CQP Options History — December 2020

In December 2020, CQP traded between $33.07 and $39.40. ATM implied volatility averaged 31.3%, placing in the 10.7% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 2.6% (HV 20d: 34.0%). Max pain ranged from $35.00 to $39.00. Net GEX was positive for 8 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.02.

Notable Days

  • 2020-12-21: Highest Volume — 518 contracts
  • 2020-12-07: Largest IV spike — 11.3% change
  • 2020-12-21: Highest IV Rank — 13.1%
  • 2020-12-21: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.89$33.07$39.40$38.05$35.47
Max Pain$36.68$35.00$39.00$37.00$35.00
ATM IV31.3%28.5%34.5%29.0%30.5%
Expected Move8.9%8.3%9.9%8.3%8.7%
HV 20d34.0%30.9%36.3%32.9%36.1%
HV 60d34.0%32.3%36.0%32.7%32.4%
IV Rank10.7%8.6%13.1%8.9%10.0%
IV Percentile31.0%21.8%46.8%25.0%22.6%
Term Structure0.3%-1.4%2.5%0.6%2.5%
VWIV29.8%24.3%35.9%24.9%28.8%
Skew 25d7.2%5.0%10.0%6.6%6.5%
Skew 10d17.5%10.4%31.2%12.1%25.4%
Call IV 25d28.0%26.5%30.1%26.5%26.6%
Put IV 25d35.2%31.4%39.8%33.1%33.2%
Bid-Ask Spread %58.0142.9492.7592.2171.96
Gamma HHI0.340.100.770.440.10
Net GEX18.4K-679.4K673.5K310.3K-33.0K
Net DEX303.3K-5.3M2.5M-1.9M819.5K
Net VEX-11.9K-16.7K-8.6K-16.7K-13.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.002.741.760.27
Total Volume1462851847162
Total OI5,556.6821,9617,6786,8623,120

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$38.05$37.0029.0%8.3%32.9%8.9%24.9%6.6%0.6%310.3K-1.9M-16.7K1.7692.2117303,4103,452
2020-12-02$38.88$37.0029.1%8.3%33.4%9.0%29.2%5.5%0.2%515.7K-3.9M-16.2K0.3392.752173,4133,472
2020-12-03$39.10$37.0028.8%8.3%33.2%8.8%28.4%5.0%1.0%602.8K-4.4M-15.7K0.0060.456303,4303,473
2020-12-04$39.40$37.0028.5%8.4%33.2%8.6%27.6%5.2%1.2%673.5K-5.3M-14.1K1.1342.9439443,4303,473
2020-12-07$37.90$37.0031.7%8.4%33.9%11.0%27.4%7.1%1.4%325.9K-1.6M-13.2K0.4147.7732133,4333,512
2020-12-08$36.98$39.0032.7%8.8%35.2%11.7%31.7%5.7%0.1%6.7K285.8K-11.7K0.8650.752011733,4473,537
2020-12-09$36.44$39.0030.7%8.8%34.3%10.3%26.6%6.8%0.2%-70.0K957.0K-12.7K0.5254.4942223,5793,673
2020-12-10$37.40$39.0031.8%9.1%35.6%11.0%31.9%5.9%-0.2%172.7K-473.6K-12.5K0.3345.8640133,6013,691
2020-12-11$36.34$38.0032.9%9.4%34.9%11.9%35.9%6.6%0.0%-136.0K1.4M-12.4K1.5048.9418273,6073,703
2020-12-14$35.83$38.0032.6%9.4%35.3%11.7%32.4%7.6%-1.2%-330.2K2.2M-10.3K0.4156.1769283,6153,694
2020-12-15$37.01$36.0030.2%8.7%35.4%9.9%32.5%6.5%1.4%55.3K-117.1K-8.6K0.8247.1874613,6353,715
2020-12-16$35.83$35.0030.6%8.8%36.2%10.2%31.6%8.4%0.4%-226.7K1.1M-8.8K0.7557.0684633,6763,768
2020-12-17$35.32$36.0030.8%8.8%36.3%10.3%29.1%6.6%0.4%-364.2K1.7M-8.7K2.4253.30691673,7033,838
2020-12-18$34.72$36.0031.6%9.1%34.1%10.9%28.9%6.9%-0.2%-679.4K2.5M-8.9K0.8957.2765583,7203,958
2020-12-21$33.81$36.0034.5%9.9%34.8%13.1%30.6%9.7%-1.1%-40.3K1.4M-8.6K0.9253.062702487771,184
2020-12-22$33.89$36.0033.0%9.5%32.8%12.0%31.8%10.0%-0.5%-42.0K1.6M-10.9K1.1453.35961099751,425
2020-12-23$33.68$36.0032.5%9.3%31.7%11.6%30.9%8.2%0.5%-49.1K1.8M-11.2K2.1057.69611281,0191,529
2020-12-24$33.10$36.0032.3%9.3%31.7%11.4%29.0%9.2%0.4%-65.6K2.2M-11.1K2.7445.6334931,0711,649
2020-12-28$33.10$35.0033.2%9.5%30.9%12.1%33.8%9.6%-1.1%-75.7K2.4M-11.1K0.7866.91101791,0731,731
2020-12-29$33.07$36.0032.5%9.3%30.9%11.5%24.3%7.7%-1.4%-81.7K2.4M-11.5K1.8857.92651221,1341,815
2020-12-30$34.30$36.0030.0%8.6%34.6%9.6%28.8%7.3%1.8%-65.1K1.7M-12.7K0.5862.4966381,1791,908
2020-12-31$35.47$35.0030.5%8.7%36.1%10.0%28.8%6.5%2.5%-33.0K819.5K-13.7K0.2771.96128341,1951,925