.07	75.63	54	112	3,754	1,314
2020-05-12	$32.09	$35.00	54.8%	14.7%	48.6%	28.7%	37.1%	8.8%	-3.1%	74.3K	-1.1M	-21.5K	0.16	95.36	37	6	3,799	1,419
2020-05-13	$30.78	$35.00	55.4%	15.9%	51.4%	29.2%	53.2%	10.3%	0.4%	55.0K	-534.2K	-20.3K	0.04	77.53	166	7	3,787	1,420
2020-05-14	$31.13	$35.00	56.5%	16.2%	51.4%	30.0%	55.3%	11.0%	2.2%	62.9K	-372.1K	-18.6K	0.07	80.08	113	8	3,758	1,368
2020-05-15	$32.19	$35.00	49.5%	14.2%	50.8%	24.7%	51.4%	15.9%	3.7%	87.6K	-1.5M	-21.2K	0.00	75.72	37	0	3,739	1,367
2020-05-18	$32.16	$35.00	42.7%	12.2%	50.7%	19.7%	44.1%	6.7%	5.4%	100.8K	-1.3M	-19.5K	0.93	81.22	600	560	3,472	943
2020-05-19	$31.86	$35.00	40.4%	11.6%	50.5%	17.9%	44.5%	18.5%	2.5%	91.7K	-745.1K	-21.3K	0.69	93.28	333	230	3,996	1,433
2020-05-20	$31.45	$35.00	41.3%	11.8%	49.7%	18.6%	40.5%	10.3%	4.9%	91.0K	-709.8K	-21.7K	0.71	85.40	99	70	4,211	1,501
2020-05-21	$31.91	$35.00	48.0%	13.8%	48.6%	23.6%	47.7%	9.2%	-3.7%	110.0K	-1.3M	-23.7K	1.27	86.06	55	70	4,283	1,526
2020-05-22	$32.60	$35.00	38.4%	11.0%	49.1%	16.4%	43.3%	8.2%	4.6%	124.5K	-1.8M	-24.5K	0.38	58.82	21	8	4,304	1,585
2020-05-26	$32.59	$35.00	38.0%	10.9%	49.0%	16.2%	34.7%	12.2%	1.5%	120.3K	-1.6M	-22.8K	0.34	88.55	96	33	4,299	1,592
2020-05-27	$32.33	$35.00	40.1%	11.5%	49.1%	17.7%	42.2%	8.5%	2.6%	113.6K	-1.3M	-22.3K	0.72	82.59	18	13	4,351	1,589
2020-05-28	$32.80	$35.00	39.4%	11.3%	41.0%	17.2%	40.2%	9.4%	1.1%	126.7K	-1.7M	-22.3K	0.21	87.10	105	22	4,343	1,583
2020-05-29	$32.79	$35.00	39.5%	11.3%	34.8%	17.3%	47.6%	12.5%	2.4%	128.7K	-1.7M	-22.6K	6.04	88.56	27	163	4,359	1,564