CQP Options History — November 2021

In November 2021, CQP traded between $40.52 and $44.19. ATM implied volatility averaged 26.0%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 4.9% (HV 20d: 21.1%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2021-11-18: Highest Volume — 720 contracts
  • 2021-11-09: Largest IV spike — 57.0% change
  • 2021-11-30: Highest IV Rank — 78.2%
  • 2021-11-30: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.52$40.52$44.19$44.19$41.75
Max Pain$42.76$41.00$43.00$41.00$43.00
ATM IV26.0%19.2%34.2%26.1%34.2%
Expected Move7.4%6.3%9.8%7.5%9.8%
HV 20d21.1%19.6%24.8%19.9%24.8%
HV 60d24.4%23.5%25.6%24.4%25.5%
IV Rank36.6%3.2%78.2%35.4%78.2%
IV Percentile36.5%0.4%94.4%37.7%94.4%
Term Structure0.7%-9.3%12.7%10.2%-7.2%
VWIV29.9%25.2%43.6%25.2%43.6%
Skew 25d4.1%-2.3%11.9%5.7%5.3%
Skew 10d5.1%-23.0%39.7%8.8%39.7%
Call IV 25d25.2%21.6%33.4%23.7%33.4%
Put IV 25d29.3%23.3%41.4%29.4%38.7%
Bid-Ask Spread %101.8981.33123.56108.78109.05
Gamma HHI0.210.160.270.220.20
Net GEX141.5K24.7K212.2K198.5K100.5K
Net DEX-1.5M-3.3M518.3K-3.3M-889.7K
Net VEX-15.8K-17.9K-13.5K-17.1K-13.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.631.341.001.34
Total Volume560463720463533
Total OI3,079.1432,8783,3653,0422,988

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-11-01$44.19$41.0026.1%7.5%19.9%35.4%25.2%5.7%10.2%198.5K-3.3M-17.1K1.00108.782312321,9501,092
2021-11-02$43.50$41.0029.0%8.3%20.9%49.0%29.4%5.2%-2.3%187.8K-2.7M-17.1K1.04101.852412501,9711,092
2021-11-03$43.46$42.0027.3%7.8%20.9%41.2%36.6%2.4%-7.3%204.3K-2.5M-14.8K0.69109.863182201,9881,126
2021-11-04$43.72$43.0025.4%7.3%20.9%32.1%30.0%3.5%-9.3%195.7K-2.8M-16.5K0.6998.173182201,9101,131
2021-11-05$43.05$43.0029.7%7.0%21.9%52.4%25.5%3.7%2.4%172.1K-2.1M-17.9K0.7481.333022221,9341,131
2021-11-08$43.26$43.0019.2%7.2%20.3%3.2%25.4%6.3%4.5%212.2K-2.4M-16.9K0.7195.953072191,9341,141
2021-11-09$43.13$43.0030.1%7.5%20.1%54.1%26.8%0.2%4.4%161.9K-2.4M-17.3K0.69109.383212211,9401,138
2021-11-10$42.34$43.0021.8%6.3%20.8%16.7%35.0%-2.3%1.8%123.7K-1.3M-16.3K0.63123.563462171,9371,138
2021-11-11$43.06$43.0024.4%7.0%19.6%29.5%27.5%4.3%7.1%197.1K-2.2M-15.6K0.63101.173292061,9811,135
2021-11-12$42.88$43.0024.4%7.0%19.6%29.7%28.6%5.3%-2.3%191.4K-1.8M-16.6K0.72116.023382431,9901,146
2021-11-15$42.42$43.0022.8%6.5%19.8%21.5%26.3%-1.6%3.2%124.1K-1.3M-15.7K0.87112.513102701,9961,177
2021-11-16$42.15$43.0025.4%7.3%19.6%34.6%28.3%10.5%1.0%98.1K-850.6K-15.3K0.92104.063273021,9971,209
2021-11-17$41.42$43.0023.5%6.7%20.3%24.9%32.6%5.6%3.4%57.3K-170.1K-14.7K0.88108.043082702,0011,217
2021-11-18$40.95$43.0025.2%7.2%20.5%33.5%29.1%4.9%4.2%79.2K-170.6K-14.7K1.0491.243533672,0061,219
2021-11-19$40.52$43.0028.3%8.1%20.6%49.0%30.0%4.4%-7.1%24.7K518.3K-14.7K1.1490.043263712,0401,325
2021-11-22$40.73$43.0025.0%7.2%20.2%32.6%26.9%1.4%0.1%55.6K47.4K-14.1K1.0581.652582711,7781,100
2021-11-23$41.37$43.0027.4%7.8%19.9%44.3%31.5%1.6%-4.3%92.3K-388.5K-15.2K1.1294.882502791,8211,102
2021-11-24$43.24$43.0024.8%7.1%24.2%31.3%28.5%0.3%0.6%183.4K-1.9M-16.0K1.0198.472772791,8471,107
2021-11-26$43.29$43.0027.3%7.8%23.9%43.9%28.6%6.6%-1.3%170.9K-1.8M-15.2K0.9198.523082801,8661,109
2021-11-29$42.45$43.0024.8%7.1%24.8%31.6%33.1%11.9%12.7%140.3K-1.4M-15.7K1.22105.182342861,8421,110
2021-11-30$41.75$43.0034.2%9.8%24.8%78.2%43.6%5.3%-7.2%100.5K-889.7K-13.5K1.34109.052283051,8501,138