CQP Options History — June 2020

In June 2020, CQP traded between $34.68 and $40.02. ATM implied volatility averaged 42.6%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 4.8% (HV 20d: 47.4%). Max pain ranged from $32.00 to $39.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.67.

Notable Days

  • 2020-06-04: Highest Volume — 2,153 contracts
  • 2020-06-08: Largest IV spike — 36.7% change
  • 2020-06-26: Highest IV Rank — 27.0%
  • 2020-06-26: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.61$34.68$40.02$35.29$35.18
Max Pain$35.68$32.00$39.00$34.00$38.00
ATM IV42.6%33.3%52.5%37.1%45.4%
Expected Move12.2%9.6%15.1%10.6%13.0%
HV 20d47.4%38.9%55.5%42.8%48.1%
HV 60d66.4%46.4%95.4%95.4%46.5%
IV Rank19.6%12.6%27.0%15.4%21.7%
IV Percentile75.9%71.4%81.3%74.2%75.8%
Term Structure-0.8%-5.2%4.1%4.1%-1.5%
VWIV42.4%32.9%54.5%36.8%42.4%
Skew 25d10.0%6.7%13.2%8.2%10.9%
Skew 10d23.6%13.7%39.3%22.4%22.8%
Call IV 25d37.5%30.2%46.8%31.6%40.0%
Put IV 25d47.5%37.5%59.2%39.7%51.0%
Bid-Ask Spread %61.6228.1187.5487.5472.68
Gamma HHI0.160.120.330.150.13
Net GEX223.8K56.7K443.8K190.0K59.0K
Net DEX-6.2M-11.3M17.4K-5.0M-126.4K
Net VEX-26.9K-28.9K-23.1K-26.0K-23.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.122.370.500.29
Total Volume578.818882,1531,01788
Total OI6,769.4095,2008,0756,0366,095

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$35.29$34.0037.1%10.6%42.8%15.4%36.8%8.2%4.1%190.0K-5.0M-26.0K0.5087.546783394,3501,686
2020-06-02$36.36$35.0033.4%9.6%42.7%12.7%32.9%6.7%3.7%242.6K-6.5M-28.0K0.1828.115671004,6051,824
2020-06-03$37.14$35.0035.4%10.1%42.8%14.2%34.1%6.7%1.2%245.6K-7.4M-27.4K0.1282.671,9192284,5531,848
2020-06-04$37.62$32.0033.9%10.1%42.4%13.1%43.9%8.6%2.4%289.6K-7.5M-26.4K0.4245.061,5166374,6821,900
2020-06-05$39.27$32.0033.3%9.9%38.9%12.6%34.3%8.7%2.5%339.7K-10.2M-26.1K0.1442.27562774,7151,925
2020-06-08$40.02$32.0045.5%11.7%39.1%21.8%39.7%8.3%-1.5%327.1K-11.3M-26.8K0.1958.946601254,8631,982
2020-06-09$37.62$33.0043.6%11.5%46.6%20.4%36.7%7.9%0.0%287.4K-7.6M-27.3K1.1965.083253875,1632,041
2020-06-10$38.44$35.0041.6%11.9%46.0%18.8%38.3%7.4%-5.2%303.6K-8.2M-28.9K0.2570.42240605,3432,406
2020-06-11$36.24$35.0047.7%13.7%48.8%23.4%48.1%12.2%-1.2%198.7K-4.7M-28.9K0.8067.2585685,3922,441
2020-06-12$36.85$35.0047.1%13.5%48.9%23.0%46.2%11.1%-3.6%232.2K-5.8M-28.9K0.4053.8396385,4132,435
2020-06-15$38.56$35.0045.6%13.1%49.9%21.8%47.6%11.6%-3.3%303.9K-8.4M-27.9K0.5346.35131695,3872,470
2020-06-16$39.06$35.0044.8%12.8%49.8%21.2%43.9%10.9%-0.9%349.1K-9.8M-27.6K0.3073.09210635,4052,439
2020-06-17$39.35$36.0042.9%12.3%49.3%19.8%42.5%8.8%-0.7%375.1K-10.0M-26.6K0.6766.912571725,3922,486
2020-06-18$40.00$37.0043.4%12.4%48.5%20.2%42.8%12.1%-1.6%443.8K-10.8M-26.6K0.5660.40169945,4152,600
2020-06-19$39.61$37.0042.5%12.2%49.1%19.5%45.7%12.0%-2.1%158.8K-9.5M-26.4K0.9066.912792515,3932,682
2020-06-22$38.88$38.0041.5%11.9%50.0%18.7%44.7%9.8%-0.1%145.0K-5.0M-27.5K2.3758.621062513,5991,601
2020-06-23$38.31$38.0042.7%12.3%50.6%19.7%44.5%9.2%-3.7%129.2K-4.3M-27.8K1.8659.053927313,6741,814
2020-06-24$37.18$38.0044.4%12.7%52.1%20.9%45.4%11.8%-1.9%94.0K-2.7M-27.4K1.0461.3067703,7211,924
2020-06-25$36.70$39.0043.9%12.6%52.5%20.5%44.2%13.2%0.0%89.3K-2.2M-27.4K0.2654.97109283,7321,979
2020-06-26$35.07$38.0052.5%15.1%55.5%27.0%54.5%12.5%-2.9%63.2K-463.7K-24.8K1.4369.7549703,7451,994
2020-06-29$34.68$38.0050.1%14.4%49.1%25.2%44.5%11.3%-1.6%56.7K17.4K-23.1K0.4564.412561153,7752,038
2020-06-30$35.18$38.0045.4%13.0%48.1%21.7%42.4%10.9%-1.5%59.0K-126.4K-23.9K0.2972.6868203,9422,153