CQP Options History — March 2021

In March 2021, CQP traded between $40.74 and $44.09. ATM implied volatility averaged 28.3%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded below realized volatility by 0.7% (HV 20d: 29.0%). Max pain ranged from $37.00 to $43.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 1.53.

Notable Days

  • 2021-03-18: Highest Volume — 1,075 contracts
  • 2021-03-23: Largest IV spike — 23.2% change
  • 2021-03-08: Highest IV Rank — 7.4%
  • 2021-03-08: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.25$40.74$44.09$41.39$42.05
Max Pain$41.74$37.00$43.00$37.00$42.00
ATM IV28.3%22.6%34.3%31.6%27.0%
Expected Move8.1%6.5%9.1%9.1%7.7%
HV 20d29.0%24.6%35.4%26.0%31.0%
HV 60d29.1%27.1%31.2%31.2%28.4%
IV Rank3.9%0.0%7.4%5.2%6.6%
IV Percentile9.3%0.0%45.2%21.4%4.8%
Term Structure-0.0%-7.7%3.3%-1.1%0.3%
VWIV27.6%22.0%35.2%30.2%23.7%
Skew 25d5.0%1.7%8.5%8.5%2.9%
Skew 10d14.9%-2.9%26.9%19.2%13.3%
Call IV 25d25.9%21.3%29.1%26.8%25.1%
Put IV 25d30.9%24.5%37.6%35.2%28.0%
Bid-Ask Spread %72.1449.6296.3383.8396.33
Gamma HHI0.370.280.560.330.44
Net GEX-93.1K-208.8K-7.8K-65.0K-193.8K
Net DEX-520.4K-4.8M2.9M-208.7K1.5M
Net VEX-33.9K-40.2K-18.5K-38.3K-34.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.530.058.000.192.00
Total Volume228.043361,07535136
Total OI6,387.5225,0997,2696,5185,551

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-03-01$41.39$37.0031.6%9.1%26.0%5.2%30.2%8.5%-1.1%-65.0K-208.7K-38.3K0.1983.83296551,6854,833
2021-03-02$41.10$37.0029.3%8.4%26.2%3.3%29.3%6.8%0.9%-38.3K-104.8K-39.3K0.3081.0237111,8734,859
2021-03-03$40.97$37.0030.6%8.8%26.1%4.4%35.2%8.5%0.1%-50.9K278.1K-39.8K1.1083.77931021,8824,866
2021-03-04$41.31$40.0032.0%8.9%26.2%5.5%29.3%6.9%1.5%-38.6K-439.5K-39.1K0.6752.4376511,8924,899
2021-03-05$41.36$42.0031.0%8.8%26.2%4.7%31.7%8.0%-0.4%-30.8K-294.5K-40.2K1.3862.1432441,9474,942
2021-03-08$40.99$42.0034.3%9.1%24.9%7.4%31.7%6.7%-0.2%-44.2K130.0K-38.4K0.1657.753861,9284,958
2021-03-09$40.74$42.0031.7%8.8%24.6%5.2%32.0%6.4%0.0%-36.4K567.0K-39.9K0.4450.4068301,9294,964
2021-03-10$42.45$42.0029.0%8.3%27.9%3.1%28.2%4.7%3.3%-86.0K-1.9M-31.1K0.1866.79217381,9424,973
2021-03-11$43.43$42.0028.0%8.0%28.4%2.3%26.5%3.7%-0.3%-134.4K-4.4M-18.5K0.0769.67165112,0394,994
2021-03-12$43.27$42.0028.8%8.3%28.5%2.9%29.3%5.3%-1.9%-7.8K-3.0M-34.2K0.5180.754042082,1324,993
2021-03-15$43.89$43.0028.8%8.3%28.7%3.0%28.8%4.3%-0.2%-107.3K-4.8M-21.8K0.8579.241211032,0895,094
2021-03-16$44.09$43.0026.3%7.5%28.7%0.9%27.2%4.8%0.3%-29.5K-3.7M-31.9K7.4352.67141042,0935,176
2021-03-17$44.05$43.0026.5%7.6%28.5%1.1%25.7%5.4%0.1%-79.1K-3.5M-26.9K0.0588.3714681,9505,169
2021-03-18$43.18$43.0027.0%7.7%29.4%1.5%27.4%3.6%2.3%-32.5K-1.7M-35.3K1.5151.894286471,9345,169
2021-03-19$43.74$43.0023.1%6.6%29.5%0.0%24.1%3.7%-1.8%-50.7K-2.6M-30.4K1.2949.624335581,9455,181
2021-03-22$43.60$43.0022.6%6.5%29.3%0.0%22.0%3.2%1.8%-125.5K-175.4K-27.9K0.4171.7229121,2363,863
2021-03-23$41.61$43.0027.8%8.0%33.6%5.7%25.4%2.4%-0.8%-130.1K2.2M-37.1K3.0051.5814421,2733,867
2021-03-24$41.49$43.0028.3%8.1%33.5%6.2%24.0%1.7%-7.7%-99.3K2.9M-38.4K2.2690.1634771,2853,910
2021-03-25$40.83$43.0026.7%7.7%33.7%4.5%26.9%3.2%0.3%-198.9K2.8M-36.1K2.0878.63751561,2893,939
2021-03-26$42.30$43.0026.2%7.5%35.4%4.1%26.5%4.4%1.8%-178.3K1.5M-33.9K0.1783.6263111,3334,068
2021-03-29$42.34$43.0026.4%7.6%30.3%4.5%25.9%5.5%0.7%-175.8K1.2M-33.0K1.1091.6251561,3834,073
2021-03-30$41.64$42.0027.7%8.0%30.9%7.0%25.0%3.8%-0.1%-208.8K1.9M-33.2K8.0085.285401,4244,089
2021-03-31$42.05$42.0027.0%7.7%31.0%6.6%23.7%2.9%0.3%-193.8K1.5M-34.2K2.0096.3312241,4224,129