CQP Options History — January 2021

In January 2021, CQP traded between $35.00 and $39.36. ATM implied volatility averaged 32.2%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 0.3% (HV 20d: 31.9%). Max pain ranged from $33.00 to $34.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 2.21.

Notable Days

2021-01-19: Highest Volume — 3,223 contracts
2021-01-27: Largest IV spike — 24.0% change
2021-01-12: Highest IV Rank — 15.1%
2021-01-27: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.73	$35.00	$39.36	$35.00	$39.08
Max Pain	$33.11	$33.00	$34.00	$33.00	$33.00
ATM IV	32.2%	26.7%	38.5%	35.0%	34.0%
Expected Move	9.1%	7.6%	11.0%	9.8%	9.8%
HV 20d	31.9%	27.6%	36.0%	36.0%	31.0%
HV 60d	32.5%	31.6%	33.5%	32.5%	33.2%
IV Rank	10.8%	6.6%	15.1%	13.5%	11.0%
IV Percentile	30.6%	8.3%	57.9%	48.0%	41.7%
Term Structure	0.7%	-1.3%	3.2%	-1.3%	0.2%
VWIV	32.3%	25.8%	41.7%	32.4%	33.9%
Skew 25d	6.4%	4.7%	8.1%	7.8%	6.8%
Skew 10d	13.1%	9.2%	19.6%	14.4%	9.2%
Call IV 25d	29.1%	26.4%	34.8%	30.8%	30.0%
Put IV 25d	35.5%	31.1%	43.0%	38.5%	36.8%
Bid-Ask Spread %	57.62	42.71	75.27	47.43	72.46
Gamma HHI	0.22	0.09	0.39	0.10	0.33
Net GEX	-29.8K	-155.6K	127.0K	-41.3K	-123.6K
Net DEX	-120.6K	-4.2M	3.5M	1.1M	1.5M
Net VEX	-27.9K	-48.0K	-13.1K	-13.1K	-46.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.21	0.05	31.56	0.90	0.51
Total Volume	394.263	53	3,223	689	59
Total OI	5,206.684	3,171	6,952	3,171	6,938

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2021-01-04	$35.00	$33.00	35.0%	9.8%	36.0%	13.5%	32.4%	7.8%	-1.3%	-41.3K	1.1M	-13.1K	0.90	47.43	363	326	1,245	1,926
2021-01-05	$35.01	$34.00	35.6%	9.4%	35.7%	13.9%	35.7%	6.5%	1.0%	-64.6K	1.2M	-14.4K	0.59	52.01	74	44	1,498	2,153
2021-01-06	$35.80	$34.00	34.7%	9.4%	34.8%	13.2%	37.5%	7.9%	-0.4%	-42.0K	420.7K	-14.6K	0.07	53.26	656	48	1,546	2,194
2021-01-07	$36.62	$33.00	29.8%	9.1%	35.0%	9.5%	36.7%	6.3%	-0.8%	44.9K	-1.9M	-16.0K	0.08	42.71	709	58	2,064	2,199
2021-01-08	$36.30	$33.00	31.4%	9.6%	34.7%	10.7%	32.2%	7.8%	-0.6%	26.5K	-972.4K	-15.8K	0.05	46.50	143	7	1,932	2,182
2021-01-11	$36.67	$33.00	35.3%	9.7%	33.5%	13.6%	34.4%	6.2%	-0.1%	49.2K	-1.5M	-15.3K	0.15	48.97	379	58	1,958	2,198
2021-01-12	$38.27	$33.00	37.2%	9.3%	35.2%	15.1%	30.7%	6.7%	0.1%	110.7K	-3.3M	-14.3K	0.21	55.45	149	31	2,057	2,196
2021-01-13	$38.75	$33.00	30.4%	8.7%	34.8%	10.0%	31.0%	6.0%	0.4%	108.8K	-3.8M	-13.6K	0.36	53.62	184	67	2,082	2,218
2021-01-14	$38.95	$33.00	30.9%	8.9%	33.2%	10.4%	31.9%	7.0%	1.0%	111.7K	-4.0M	-13.7K	0.32	51.38	134	43	2,097	2,226
2021-01-15	$39.19	$33.00	29.8%	8.6%	30.5%	9.6%	28.9%	6.1%	1.0%	127.0K	-4.2M	-13.4K	0.39	57.74	85	33	2,094	2,248
2021-01-19	$38.95	$33.00	29.4%	8.4%	30.0%	9.2%	29.3%	6.7%	1.9%	77.8K	-2.9M	-13.1K	31.56	52.18	99	3,124	1,780	1,862
2021-01-20	$38.43	$33.00	30.3%	8.7%	29.6%	9.5%	30.3%	4.7%	0.8%	-120.9K	2.1M	-46.6K	1.63	58.03	46	75	1,825	4,913
2021-01-21	$38.07	$33.00	30.0%	8.6%	27.8%	9.2%	28.6%	5.0%	2.2%	-138.9K	2.6M	-46.6K	1.38	56.33	32	44	1,852	4,974
2021-01-22	$38.62	$33.00	26.7%	7.6%	27.9%	6.6%	25.8%	4.7%	3.1%	-131.1K	1.9M	-46.7K	0.10	63.50	48	5	1,836	4,990
2021-01-25	$38.52	$33.00	27.7%	7.9%	27.7%	6.6%	27.7%	5.1%	2.5%	-148.9K	2.0M	-45.5K	0.59	70.84	107	63	1,859	4,995
2021-01-26	$37.91	$33.00	31.1%	8.9%	27.6%	9.2%	29.5%	6.8%	3.2%	-155.6K	2.8M	-46.9K	0.11	64.79	53	6	1,912	5,006
2021-01-27	$37.42	$33.00	38.5%	11.0%	28.4%	14.9%	41.7%	8.1%	-0.8%	-138.1K	3.5M	-48.0K	2.90	72.37	21	61	1,909	5,011
2021-01-28	$39.36	$33.00	33.1%	9.5%	32.3%	10.4%	34.7%	6.4%	-0.1%	-118.4K	1.1M	-45.4K	0.16	75.27	49	8	1,907	5,045
2021-01-29	$39.08	$33.00	34.0%	9.8%	31.0%	11.0%	33.9%	6.8%	0.2%	-123.6K	1.5M	-46.6K	0.51	72.46	39	20	1,899	5,039