CQP Options History — October 2020

In October 2020, CQP traded between $33.41 and $37.36. ATM implied volatility averaged 33.2%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 4.3% (HV 20d: 37.5%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 2.96.

Notable Days

  • 2020-10-05: Highest Volume — 221 contracts
  • 2020-10-14: Largest IV spike — 29.6% change
  • 2020-10-26: Highest IV Rank — 17.4%
  • 2020-10-26: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.83$33.41$37.36$33.41$36.16
Max Pain$33.95$33.00$35.00$33.00$35.00
ATM IV33.2%25.1%40.0%31.9%40.0%
Expected Move9.8%8.7%11.5%9.2%11.5%
HV 20d37.5%32.7%40.5%32.7%32.9%
HV 60d32.9%31.3%33.6%32.0%31.3%
IV Rank12.3%6.2%17.4%11.3%17.4%
IV Percentile47.8%34.1%61.5%43.3%61.1%
Term Structure-1.5%-7.8%4.4%3.0%-3.0%
VWIV34.9%29.0%45.9%30.3%38.6%
Skew 25d7.6%-0.1%10.6%5.6%9.0%
Skew 10d14.7%7.9%24.2%20.1%15.9%
Call IV 25d30.1%26.9%37.6%29.0%37.6%
Put IV 25d37.8%28.3%46.7%34.5%46.7%
Bid-Ask Spread %66.6645.9193.7987.6360.01
Gamma HHI0.250.210.280.250.26
Net GEX-31.4K-132.6K55.0K-132.6K-55.7K
Net DEX785.0K-2.0M4.0M4.0M734.8K
Net VEX-29.6K-32.6K-27.3K-28.8K-27.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.960.0024.140.380.00
Total Volume65.318132212219
Total OI7,177.7276,8807,5306,8807,172

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$33.41$33.0031.9%9.2%32.7%11.3%30.3%5.6%3.0%-132.6K4.0M-28.8K0.3887.631663,2893,591
2020-10-02$34.36$33.0031.7%9.1%33.5%11.1%30.5%6.2%4.4%-76.9K2.8M-30.6K0.6789.7015103,3053,609
2020-10-05$35.87$33.0029.0%8.9%36.9%9.1%34.8%7.9%-0.2%-6.5K555.7K-31.5K2.4549.52641573,3053,622
2020-10-06$34.81$33.0028.5%9.1%38.1%8.8%32.8%8.0%-0.6%-64.1K2.2M-30.5K6.2561.418503,4083,751
2020-10-07$34.99$33.0030.1%10.0%38.2%9.9%35.1%7.4%-6.4%-54.7K2.0M-30.1K3.2957.9617563,4133,801
2020-10-08$35.70$33.0028.3%9.4%38.8%8.6%32.2%5.9%-3.4%-39.5K978.6K-29.6K0.2067.832043,4323,894
2020-10-09$35.88$33.0027.8%8.7%38.8%8.2%29.0%9.2%-0.8%1.6K518.7K-30.7K0.4467.87943,4653,896
2020-10-12$35.62$33.0030.9%8.7%38.9%10.6%37.5%10.1%-1.0%298883.9K-30.0K7.8367.156473,4743,883
2020-10-13$35.56$33.0025.1%9.3%37.3%6.2%34.4%8.3%0.5%13.1K1.0M-30.1K0.0745.911513,4743,930
2020-10-14$36.47$33.0032.6%9.3%38.1%11.8%30.5%8.3%-1.2%44.6K-615.0K-31.1K0.1057.0399103,4903,931
2020-10-15$37.17$33.0033.7%9.7%38.1%12.7%36.4%9.2%-3.4%29.8K-2.0M-29.4K0.2061.5956113,5493,941
2020-10-16$36.22$34.0036.6%10.5%39.4%14.8%36.2%-0.1%-2.5%55.0K-862.7K-32.6K7.6393.798613,5783,952
2020-10-19$35.74$35.0034.3%9.8%39.6%13.1%31.5%7.0%-1.9%-110.9K1.5M-28.6K0.4157.24152623,1963,691
2020-10-20$36.26$35.0034.4%9.9%39.7%13.2%31.3%6.1%-0.8%-27.7K473.6K-29.8K0.0767.532923,3483,692
2020-10-21$35.82$35.0033.9%9.7%37.8%12.8%36.4%7.2%-0.3%-77.2K1.1M-29.1K4.7567.718383,3653,693
2020-10-22$37.36$35.0034.1%9.8%39.9%13.0%31.5%6.8%-1.0%46.4K-1.3M-29.8K0.1362.444863,3693,718
2020-10-23$36.83$35.0034.3%9.8%40.5%13.1%37.3%7.7%-1.4%7.5K-416.9K-29.2K0.1065.692123,3953,723
2020-10-26$36.24$35.0040.0%11.5%40.5%17.4%32.6%10.6%-7.8%-22.7K527.8K-29.1K0.1070.112123,3963,724
2020-10-27$36.12$35.0036.5%10.5%38.5%14.8%38.0%7.1%-2.4%-65.9K728.0K-27.5K0.4060.8925103,4053,723
2020-10-28$35.53$35.0038.8%11.1%33.8%16.5%45.9%9.7%-2.4%-107.7K1.7M-27.8K24.1473.1271693,4293,730
2020-10-29$36.15$35.0037.8%10.8%34.1%15.8%45.4%10.5%-0.5%-46.7K622.6K-28.0K5.6074.3510563,4273,731
2020-10-30$36.16$35.0040.0%11.5%32.9%17.4%38.6%9.0%-3.0%-55.7K734.8K-27.3K0.0060.011903,4343,738