CQP Options History — January 2008 In January 2008, CQP traded between $16.16 and $16.88. ATM implied volatility averaged 62.3%, placing in the 36.9% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded above realized volatility by 38.5% (HV 20d: 23.8%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.99.
Notable Days 2008-01-15 : Highest Volume — 126 contracts2008-01-30 : Largest IV spike — 248.4% change2008-01-30 : Highest IV Rank — 80.1%2008-01-30 : Largest Expected Move — 34.2%Monthly Statistics Metric Avg Min Max Open Close Price $16.56 $16.16 $16.88 $16.55 $16.36 Max Pain $15.53 $15.00 $17.50 $15.00 $17.50 ATM IV 62.3% 22.1% 119.2% 65.2% 79.0% Expected Move 18.0% 6.3% 34.2% 18.7% 22.7% HV 20d 23.8% 17.4% 26.7% 26.3% 17.4% HV 60d 20.6% 19.2% 22.0% 22.0% 19.7% IV Rank 36.9% 6.4% 80.1% 39.1% 49.6% IV Percentile 75.0% 14.2% 98.0% 81.9% 88.6% Term Structure -26.4% -73.1% 12.6% 2.6% -9.9% VWIV 60.2% 23.5% 155.2% 50.0% 23.5% Bid-Ask Spread % 162.52 81.56 188.66 188.06 184.24 Gamma HHI 0.39 0.32 0.49 0.48 0.35 Net GEX 2.1K -3.5K 7.7K 6.1K -3.5K Net DEX 55.4K -117.6K 269.1K -117.6K 269.1K Net VEX -2.6K -3.3K -2.0K -2.2K -2.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.99 0.00 4.00 0.00 1.00 Total Volume 46.905 10 126 18 20 Total OI 941.762 679 1,192 679 1,182
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 2008-01-02 $16.55 $0.00 65.2% 18.7% 26.3% 39.1% 0.0% 0.0% 2.6% 6.1K -117.6K -2.2K 0.00 188.06 18 0 473 206 2008-01-03 $16.60 $0.00 22.1% 6.3% 26.4% 6.4% 0.0% 0.0% 3.4% 7.0K -16.6K -2.0K 0.61 94.87 23 14 481 206 2008-01-04 $16.51 $15.00 34.4% 11.0% 26.4% 15.7% 0.0% 0.0% -19.1% 6.2K -111.3K -2.2K 0.33 150.86 30 10 474 206 2008-01-07 $16.67 $15.00 89.3% 16.3% 26.7% 57.4% 50.0% 0.0% -30.1% 6.9K -72.4K -2.1K 2.00 184.22 20 40 498 206 2008-01-08 $16.75 $15.00 24.3% 9.4% 26.7% 8.0% 34.0% 0.0% 0.3% 7.7K -56.4K -2.0K 2.13 81.56 15 32 513 223 2008-01-09 $16.66 $15.00 28.4% 17.6% 25.4% 11.2% 46.1% 0.0% -33.2% 5.2K -33.2K -2.1K 4.00 184.97 10 40 516 247 2008-01-10 $16.56 $15.00 39.5% 11.3% 25.5% 19.6% 0.0% 0.0% -29.8% 4.7K -49.8K -2.4K 0.60 150.27 53 32 516 287 2008-01-11 $16.67 $15.00 50.3% 14.4% 25.1% 27.8% 0.0% 0.0% -26.3% 4.5K 7.1K -2.4K 0.75 158.57 40 30 540 319 2008-01-14 $16.77 $15.00 83.6% 24.0% 25.1% 53.0% 0.0% 0.0% -57.9% 4.2K -30.7K -2.5K 2.00 185.88 10 20 540 339 2008-01-15 $16.55 $15.00 85.1% 24.4% 25.7% 54.2% 0.0% 0.0% -63.5% 3.6K -4.9K -2.5K 1.14 186.83 59 67 540 359 2008-01-16 $16.54 $15.00 37.5% 10.7% 24.7% 18.0% 0.0% 0.0% -7.1% 1.1K 128.6K -2.6K 1.00 129.69 30 30 570 425 2008-01-17 $16.57 $15.00 55.1% 15.8% 23.7% 31.4% 52.2% 0.0% -36.3% 1.0K 102.4K -2.9K 0.31 161.68 65 20 595 455 2008-01-18 $16.40 $15.00 89.6% 25.7% 22.8% 57.6% 0.0% 0.0% -68.4% -15 131.7K -2.8K 0.00 186.50 0 16 559 470 2008-01-22 $16.40 $15.00 99.7% 28.6% 22.8% 65.3% 0.0% 0.0% -68.9% 999 87.2K -2.9K 0.00 174.40 11 0 549 468 2008-01-23 $16.30 $15.00 104.2% 29.9% 21.4% 68.7% 155.2% 0.0% -73.1% 104 151.5K -2.7K 0.00 186.16 15 0 564 468 2008-01-24 $16.50 $15.00 71.4% 20.5% 21.7% 43.8% 0.0% 0.0% -13.0% -2.2K 196.2K -2.9K 2.00 173.98 30 60 613 488 2008-01-25 $16.88 $15.00 28.8% 8.2% 23.0% 11.4% 0.0% 0.0% -4.3% -2.9K 145.2K -3.0K 0.95 128.60 19 18 636 528 2008-01-28 $16.75 $17.50 67.7% 19.4% 23.2% 40.9% 0.0% 0.0% 12.6% -2.0K 131.6K -3.2K 0.00 185.88 0 10 620 538 2008-01-29 $16.59 $17.50 34.2% 9.8% 20.6% 15.6% 23.5% 0.0% 9.3% -3.1K 143.5K -3.2K 0.00 146.93 64 0 620 548 2008-01-30 $16.16 $17.50 119.2% 34.2% 20.1% 80.1% 0.0% 0.0% -42.6% -1.2K 161.3K -3.3K 0.00 188.66 14 0 644 548 2008-01-31 $16.36 $17.50 79.0% 22.7% 17.4% 49.6% 0.0% 0.0% -9.9% -3.5K 269.1K -2.8K 1.00 184.24 10 10 634 548
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