CQP Options History — July 2020

In July 2020, CQP traded between $33.28 and $35.43. ATM implied volatility averaged 41.1%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 8.4% (HV 20d: 32.8%). Max pain ranged from $34.00 to $38.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.77.

Notable Days

  • 2020-07-15: Highest Volume — 1,350 contracts
  • 2020-07-27: Largest IV drop — 15.7% change
  • 2020-07-13: Highest IV Rank — 32.3%
  • 2020-07-13: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.22$33.28$35.43$34.56$33.71
Max Pain$35.73$34.00$38.00$38.00$34.00
ATM IV41.1%31.1%59.8%40.5%34.9%
Expected Move11.3%8.9%13.9%11.6%10.0%
HV 20d32.8%25.9%47.7%47.7%28.7%
HV 60d43.7%40.0%46.7%46.7%40.1%
IV Rank18.3%10.7%32.3%18.0%13.5%
IV Percentile68.3%56.7%85.3%69.8%59.9%
Term Structure-0.3%-7.9%3.8%2.8%0.9%
VWIV39.2%31.8%50.9%40.6%34.3%
Skew 25d9.5%3.9%15.3%9.3%6.6%
Skew 10d24.6%9.2%48.7%31.9%10.4%
Call IV 25d36.3%31.1%43.3%39.1%33.2%
Put IV 25d45.8%36.1%55.5%48.4%39.8%
Bid-Ask Spread %70.6646.0095.5878.6895.58
Gamma HHI0.170.130.210.130.18
Net GEX95.6K26.1K201.8K53.1K131.3K
Net DEX15.4K-2.5M2.4M350.4K-575.2K
Net VEX-17.7K-22.1K-13.7K-22.1K-14.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.022.552.550.37
Total Volume220.5241,3507841
Total OI5,745.4094,4476,6826,2375,013

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$34.56$38.0040.5%11.6%47.7%18.0%40.6%9.3%2.8%53.1K350.4K-22.1K2.5578.6822564,0642,173
2020-07-02$34.22$38.0041.0%11.8%47.3%18.4%40.7%10.1%3.8%44.5K1.0M-20.7K0.2381.203174,0602,222
2020-07-06$34.11$37.0042.3%11.0%43.9%19.3%39.7%10.3%1.8%46.3K1.2M-19.1K1.4165.785017074,0752,226
2020-07-07$34.54$37.0046.8%11.8%43.4%22.5%43.2%10.0%-0.8%37.1K928.0K-20.0K0.6764.4949334,0892,312
2020-07-08$34.55$37.0048.1%12.7%38.4%23.5%39.5%13.0%-7.9%37.9K991.0K-19.8K0.0261.4817444,1102,314
2020-07-09$34.98$37.0052.6%13.3%37.7%26.9%41.0%15.3%0.5%38.6K271.9K-21.3K0.6068.90103624,1842,314
2020-07-10$34.48$37.0052.5%13.7%32.1%26.8%46.7%11.2%-3.6%43.3K657.0K-21.2K0.9561.4320194,2622,361
2020-07-13$33.28$37.0059.8%13.9%33.3%32.3%41.5%12.8%-2.2%41.2K2.4M-17.1K0.4666.54185864,2742,377
2020-07-14$33.75$37.0052.4%13.4%28.5%26.7%45.9%10.7%-1.6%27.9K1.3M-18.7K1.0956.8782894,3182,329
2020-07-15$33.86$37.0044.6%12.8%27.8%20.9%42.5%9.2%-1.0%26.1K1.6M-17.3K1.0567.536576934,3492,333
2020-07-16$33.71$36.0043.9%12.6%27.3%20.3%50.9%12.0%-0.7%36.7K961.6K-17.2K0.4877.47104504,3712,126
2020-07-17$33.62$36.0040.6%11.6%25.9%17.8%38.6%11.3%-2.1%106.0K1.2M-16.1K0.2377.01108254,4252,154
2020-07-20$33.98$36.0034.5%9.9%26.7%13.3%31.8%10.0%0.3%121.5K-817.2K-15.3K0.1460.40260373,2801,167
2020-07-21$35.43$34.0031.9%9.2%31.6%11.3%34.8%5.9%3.1%201.8K-2.5M-18.2K0.3746.00100373,5191,208
2020-07-22$35.09$34.0032.0%9.2%31.4%11.4%33.3%3.9%2.1%200.2K-2.3M-18.4K0.9892.5147463,5871,223
2020-07-23$34.59$34.0034.1%9.8%30.2%12.9%36.7%9.9%-1.0%173.1K-1.6M-17.0K0.5688.0355313,6211,235
2020-07-24$34.30$34.0036.9%10.6%30.1%15.0%43.7%8.6%-1.2%158.3K-1.2M-16.0K1.6555.3423383,6381,258
2020-07-27$33.80$34.0031.1%8.9%26.1%10.7%34.8%8.2%1.1%135.7K-716.1K-14.9K0.3865.0048183,6281,294
2020-07-28$33.56$34.0035.9%10.3%26.0%14.3%35.1%6.6%-0.5%117.9K-446.9K-13.7K1.9259.1212233,6251,305
2020-07-29$34.74$34.0033.2%9.5%28.5%12.3%34.0%6.6%-0.9%178.5K-1.5M-15.3K0.1283.27129153,6301,327
2020-07-30$34.01$34.0035.7%10.2%28.8%14.2%32.3%7.1%0.9%146.2K-901.6K-15.1K0.7181.8414103,6861,333
2020-07-31$33.71$34.0034.9%10.0%28.7%13.5%34.3%6.6%0.9%131.3K-575.2K-14.2K0.3795.5830113,6801,333