CQP Options History — September 2020

In September 2020, CQP traded between $31.89 and $36.09. ATM implied volatility averaged 35.6%, placing in the 14.1% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 11.8% (HV 20d: 23.8%). Max pain ranged from $33.00 to $36.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.75.

Notable Days

  • 2020-09-30: Highest Volume — 336 contracts
  • 2020-09-24: Largest IV spike — 39.8% change
  • 2020-09-08: Highest IV Rank — 22.7%
  • 2020-09-24: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.81$31.89$36.09$36.09$33.11
Max Pain$35.05$33.00$36.00$36.00$33.00
ATM IV35.6%28.1%47.0%39.4%33.3%
Expected Move10.2%8.1%13.0%11.3%9.6%
HV 20d23.8%19.2%32.6%32.0%32.6%
HV 60d30.7%28.2%36.2%36.2%31.9%
IV Rank14.1%8.4%22.7%16.9%12.4%
IV Percentile53.8%41.3%74.6%63.1%49.2%
Term Structure-0.6%-13.0%14.5%2.0%1.9%
VWIV35.4%22.5%65.0%38.8%27.8%
Skew 25d7.6%-4.2%11.1%6.2%9.4%
Skew 10d20.4%-12.1%44.3%15.9%23.3%
Call IV 25d32.0%26.8%41.6%37.4%26.9%
Put IV 25d39.6%32.9%49.6%43.6%36.3%
Bid-Ask Spread %85.1665.22109.6990.7896.64
Gamma HHI0.290.230.420.240.26
Net GEX-30.4K-285.0K210.3K210.3K-146.9K
Net DEX3.4M-1.1M6.1M-1.1M4.5M
Net VEX-30.3K-43.2K-21.1K-43.2K-26.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.004.670.371.06
Total Volume122.3812433641336
Total OI7,857.5245,6469,0938,7576,725

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$36.09$36.0039.4%11.3%32.0%16.9%38.8%6.2%2.0%210.3K-1.1M-43.2K0.3790.7830115,1973,560
2020-09-02$35.54$36.0041.0%11.7%28.1%18.1%42.0%7.3%0.7%177.8K-120.2K-42.2K4.6782.706285,2013,558
2020-09-03$34.70$36.0041.5%12.1%28.3%18.5%39.9%10.9%-0.9%134.2K1.4M-39.8K1.5965.2229465,2033,576
2020-09-04$34.69$36.0040.1%12.2%28.2%17.5%43.7%9.2%-0.8%129.7K1.7M-38.2K1.9166.0935675,2263,577
2020-09-08$34.19$36.0047.0%12.6%27.0%22.7%65.0%11.1%-2.0%82.8K2.7M-35.8K4.5066.026275,2463,606
2020-09-09$34.23$36.0042.0%12.1%24.4%18.9%35.2%9.8%-5.7%73.9K3.1M-33.9K3.3882.228275,2433,632
2020-09-10$34.27$36.0033.9%9.7%22.6%12.8%34.2%9.8%-4.6%47.5K3.7M-31.2K0.00109.692405,2473,654
2020-09-11$34.30$36.0036.9%10.6%22.1%15.1%0.0%10.0%1.1%52.0K3.4M-32.7K0.6577.5037245,2473,648
2020-09-14$34.54$36.0033.2%9.5%21.9%12.3%32.0%8.1%1.3%55.9K3.5M-30.5K0.2586.9977195,2303,632
2020-09-15$33.57$36.0030.9%8.9%19.9%10.6%30.1%6.6%3.2%-109.1K5.0M-27.1K0.8691.7329255,2823,636
2020-09-16$33.62$36.0029.8%8.5%20.2%9.7%30.1%6.5%0.9%-153.3K5.2M-25.4K2.5684.7425645,2663,623
2020-09-17$33.31$36.0036.4%10.4%20.2%14.7%33.2%8.4%-4.4%-129.6K5.1M-26.1K2.7671.37541495,3183,648
2020-09-18$32.98$36.0028.1%8.1%20.1%8.4%22.5%4.5%1.1%-285.0K6.1M-23.6K0.4884.39112545,3363,757
2020-09-21$32.67$35.0032.6%9.4%19.2%11.8%28.4%9.3%-13.0%-135.2K4.5M-22.1K0.3184.22124382,8412,805
2020-09-22$32.94$35.0032.6%9.3%19.7%11.8%31.5%6.8%-4.2%-122.0K4.2M-23.2K2.1388.02931982,9442,842
2020-09-23$31.89$33.0032.3%9.3%21.5%11.6%34.9%8.8%1.8%-148.8K5.3M-21.1K0.9091.011171053,0153,022
2020-09-24$32.18$33.0045.2%13.0%19.6%21.3%45.4%-4.2%-9.8%-68.4K3.6M-30.5K2.00108.8628563,1053,127
2020-09-25$32.75$33.0029.5%8.5%21.3%9.5%33.8%6.5%14.5%-151.0K4.7M-24.2K2.6692.5529773,1213,181
2020-09-28$33.59$33.0030.8%8.8%23.7%10.4%30.1%7.6%2.5%-116.0K3.8M-27.4K0.0784.9910673,1513,266
2020-09-29$34.87$33.0031.0%8.9%27.4%10.6%30.3%6.1%2.3%-36.6K1.7M-31.8K3.5882.64531903,2413,273
2020-09-30$33.11$33.0033.3%9.6%32.6%12.4%27.8%9.4%1.9%-146.9K4.5M-26.6K1.0696.641631733,2473,478