CQP Options History — September 2007

Name: CQP Options Analytics - September 2007
Creator: Options Analysis Suite

In September 2007, CQP traded between $18.11 and $19.15. ATM implied volatility averaged 31.4%. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 3.6% (HV 20d: 27.8%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 2.04.

Notable Days

2007-09-06: Highest Volume — 94 contracts
2007-09-26: Largest IV spike — 171.3% change
2007-09-26: Largest Expected Move — 24.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.75	$18.11	$19.15	$18.90	$18.43
Max Pain	$20.00	$20.00	$20.00	$20.00	$20.00
ATM IV	31.4%	17.2%	85.1%	22.8%	23.9%
Expected Move	8.9%	4.9%	24.4%	6.5%	6.9%
HV 20d	27.8%	25.2%	32.3%	31.8%	26.1%
HV 60d	30.1%	28.8%	31.0%	28.8%	29.9%
Term Structure	-5.2%	-79.9%	9.0%	9.0%	7.1%
VWIV	58.6%	20.8%	96.5%	96.5%	20.8%
Skew 25d	1.5%	-4.0%	8.9%	2.5%	-2.1%
Skew 10d	-0.1%	-10.2%	5.5%	2.4%	0.7%
Call IV 25d	25.1%	15.8%	55.5%	22.6%	25.9%
Put IV 25d	26.6%	22.7%	58.3%	25.1%	23.8%
Bid-Ask Spread %	91.46	53.03	179.00	85.49	59.23
Gamma HHI	0.41	0.33	0.49	0.42	0.34
Net GEX	393	-4.8K	8.8K	-195	-525
Net DEX	1.4M	895.1K	1.6M	1.5M	1.5M
Net VEX	-8.3K	-9.7K	-7.1K	-8.4K	-7.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.04	0.00	15.00	0.00	0.00
Total Volume	22.632	0	94	2	0
Total OI	2,934.895	2,737	3,059	2,901	2,816

Daily Data (19 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
2007-09-04	$18.90	$20.00	22.8%	6.5%	31.8%	0.0%	0.0%	2.5%	9.0%	-195	1.5M	-8.4K	0.00	85.49	0	2	1,283	1,618
2007-09-05	$19.00	$20.00	25.9%	7.4%	30.1%	0.0%	0.0%	3.9%	8.3%	-1.0K	1.4M	-8.7K	0.00	84.65	20	0	1,283	1,616
2007-09-06	$18.24	$20.00	67.9%	19.5%	32.3%	0.0%	96.5%	-4.0%	-79.9%	-1.5K	1.6M	-7.5K	0.27	162.89	74	20	1,303	1,616
2007-09-07	$18.70	$0.00	27.3%	8.8%	31.8%	0.0%	0.0%	3.4%	-4.2%	-650	1.5M	-8.5K	0.45	67.90	22	10	1,363	1,636
2007-09-10	$19.05	$0.00	24.8%	7.9%	27.0%	0.0%	0.0%	5.6%	-2.6%	935	1.4M	-8.7K	4.00	68.83	5	20	1,363	1,636
2007-09-11	$18.80	$0.00	32.2%	6.7%	27.6%	0.0%	0.0%	2.5%	-1.8%	651	1.5M	-8.2K	0.00	88.87	0	7	1,363	1,632
2007-09-12	$18.98	$0.00	28.7%	7.9%	27.6%	0.0%	0.0%	4.3%	-2.7%	901	1.4M	-8.4K	0.00	62.51	0	0	1,363	1,639
2007-09-13	$18.80	$0.00	18.6%	5.3%	28.1%	0.0%	0.0%	0.2%	8.5%	-557	1.5M	-8.2K	15.00	142.67	2	30	1,363	1,639
2007-09-14	$18.99	$0.00	29.9%	8.6%	26.8%	0.0%	0.0%	4.3%	-5.0%	-186	1.5M	-8.6K	0.07	68.56	30	2	1,363	1,668
2007-09-17	$19.10	$0.00	26.6%	7.6%	26.8%	0.0%	0.0%	8.9%	-11.1%	443	1.1M	-9.7K	0.00	128.41	0	10	1,393	1,666
2007-09-18	$19.00	$0.00	27.0%	7.7%	26.8%	0.0%	0.0%	-1.3%	-1.2%	-2.1K	1.4M	-8.5K	0.00	53.03	0	15	1,393	1,666
2007-09-19	$19.15	$0.00	17.2%	4.9%	26.7%	0.0%	20.8%	1.1%	4.1%	7.2K	1.2M	-8.7K	0.65	76.04	40	26	1,393	1,588
2007-09-20	$18.96	$20.00	22.4%	6.4%	26.9%	0.0%	0.0%	2.8%	1.4%	8.8K	1.3M	-8.4K	0.00	89.22	10	0	1,433	1,593
2007-09-21	$18.84	$20.00	24.8%	7.1%	27.2%	0.0%	0.0%	-0.9%	-1.5%	6.4K	1.4M	-8.1K	0.00	82.48	0	0	1,443	1,593
2007-09-24	$18.64	$20.00	31.4%	9.0%	27.5%	0.0%	0.0%	-2.1%	-16.5%	-3.7K	1.3M	-8.0K	0.00	113.47	0	0	1,233	1,504
2007-09-25	$18.20	$20.00	31.4%	9.0%	25.5%	0.0%	0.0%	-0.9%	5.4%	-2.2K	1.5M	-7.1K	0.00	57.55	18	0	1,233	1,504
2007-09-26	$18.42	$20.00	85.1%	24.4%	25.2%	0.0%	0.0%	2.7%	-21.7%	-4.8K	895.1K	-9.2K	0.00	179.00	67	0	1,245	1,504
2007-09-27	$18.11	$20.00	28.0%	8.0%	25.7%	0.0%	0.0%	-3.1%	5.6%	-495	1.5M	-7.1K	0.00	66.85	0	0	1,312	1,504
2007-09-28	$18.43	$20.00	23.9%	6.9%	26.1%	0.0%	0.0%	-2.1%	7.1%	-525	1.5M	-7.2K	0.00	59.23	0	0	1,312	1,504