CQP Options History — November 2020

In November 2020, CQP traded between $35.70 and $39.65. ATM implied volatility averaged 32.7%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 2.1% (HV 20d: 30.6%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.60.

Notable Days

  • 2020-11-19: Highest Volume — 2,297 contracts
  • 2020-11-09: Largest IV spike — 16.1% change
  • 2020-11-09: Highest IV Rank — 17.4%
  • 2020-11-03: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.37$35.70$39.65$36.56$38.41
Max Pain$36.10$35.00$37.00$35.00$37.00
ATM IV32.7%25.7%40.0%37.5%30.7%
Expected Move9.2%7.4%11.1%10.7%8.8%
HV 20d30.6%26.9%32.8%29.4%32.8%
HV 60d31.7%30.5%33.0%31.4%32.6%
IV Rank11.8%6.4%17.4%15.5%10.2%
IV Percentile39.3%22.6%60.7%57.1%29.0%
Term Structure0.7%-3.3%13.1%0.0%-0.6%
VWIV32.0%26.1%42.9%42.9%33.4%
Skew 25d6.6%4.1%11.5%7.5%4.4%
Skew 10d13.6%6.4%20.8%10.6%9.1%
Call IV 25d28.6%19.9%36.3%36.0%28.7%
Put IV 25d35.2%29.7%43.6%43.6%33.1%
Bid-Ask Spread %89.5471.80108.5371.8095.99
Gamma HHI0.340.260.570.260.46
Net GEX189.3K-63.4K529.5K-27.4K367.4K
Net DEX-1.7M-5.8M1.3M-55.2K-2.9M
Net VEX-22.0K-27.6K-16.3K-26.1K-16.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.003.670.443.67
Total Volume276.65112,29723140
Total OI7,160.16,6557,6417,1856,733

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$36.56$35.0037.5%10.7%29.4%15.5%42.9%7.5%0.0%-27.4K-55.2K-26.1K0.4471.801673,4473,738
2020-11-03$36.24$35.0038.7%11.1%27.4%16.4%39.3%5.5%-3.3%-63.4K468.3K-25.6K0.5275.6225133,4473,738
2020-11-04$36.76$35.0035.1%10.1%27.7%13.7%35.3%5.4%-1.4%16.7K-607.8K-23.8K0.1776.514173,4903,742
2020-11-05$36.94$35.0036.2%10.0%26.9%14.6%33.5%7.0%-3.2%111.8K-1.1M-27.6K0.1674.74100163,5183,741
2020-11-06$35.70$35.0034.4%9.4%29.7%13.2%33.5%6.2%0.6%-6.8K801.2K-25.5K0.4286.3043183,5993,744
2020-11-09$36.05$36.0040.0%9.4%29.8%17.4%34.4%7.8%-1.2%1.3K777.4K-24.0K0.4685.6728133,5053,746
2020-11-10$37.00$36.0036.7%9.3%31.1%14.8%38.2%7.7%-1.0%112.4K-976.2K-23.9K2.5080.5612303,5253,748
2020-11-11$36.96$36.0031.4%9.0%29.9%10.7%33.4%7.5%-1.4%135.0K-836.9K-23.2K0.1586.384673,5243,758
2020-11-12$35.71$36.0035.5%10.2%31.5%13.9%29.5%9.7%-2.4%-13.6K1.3M-22.6K0.00102.312403,5573,763
2020-11-13$35.81$36.0031.8%9.1%30.3%11.0%31.1%7.5%3.8%-19.1K1.2M-22.4K0.4789.9336173,5423,763
2020-11-16$36.96$36.0029.8%8.6%31.9%9.6%30.9%11.5%9.2%162.1K-887.4K-20.5K0.10108.531013,5283,777
2020-11-17$37.79$36.0031.7%9.1%32.4%11.0%28.7%5.5%-0.6%271.0K-2.5M-20.8K0.0794.932823,5283,777
2020-11-18$37.33$36.0032.5%9.3%32.4%11.6%27.2%7.3%1.3%259.4K-1.8M-21.0K0.03104.522,083703,5493,775
2020-11-19$38.56$37.0030.7%8.8%31.0%10.3%28.1%7.3%13.1%367.2K-4.3M-21.7K0.00101.412,29253,5703,842
2020-11-20$37.97$37.0029.8%8.5%31.1%9.5%29.8%4.5%-0.1%278.6K-3.4M-20.4K1.4689.9837543,7943,847
2020-11-23$39.00$37.0029.4%8.4%31.6%9.3%29.3%6.0%-1.0%414.9K-4.2M-18.9K1.0785.7886923,3183,337
2020-11-24$39.58$37.0025.7%7.4%31.7%6.4%28.4%5.1%2.1%506.4K-5.4M-19.5K0.1789.935293,3743,342
2020-11-25$39.65$37.0027.3%7.8%30.7%7.7%27.9%5.1%0.5%529.5K-5.8M-18.5K0.0794.884333,3863,343
2020-11-27$38.50$37.0029.8%8.6%32.8%9.6%26.1%4.1%-0.9%382.5K-3.2M-17.9K0.0895.072523,4013,346
2020-11-30$38.41$37.0030.7%8.8%32.8%10.2%33.4%4.4%-0.6%367.4K-2.9M-16.3K3.6795.99301103,3853,348