CQP Options History — September 2023

In September 2023, CQP traded between $52.23 and $57.49. ATM implied volatility averaged 22.7%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.6% (HV 20d: 21.1%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.49.

Notable Days

2023-09-14: Highest Volume — 301 contracts
2023-09-05: Largest IV spike — 50.7% change
2023-09-22: Highest IV Rank — 13.3%
2023-09-22: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$54.62	$52.23	$57.49	$53.45	$54.29
Max Pain	$49.50	$45.00	$50.00	$50.00	$50.00
ATM IV	22.7%	14.7%	33.3%	14.7%	29.6%
Expected Move	6.5%	4.2%	9.6%	4.2%	8.5%
HV 20d	21.1%	16.7%	29.0%	17.0%	29.0%
HV 60d	20.7%	19.2%	23.4%	20.6%	23.4%
IV Rank	5.7%	0.0%	13.3%	0.0%	10.6%
IV Percentile	15.1%	0.0%	50.0%	0.0%	41.3%
Term Structure	3.4%	-6.2%	19.2%	4.8%	-6.2%
VWIV	24.5%	14.9%	50.8%	14.9%	24.6%
Skew 25d	5.7%	0.8%	22.0%	0.8%	7.2%
Skew 10d	7.7%	-16.3%	29.5%	-0.9%	29.5%
Call IV 25d	19.1%	13.2%	26.8%	13.2%	23.5%
Put IV 25d	24.8%	14.0%	35.2%	14.0%	30.6%
Bid-Ask Spread %	85.27	51.95	110.45	94.93	89.54
Gamma HHI	0.62	0.38	0.93	0.82	0.41
Net GEX	328.6K	136.9K	1.1M	447.7K	136.9K
Net DEX	-3.4M	-4.3M	-2.1M	-4.1M	-2.2M
Net VEX	-14.1K	-18.3K	-11.0K	-13.5K	-16.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.00	2.20	0.13	0.00
Total Volume	86.3	6	301	34	6
Total OI	2,566.2	1,765	3,370	2,956	2,153

Daily Data (20 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
2023-09-01	$53.45	$50.00	14.7%	4.2%	17.0%	0.0%	14.9%	0.8%	4.8%	447.7K	-4.1M	-13.5K	0.13	94.93	30	4	2,140	816
2023-09-05	$53.41	$45.00	22.1%	7.3%	16.7%	5.3%	24.4%	2.6%	10.0%	366.8K	-4.0M	-12.7K	0.22	95.02	67	15	2,131	821
2023-09-06	$52.23	$45.00	21.6%	6.6%	18.4%	5.0%	23.0%	4.0%	-1.4%	380.9K	-2.9M	-11.0K	0.03	88.79	137	4	2,171	832
2023-09-07	$53.55	$50.00	17.2%	5.4%	19.8%	1.8%	50.8%	5.5%	0.1%	581.2K	-4.3M	-12.6K	1.11	88.73	18	20	2,285	831
2023-09-08	$53.30	$50.00	17.7%	5.6%	19.0%	2.1%	20.7%	3.9%	8.7%	429.6K	-4.0M	-12.8K	0.41	93.22	27	11	2,291	835
2023-09-11	$52.91	$50.00	26.6%	5.0%	19.0%	8.5%	20.8%	4.0%	4.5%	371.3K	-3.3M	-11.5K	0.26	73.42	54	14	2,273	843
2023-09-12	$53.72	$50.00	21.0%	5.1%	19.4%	4.5%	22.6%	4.7%	5.4%	548.1K	-4.0M	-12.1K	1.73	65.79	11	19	2,287	852
2023-09-13	$53.69	$50.00	18.4%	5.3%	18.8%	2.6%	0.0%	5.7%	1.9%	527.3K	-3.8M	-11.4K	0.30	52.40	23	7	2,281	858
2023-09-14	$54.45	$50.00	19.1%	5.5%	18.1%	3.2%	19.1%	7.2%	5.0%	1.1M	-4.3M	-11.5K	2.20	51.95	94	207	2,293	862
2023-09-15	$53.80	$50.00	20.4%	5.8%	18.9%	4.1%	16.0%	5.7%	19.2%	146.0K	-3.1M	-12.6K	0.07	53.45	88	6	2,354	1,016
2023-09-18	$54.39	$50.00	19.0%	5.5%	18.1%	3.1%	18.9%	6.2%	9.0%	153.2K	-2.1M	-12.9K	0.05	90.71	59	3	1,194	571
2023-09-19	$55.45	$50.00	22.7%	6.5%	19.0%	5.7%	27.7%	10.6%	0.4%	160.1K	-2.8M	-13.4K	0.13	98.41	150	20	1,253	574
2023-09-20	$57.49	$50.00	21.7%	6.2%	21.9%	5.0%	17.4%	2.7%	6.2%	181.2K	-4.1M	-15.3K	0.27	90.96	126	34	1,387	582
2023-09-21	$56.67	$50.00	25.2%	7.2%	22.0%	7.5%	23.0%	3.3%	3.1%	172.0K	-3.5M	-17.1K	0.40	90.14	139	56	1,424	618
2023-09-22	$55.34	$50.00	33.3%	9.6%	24.4%	13.3%	38.9%	22.0%	-1.6%	144.1K	-3.1M	-18.3K	0.72	110.45	32	23	1,448	627
2023-09-25	$55.92	$50.00	26.6%	7.6%	24.4%	8.5%	26.8%	1.7%	-5.0%	190.6K	-2.9M	-16.2K	0.26	96.51	54	14	1,428	639
2023-09-26	$56.39	$50.00	25.4%	7.3%	24.5%	7.7%	24.1%	2.9%	-5.1%	181.5K	-3.4M	-17.0K	0.10	90.23	30	3	1,474	640
2023-09-27	$57.08	$50.00	28.3%	8.1%	24.6%	9.7%	28.3%	1.4%	4.7%	168.0K	-3.8M	-16.7K	0.74	93.22	31	23	1,472	643
2023-09-28	$54.96	$50.00	23.7%	6.8%	28.9%	6.5%	22.6%	12.6%	4.6%	147.9K	-2.7M	-17.0K	0.68	97.57	40	27	1,474	651
2023-09-29	$54.29	$50.00	29.6%	8.5%	29.0%	10.6%	24.6%	7.2%	-6.2%	136.9K	-2.2M	-16.9K	0.00	89.54	6	0	1,481	672