CQP Options History — February 2021

In February 2021, CQP traded between $38.54 and $41.25. ATM implied volatility averaged 31.7%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 5.5% (HV 20d: 26.3%). Max pain ranged from $33.00 to $37.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.68.

Notable Days

2021-02-04: Highest Volume — 829 contracts
2021-02-10: Largest IV spike — 24.8% change
2021-02-01: Highest IV Rank — 11.2%
2021-02-10: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.77	$38.54	$41.25	$39.31	$39.28
Max Pain	$35.84	$33.00	$37.00	$33.00	$37.00
ATM IV	31.7%	26.0%	37.3%	34.3%	34.6%
Expected Move	9.3%	8.1%	10.7%	9.8%	9.9%
HV 20d	26.3%	18.5%	29.3%	29.3%	18.5%
HV 60d	31.2%	29.3%	33.2%	33.2%	29.4%
IV Rank	6.6%	4.0%	11.2%	11.2%	7.6%
IV Percentile	26.4%	4.4%	55.6%	42.5%	45.2%
Term Structure	0.1%	-9.5%	11.4%	1.0%	-1.4%
VWIV	33.1%	25.4%	40.2%	33.3%	36.2%
Skew 25d	6.4%	-3.7%	10.6%	6.0%	8.1%
Skew 10d	17.2%	7.6%	34.1%	8.3%	19.3%
Call IV 25d	30.4%	27.1%	41.1%	31.3%	30.8%
Put IV 25d	36.8%	32.5%	40.1%	37.3%	38.9%
Bid-Ask Spread %	74.58	63.01	87.02	72.17	73.63
Gamma HHI	0.33	0.27	0.38	0.37	0.35
Net GEX	-79.1K	-114.6K	26.3K	-106.0K	-104.0K
Net DEX	1.4M	327.2K	2.9M	1.2M	2.4M
Net VEX	-43.7K	-47.5K	-39.0K	-44.7K	-42.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.04	2.63	0.95	0.73
Total Volume	146.947	18	829	117	137
Total OI	6,751.842	6,203	7,104	6,954	6,506

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
2021-02-01	$39.31	$33.00	34.3%	9.8%	29.3%	11.2%	33.3%	6.0%	1.0%	-106.0K	1.2M	-44.7K	0.95	72.17	60	57	1,900	5,054
2021-02-02	$39.09	$33.00	29.0%	8.3%	28.8%	7.1%	31.5%	5.1%	4.2%	-108.4K	1.3M	-44.4K	1.08	84.76	26	28	1,915	5,087
2021-02-03	$39.27	$33.00	28.2%	8.1%	28.7%	6.5%	28.2%	5.4%	5.3%	-112.2K	1.2M	-44.9K	0.26	81.08	177	46	1,914	5,112
2021-02-04	$39.41	$36.00	26.0%	9.4%	28.0%	4.9%	35.2%	6.3%	-1.1%	-91.0K	826.0K	-43.6K	0.04	78.68	798	31	1,958	5,146
2021-02-05	$38.54	$36.00	28.8%	9.3%	28.8%	4.0%	33.7%	6.5%	-1.3%	-114.6K	2.0M	-47.5K	0.55	72.97	29	16	1,899	5,160
2021-02-08	$39.17	$36.00	30.8%	9.6%	28.8%	5.6%	39.3%	6.6%	-0.7%	-102.9K	2.5M	-46.1K	1.62	68.50	21	34	1,579	5,159
2021-02-09	$38.81	$36.00	29.9%	9.4%	29.1%	4.9%	35.2%	7.4%	-0.1%	-107.4K	2.9M	-46.7K	0.33	64.55	21	7	1,596	5,153
2021-02-10	$39.40	$36.00	37.3%	10.7%	25.5%	10.8%	35.3%	8.6%	-9.5%	-92.9K	2.3M	-46.0K	2.63	86.73	24	63	1,610	5,158
2021-02-11	$39.72	$36.00	32.9%	9.4%	25.3%	7.2%	32.0%	-3.7%	11.4%	-110.1K	1.8M	-44.4K	0.50	84.53	12	6	1,618	5,204
2021-02-12	$40.05	$36.00	32.3%	9.3%	25.4%	6.8%	32.9%	6.6%	0.1%	-57.3K	1.4M	-44.8K	1.14	68.32	35	40	1,614	5,210
2021-02-16	$40.10	$36.00	33.3%	9.5%	25.3%	7.5%	33.4%	7.2%	-0.6%	-31.5K	1.3M	-43.1K	0.30	69.36	40	12	1,615	5,209
2021-02-17	$40.72	$36.00	30.1%	8.6%	25.6%	4.4%	28.1%	5.8%	1.7%	-20.7K	472.4K	-42.0K	0.12	72.06	149	18	1,619	5,200
2021-02-18	$40.35	$36.00	34.2%	9.8%	25.3%	7.7%	40.2%	5.4%	-4.7%	-571	823.1K	-42.3K	0.47	79.94	120	57	1,644	5,202
2021-02-19	$40.67	$37.00	30.8%	8.8%	25.0%	4.6%	30.3%	5.2%	1.4%	26.3K	327.2K	-41.7K	0.43	66.77	117	50	1,726	5,230
2021-02-22	$41.25	$37.00	33.4%	9.6%	25.0%	6.6%	33.6%	7.7%	-0.9%	-99.6K	340.3K	-39.0K	0.31	63.01	125	39	1,460	4,743
2021-02-23	$40.56	$37.00	33.4%	9.6%	25.9%	6.6%	33.2%	10.6%	-2.1%	-95.3K	1.1M	-41.4K	0.45	73.70	62	28	1,493	4,777
2021-02-24	$40.23	$37.00	32.0%	9.2%	25.3%	5.5%	25.4%	7.1%	-0.5%	-83.1K	1.4M	-41.6K	0.48	69.30	166	79	1,537	4,802
2021-02-25	$39.73	$37.00	31.7%	9.1%	25.3%	5.3%	32.7%	9.4%	0.5%	-92.2K	1.9M	-42.5K	0.48	87.02	42	20	1,657	4,819
2021-02-26	$39.28	$37.00	34.6%	9.9%	18.5%	7.6%	36.2%	8.1%	-1.4%	-104.0K	2.4M	-42.9K	0.73	73.63	79	58	1,674	4,832