CQP Options History — December 2023

In December 2023, CQP traded between $49.88 and $61.00. ATM implied volatility averaged 27.8%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 1.2% (HV 20d: 26.6%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.47.

Notable Days

  • 2023-12-11: Highest Volume — 322 contracts
  • 2023-12-21: Largest IV spike — 57.1% change
  • 2023-12-21: Highest IV Rank — 13.8%
  • 2023-12-21: Largest Expected Move — 9.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.87$49.88$61.00$61.00$49.88
Max Pain$57.75$55.00$60.00$55.00$55.00
ATM IV27.8%21.6%34.0%23.5%28.8%
Expected Move7.7%6.2%9.7%6.7%8.3%
HV 20d26.6%18.6%31.0%19.9%28.2%
HV 60d26.9%25.3%28.2%25.4%26.9%
IV Rank9.3%5.0%13.8%6.3%10.1%
IV Percentile43.2%11.5%71.4%21.4%50.8%
Term Structure4.1%-17.1%20.2%0.5%5.7%
VWIV26.9%19.9%33.5%23.5%29.4%
Skew 25d4.2%-5.2%30.2%30.2%3.7%
Skew 10d8.5%-9.1%67.2%67.2%5.9%
Call IV 25d25.5%19.5%33.2%19.5%29.5%
Put IV 25d29.7%23.3%49.8%49.8%33.3%
Bid-Ask Spread %90.2368.73103.9677.2687.64
Gamma HHI0.450.250.850.850.35
Net GEX326.5K-58.5K1.2M982.5K-58.5K
Net DEX-2.3M-11.3M1.6M-11.3M1.6M
Net VEX-15.6K-20.8K-11.8K-20.8K-14.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.007.231.211.09
Total Volume107.151632242111
Total OI3,175.851,8094,0634,0162,394

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-12-01$61.00$55.0023.5%6.7%19.9%6.3%23.5%30.2%0.5%982.5K-11.3M-20.8K1.2177.2619233,108908
2023-12-04$60.69$60.0027.4%7.4%19.1%9.1%19.9%7.2%3.4%980.0K-10.7M-20.6K0.1795.392443,121930
2023-12-05$60.55$60.0025.6%6.6%18.6%7.8%21.0%4.5%4.9%1.1M-10.4M-19.6K0.0095.041703,117936
2023-12-06$58.41$60.0023.9%7.8%23.0%6.6%27.9%5.9%5.9%957.9K-5.8M-19.5K1.1699.0832373,127936
2023-12-07$59.15$60.0022.7%6.5%23.2%5.7%22.8%3.9%8.4%1.2M-7.2M-18.6K0.0087.103303,128922
2023-12-08$58.19$60.0024.0%6.7%24.0%6.6%24.4%-0.9%3.0%941.0K-5.7M-18.4K0.1093.707373,126922
2023-12-11$55.86$60.0033.6%7.5%27.7%13.6%23.2%4.3%-4.8%292.2K-1.7M-13.6K0.3180.40245773,101925
2023-12-12$54.72$60.0031.5%7.4%27.8%12.0%25.5%2.7%7.5%172.3K-498.2K-13.4K0.9681.551101063,009976
2023-12-13$53.44$60.0023.6%6.8%28.6%6.4%23.7%8.2%5.7%81.1K411.3K-12.3K0.8898.831201052,995969
2023-12-14$52.89$60.0024.5%7.0%28.1%7.0%25.0%6.4%12.6%53.5K264.4K-13.9K3.4088.7810342,994971
2023-12-15$52.11$60.0032.1%9.2%28.3%12.5%28.9%5.5%-17.1%-13.9K795.8K-11.8K4.8995.3518882,9981,004
2023-12-18$52.78$60.0028.6%8.2%27.1%9.9%29.9%5.4%-4.5%-19.0K652.3K-12.7K0.5793.66120681,038771
2023-12-19$54.17$55.0027.7%7.9%28.9%9.3%28.5%0.2%11.6%-5.4K45.5K-14.1K1.0668.7363671,120800
2023-12-20$53.48$55.0021.6%6.2%29.0%5.0%30.0%5.1%20.2%-4.9K182.9K-14.9K2.8888.5825721,179845
2023-12-21$53.80$55.0034.0%9.7%29.1%13.8%33.5%-5.2%3.2%-8.5K287.0K-14.9K0.0797.069261,204901
2023-12-22$52.12$55.0030.7%8.8%30.5%11.4%31.1%1.2%6.8%-14.0K748.5K-14.4K7.2387.2313941,274896
2023-12-26$52.22$55.0031.4%9.0%30.4%12.0%30.4%0.9%7.5%-14.4K663.8K-15.2K0.0086.291601,285968
2023-12-27$50.87$55.0030.1%8.6%31.0%11.0%29.2%-2.3%9.8%-29.1K1.2M-13.9K3.18103.96341081,300968
2023-12-28$51.10$55.0029.8%8.6%28.5%10.8%29.8%-3.0%-7.9%-52.1K1.3M-14.0K0.2499.0258141,3101,041
2023-12-29$49.88$55.0028.8%8.3%28.2%10.1%29.4%3.7%5.7%-58.5K1.6M-14.6K1.0987.6453581,3311,063