CQP Options History — September 2021

In September 2021, CQP traded between $38.31 and $42.89. ATM implied volatility averaged 27.4%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 0.3% (HV 20d: 27.1%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2021-09-30: Highest Volume — 527 contracts
  • 2021-09-20: Largest IV spike — 22.6% change
  • 2021-09-20: Highest IV Rank — 59.1%
  • 2021-09-20: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.14$38.31$42.89$41.72$41.00
Max Pain$38.95$38.00$40.00$40.00$38.00
ATM IV27.4%22.3%34.3%23.0%28.2%
Expected Move7.9%6.4%9.8%6.6%8.1%
HV 20d27.1%20.8%32.8%24.1%31.2%
HV 60d24.4%22.0%26.7%23.0%26.4%
IV Rank34.9%14.1%59.1%15.7%45.3%
IV Percentile43.3%3.2%88.9%5.2%53.2%
Term Structure3.3%-9.4%18.8%3.7%1.0%
VWIV27.1%21.7%32.3%23.9%32.3%
Skew 25d4.4%-1.9%18.7%3.0%5.0%
Skew 10d7.3%-19.0%19.5%2.7%10.4%
Call IV 25d26.3%18.7%40.9%23.2%27.1%
Put IV 25d30.7%26.2%39.0%26.2%32.1%
Bid-Ask Spread %86.9570.25122.47108.1294.81
Gamma HHI0.250.110.940.250.13
Net GEX378.2K2.4K2.1M469.7K81.6K
Net DEX-1.6M-5.3M1.1M-2.8M-219.3K
Net VEX-11.7K-15.7K-6.8K-14.7K-12.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.001.750.210.04
Total Volume102.095052741527
Total OI5,304.3811,5297,8527,6862,429

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-09-01$41.72$40.0023.0%6.6%24.1%15.7%23.9%3.0%3.7%469.7K-2.8M-14.7K0.21108.123473,5864,100
2021-09-02$42.28$39.0023.6%6.9%23.9%17.9%25.4%6.6%7.9%624.4K-4.0M-15.7K0.0093.896503,5744,101
2021-09-03$42.00$39.0022.8%7.0%21.7%15.2%0.0%3.5%5.5%586.5K-3.8M-15.6K0.0079.53003,6354,103
2021-09-07$42.12$39.0025.5%7.5%21.4%24.5%26.6%1.2%10.0%618.7K-3.7M-14.5K0.2070.862043,6554,103
2021-09-08$42.71$39.0025.8%7.4%21.1%25.7%0.0%3.8%-7.6%765.4K-4.8M-14.6K0.0070.902803,6584,103
2021-09-09$42.89$39.0026.5%7.6%20.8%29.8%25.5%2.4%-3.2%858.7K-5.3M-15.0K0.0081.413903,6584,110
2021-09-10$41.25$39.0022.3%6.4%25.1%14.1%0.0%0.0%6.6%218.3K-1.3M-12.1K0.0084.29203,6694,104
2021-09-13$41.91$39.0026.2%7.5%25.7%28.8%26.0%4.2%3.1%518.9K-2.9M-11.4K0.0877.275243,6634,104
2021-09-14$41.29$39.0027.2%7.8%26.2%32.6%25.1%7.9%-3.3%339.9K-2.0M-10.0K0.0792.075743,6654,104
2021-09-15$41.36$39.0026.9%7.7%25.6%31.5%28.3%4.2%-9.4%179.1K-2.2M-13.9K1.7581.328143,6994,111
2021-09-16$40.67$39.0026.8%7.7%25.7%31.1%27.6%2.4%11.0%285.5K-1.3M-9.3K0.0574.3913163,7214,112
2021-09-17$40.03$39.0028.0%8.0%26.1%35.5%27.2%2.8%4.4%2.1M-400.6K-8.4K1.7370.25661143,7274,125
2021-09-20$38.31$39.0034.3%9.8%27.8%59.1%29.5%-1.9%8.4%9.6K793.9K-7.2K0.0791.07765916613
2021-09-21$38.32$40.0031.3%9.0%27.7%47.9%31.8%4.2%16.9%2.4K1.1M-6.8K0.3983.744618941685
2021-09-22$40.01$40.0029.4%8.4%32.1%41.0%25.2%7.8%18.8%12.1K502.3K-9.4K0.9795.901471421,003788
2021-09-23$40.63$40.0029.5%8.5%32.6%41.2%21.7%18.7%-2.2%15.3K215.1K-9.6K0.71122.4745321,037800
2021-09-24$40.97$38.0030.5%8.7%32.5%44.8%23.6%8.5%-0.6%43.3K-356.9K-11.0K0.0999.47139131,172942
2021-09-27$41.57$38.0027.8%8.0%32.8%43.1%29.1%-0.4%1.7%59.9K-549.1K-10.8K0.0689.43163101,209965
2021-09-28$41.55$38.0030.4%8.7%32.7%55.5%30.1%3.3%0.6%73.1K-832.3K-12.2K0.9480.1636341,349967
2021-09-29$41.31$38.0029.9%8.6%32.6%53.2%29.6%5.5%-3.5%83.4K-589.2K-11.5K0.5684.6936201,411975
2021-09-30$41.00$38.0028.2%8.1%31.2%45.3%32.3%5.0%1.0%81.6K-219.3K-12.1K0.0494.81507201,4211,008