CQP Options History — November 2007

In November 2007, CQP traded between $16.78 and $18.79. ATM implied volatility averaged 33.5%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 13.3% (HV 20d: 20.2%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.13.

Notable Days

2007-11-20: Highest Volume — 77 contracts
2007-11-08: Largest IV spike — 429.7% change
2007-11-08: Highest IV Rank — 85.4%
2007-11-08: Largest Expected Move — 13.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.45	$16.78	$18.79	$18.79	$17.15
Max Pain	$19.76	$17.50	$20.00	$17.50	$20.00
ATM IV	33.5%	20.4%	126.2%	21.4%	27.3%
Expected Move	8.3%	5.9%	13.9%	6.1%	7.8%
HV 20d	20.2%	13.1%	24.3%	22.7%	15.0%
HV 60d	23.2%	20.4%	25.7%	25.7%	20.4%
IV Rank	15.0%	5.1%	85.4%	5.8%	10.3%
IV Percentile	44.8%	8.1%	97.9%	12.1%	39.1%
Term Structure	-1.2%	-10.0%	5.3%	5.3%	-0.1%
VWIV	41.0%	25.8%	56.3%	25.8%	56.3%
Skew 25d	1.3%	-9.1%	26.2%	2.6%	0.5%
Skew 10d	-0.7%	-14.5%	13.0%	4.6%	-1.0%
Call IV 25d	30.7%	15.6%	55.6%	23.7%	29.9%
Put IV 25d	31.9%	23.7%	81.8%	26.4%	30.4%
Bid-Ask Spread %	93.23	46.20	152.19	97.44	97.86
Gamma HHI	0.52	0.34	0.68	0.45	0.54
Net GEX	-1.2K	-6.2K	2.2K	364	2.0K
Net DEX	1.7M	928.1K	2.1M	1.3M	1.7M
Net VEX	-4.0K	-7.3K	-1.3K	-6.7K	-2.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.13	0.00	0.50	0.00	0.00
Total Volume	12.762	0	77	0	0
Total OI	2,894.857	2,453	3,045	3,023	2,643

Daily Data (21 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
2007-11-01	$18.79	$17.50	21.4%	6.1%	22.7%	5.8%	0.0%	2.6%	5.3%	364	1.3M	-6.7K	0.00	97.44	0	0	1,442	1,581
2007-11-02	$18.44	$17.50	22.8%	6.5%	23.9%	6.9%	0.0%	12.0%	-5.5%	-492	1.3M	-6.7K	0.00	69.34	0	0	1,442	1,581
2007-11-05	$18.40	$20.00	22.6%	8.1%	24.0%	6.8%	0.0%	2.9%	-2.6%	175	1.5M	-6.0K	0.00	46.20	0	20	1,442	1,581
2007-11-06	$18.33	$20.00	45.6%	9.6%	23.2%	24.2%	0.0%	3.4%	-10.0%	-1.2K	1.5M	-6.4K	0.00	59.24	30	0	1,442	1,601
2007-11-07	$18.15	$20.00	23.8%	7.9%	23.5%	7.7%	0.0%	8.7%	0.1%	-2.2K	1.7M	-5.3K	0.00	73.42	0	0	1,424	1,601
2007-11-08	$18.02	$20.00	126.2%	13.9%	23.5%	85.4%	0.0%	-4.1%	1.8%	-6.2K	928.1K	-7.3K	0.20	143.40	5	1	1,424	1,601
2007-11-09	$17.64	$20.00	31.4%	8.2%	24.3%	13.4%	0.0%	-2.2%	0.3%	-2.5K	1.8M	-5.0K	0.00	92.84	2	0	1,424	1,601
2007-11-12	$17.50	$20.00	31.2%	7.8%	20.9%	13.3%	0.0%	-5.6%	0.3%	-5.0K	2.0M	-4.0K	0.50	65.40	20	10	1,424	1,601
2007-11-13	$17.28	$20.00	32.1%	7.6%	21.2%	13.9%	0.0%	-3.9%	0.8%	-5.0K	2.1M	-3.6K	0.00	97.15	0	3	1,434	1,611
2007-11-14	$17.18	$20.00	32.2%	8.0%	21.1%	14.0%	0.0%	-7.1%	-1.3%	-5.1K	2.0M	-3.5K	0.00	65.52	0	5	1,434	1,539
2007-11-15	$17.21	$20.00	29.1%	8.3%	20.5%	11.7%	0.0%	-7.8%	-1.5%	-5.0K	2.0M	-3.5K	0.00	90.52	0	0	1,434	1,534
2007-11-16	$17.00	$20.00	26.9%	7.7%	20.7%	10.0%	0.0%	-9.1%	0.9%	-2.0K	2.1M	-3.0K	0.00	74.21	0	10	1,434	1,534
2007-11-19	$16.84	$20.00	42.1%	12.1%	20.8%	21.6%	0.0%	26.2%	-8.5%	1.3K	1.5M	-4.6K	0.00	152.19	0	0	1,424	1,437
2007-11-20	$16.96	$20.00	27.7%	7.9%	21.2%	10.6%	25.8%	-0.8%	0.2%	2.2K	2.0M	-2.7K	0.20	75.37	64	13	1,424	1,437
2007-11-21	$16.84	$20.00	28.6%	8.2%	20.0%	11.3%	0.0%	-3.5%	-0.3%	1.8K	2.0M	-2.6K	0.00	102.55	0	0	1,370	1,432
2007-11-23	$17.01	$20.00	32.9%	9.4%	20.7%	14.6%	0.0%	7.9%	-6.7%	1.5K	1.9M	-2.8K	0.00	126.39	0	0	1,370	1,432
2007-11-26	$16.94	$20.00	28.4%	8.1%	16.1%	11.1%	0.0%	-1.3%	-0.1%	1.7K	2.0M	-2.5K	0.00	84.67	10	0	1,370	1,432
2007-11-27	$16.78	$20.00	22.4%	6.4%	13.1%	6.6%	56.3%	7.9%	2.7%	1.6K	2.0M	-2.2K	0.00	123.63	0	20	1,370	1,432
2007-11-28	$17.00	$20.00	28.1%	8.1%	14.1%	11.0%	0.0%	-1.4%	-0.0%	1.4K	1.7M	-2.3K	0.00	87.98	55	0	1,370	1,230
2007-11-29	$16.94	$20.00	20.4%	5.9%	13.9%	5.1%	0.0%	0.0%	0.0%	-3.6K	1.8M	-1.3K	0.00	132.44	0	0	1,233	1,220
2007-11-30	$17.15	$20.00	27.3%	7.8%	15.0%	10.3%	0.0%	0.5%	-0.1%	2.0K	1.7M	-2.5K	0.00	97.86	0	0	1,413	1,230