CQP Options History — March 2022

In March 2022, CQP traded between $47.17 and $59.12. ATM implied volatility averaged 40.8%, placing in the 46.6% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 14.7% (HV 20d: 55.5%). Max pain ranged from $39.00 to $50.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.81.

Notable Days

  • 2022-03-10: Highest Volume — 1,273 contracts
  • 2022-03-07: Largest IV spike — 40.3% change
  • 2022-03-07: Highest IV Rank — 65.9%
  • 2022-03-11: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.31$47.17$59.12$55.26$56.53
Max Pain$46.48$39.00$50.00$46.00$50.00
ATM IV40.8%33.4%50.0%36.8%37.0%
Expected Move11.6%7.6%16.0%10.5%10.7%
HV 20d55.5%40.1%64.2%41.2%63.0%
HV 60d40.9%32.5%46.6%33.6%46.3%
IV Rank46.6%31.2%65.9%38.3%38.7%
IV Percentile93.5%82.5%99.6%94.8%89.7%
Term Structure-1.3%-13.5%6.4%-0.1%-1.3%
VWIV49.5%36.8%70.4%37.9%44.7%
Skew 25d5.5%-5.1%20.2%10.2%5.8%
Skew 10d8.8%-7.3%22.5%-7.3%5.0%
Call IV 25d39.8%31.0%51.5%33.9%34.9%
Put IV 25d45.2%34.9%67.1%44.1%40.7%
Bid-Ask Spread %95.5976.38128.6194.6987.36
Gamma HHI0.160.110.220.200.18
Net GEX186.8K44.6K278.1K258.1K272.5K
Net DEX-6.2M-11.6M-782.9K-8.8M-8.0M
Net VEX-33.7K-40.5K-28.1K-31.0K-34.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.371.540.420.96
Total Volume9085141,2731,097561
Total OI5,100.7834,2775,8084,6425,347

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-03-01$55.26$46.0036.8%10.5%41.2%38.3%37.9%10.2%-0.1%258.1K-8.8M-31.0K0.4294.697733243,1011,541
2022-03-02$55.46$46.0048.5%13.9%41.2%62.8%49.2%6.1%-3.2%278.1K-8.1M-28.1K0.6085.646413823,0891,567
2022-03-03$55.05$46.0038.4%11.0%40.1%41.5%37.9%7.2%-1.7%257.8K-8.3M-29.6K0.5698.177364133,0931,609
2022-03-04$58.46$46.0035.6%10.2%44.5%35.8%39.4%11.1%2.3%221.0K-10.3M-34.1K0.4492.917383223,2051,640
2022-03-07$58.51$46.0050.0%14.3%44.6%65.9%51.4%4.9%-6.1%232.9K-10.9M-36.7K0.3797.948753263,2861,661
2022-03-08$59.12$46.0045.0%14.3%41.3%55.4%50.1%8.3%-0.2%238.3K-11.6M-37.7K0.45100.628133653,4351,698
2022-03-09$55.33$47.0044.8%13.7%46.4%55.1%56.3%-4.0%-0.9%239.5K-8.6M-35.2K0.95101.636366063,4621,877
2022-03-10$56.31$47.0048.0%14.0%46.5%61.7%52.1%14.2%-5.9%236.3K-8.7M-37.6K0.4096.789103633,4641,979
2022-03-11$54.01$47.0044.3%16.0%49.7%53.9%57.9%20.2%1.9%228.0K-7.4M-38.4K0.69104.675003463,5231,981
2022-03-14$48.66$44.0048.4%13.1%62.8%62.5%48.7%7.4%4.1%93.9K-2.2M-30.2K0.8989.495154563,4911,982
2022-03-15$47.17$45.0046.0%12.7%63.7%57.5%49.4%4.4%-1.5%44.6K-782.9K-28.5K0.9392.694874553,5792,087
2022-03-16$47.31$45.0038.5%11.4%63.2%41.8%41.6%-1.2%2.3%77.9K-2.0M-32.4K0.8492.905334493,6032,093
2022-03-17$48.43$0.0047.7%11.8%63.7%61.0%0.0%1.0%-13.5%118.5K-2.6M-31.8K0.73128.614773493,6732,094
2022-03-18$48.76$0.0035.0%9.5%63.7%34.5%59.4%4.6%-3.4%175.1K-3.0M-30.0K0.89107.304724193,7142,094
2022-03-21$48.81$39.0043.3%9.9%63.6%51.8%69.5%-2.1%-3.9%93.7K-3.2M-35.0K1.06104.583683913,0221,255
2022-03-22$50.40$47.0035.4%9.0%64.2%35.4%70.4%8.6%-1.8%99.6K-3.1M-28.6K1.54103.293244993,0691,380
2022-03-23$51.20$47.0033.4%11.9%63.9%31.2%50.4%10.7%6.4%109.3K-4.2M-33.7K0.6797.043472313,0941,510
2022-03-24$52.88$48.0034.2%8.8%59.6%32.7%52.0%3.0%2.9%156.5K-5.0M-34.7K0.8699.062992573,1111,532
2022-03-25$55.61$48.0036.6%10.6%61.9%37.8%42.9%5.3%2.2%198.0K-6.9M-36.4K0.7676.385854423,1451,562
2022-03-28$53.88$48.0037.3%10.4%62.8%39.3%53.2%-5.1%-0.8%203.1K-5.8M-34.7K1.3880.113224443,3781,744
2022-03-29$53.64$48.0036.9%7.6%61.5%38.6%36.8%-0.5%-9.3%209.7K-6.0M-36.1K1.0683.033013183,4741,755
2022-03-30$55.36$50.0036.7%10.7%62.6%38.1%38.0%5.3%1.1%254.6K-7.2M-40.5K1.1783.742372773,4791,840
2022-03-31$56.53$50.0037.0%10.7%63.0%38.7%44.7%5.8%-1.3%272.5K-8.0M-34.7K0.9687.362862753,4851,862