CQP Options History — August 2020

In August 2020, CQP traded between $35.01 and $39.94. ATM implied volatility averaged 36.8%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 2.5% (HV 20d: 34.2%). Max pain ranged from $34.00 to $36.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2020-08-24: Highest Volume — 4,100 contracts
  • 2020-08-11: Largest IV spike — 161.2% change
  • 2020-08-11: Highest IV Rank — 52.7%
  • 2020-08-11: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.66$35.01$39.94$35.12$36.02
Max Pain$35.62$34.00$36.00$34.00$36.00
ATM IV36.8%29.4%87.0%36.3%39.1%
Expected Move9.9%8.4%12.9%10.4%11.2%
HV 20d34.2%32.1%35.9%32.3%32.1%
HV 60d39.2%36.4%40.5%39.5%36.4%
IV Rank15.0%9.4%52.7%14.6%16.7%
IV Percentile58.9%51.2%93.7%61.9%63.1%
Term Structure2.8%-7.8%31.5%-3.6%1.9%
VWIV34.8%26.7%48.0%37.8%36.1%
Skew 25d5.6%-45.8%12.6%9.2%12.6%
Skew 10d15.0%-22.1%26.9%21.3%22.6%
Call IV 25d33.8%25.7%98.9%32.8%32.4%
Put IV 25d39.4%32.5%53.1%42.0%45.0%
Bid-Ask Spread %90.6576.79129.6190.7097.09
Gamma HHI0.230.160.350.210.24
Net GEX323.3K167.0K500.4K216.0K193.4K
Net DEX-5.4M-9.9M-354.3K-2.0M-1.2M
Net VEX-24.8K-47.2K-15.6K-15.6K-43.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.035.210.470.30
Total Volume342414,10019790
Total OI6,151.8574,4788,7425,0158,742

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$35.12$34.0036.3%10.4%32.3%14.6%37.8%9.2%-3.6%216.0K-2.0M-15.6K0.4790.70134633,6811,334
2020-08-04$35.01$34.0036.8%10.6%32.1%15.0%32.7%-45.8%4.4%205.9K-2.7M-18.1K0.03110.9122073,7771,340
2020-08-05$36.62$34.0035.6%10.2%35.7%14.1%36.2%9.9%31.5%306.2K-5.0M-19.6K0.22114.18125283,9911,344
2020-08-06$37.25$35.0034.8%9.4%35.9%13.5%33.1%9.0%1.9%334.5K-5.5M-20.0K0.1285.92312373,9101,345
2020-08-07$36.92$35.0033.2%9.1%35.6%12.3%35.9%9.6%4.4%359.6K-5.2M-19.7K5.0078.6711554,1141,353
2020-08-10$37.70$36.0033.3%9.1%33.0%12.4%37.4%7.8%2.8%378.2K-5.8M-18.9K0.5976.7949293,9081,298
2020-08-11$38.72$36.0087.0%12.9%33.7%52.7%31.9%10.4%-7.8%307.4K-7.8M-20.1K0.09129.61157143,9521,308
2020-08-12$39.49$36.0033.7%9.7%33.9%12.6%31.9%8.2%1.3%413.5K-9.0M-18.6K0.6382.7583524,1181,318
2020-08-13$39.83$36.0032.3%9.2%33.6%11.6%26.7%8.1%2.6%398.3K-9.5M-18.3K1.2284.6649604,1261,370
2020-08-14$38.94$36.0032.6%9.4%35.2%11.8%34.0%6.4%3.4%429.0K-8.1M-19.2K0.2578.12154384,1251,393
2020-08-17$39.94$36.0031.7%9.1%35.8%11.2%35.2%7.3%3.0%442.8K-9.9M-18.0K0.5280.50188984,2051,431
2020-08-18$39.56$36.0029.4%8.4%33.9%9.4%33.6%6.8%2.2%500.4K-9.3M-17.8K1.8697.77641194,1901,500
2020-08-19$39.05$36.0033.3%9.5%34.2%12.4%34.2%8.9%2.0%465.1K-7.9M-18.6K0.0590.1312464,1511,575
2020-08-20$38.51$36.0033.2%9.5%34.1%12.3%33.6%6.8%1.8%399.2K-6.6M-18.7K2.4885.1125624,0821,577
2020-08-21$38.81$36.0033.9%9.7%33.7%12.8%30.5%8.9%1.7%334.6K-7.0M-18.4K0.0589.673924,0731,639
2020-08-24$38.08$36.0033.6%9.6%34.1%12.6%32.9%6.2%0.3%242.1K-4.0M-17.1K0.9984.632,0632,0373,1311,347
2020-08-25$37.51$36.0032.6%9.3%34.6%11.8%33.2%7.1%0.9%271.0K-3.9M-47.2K0.2184.8584185,1923,371
2020-08-26$36.19$36.0036.1%10.4%35.8%14.5%35.1%5.3%2.9%224.2K-1.3M-45.1K0.3388.0197325,2133,385
2020-08-27$35.93$36.0036.2%10.4%35.0%14.5%48.0%8.0%0.7%201.4K-668.1K-44.3K5.2185.95422195,1743,409
2020-08-28$35.64$36.0037.7%10.8%34.9%15.7%40.6%7.2%0.6%167.0K-354.3K-44.0K4.3387.7318785,1823,515
2020-08-31$36.02$36.0039.1%11.2%32.1%16.7%36.1%12.6%1.9%193.4K-1.2M-43.5K0.3097.0969215,1863,556