CQP Options History — February 2008

In February 2008, CQP traded between $16.39 and $17.39. ATM implied volatility averaged 58.3%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 34.4% (HV 20d: 23.9%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.46.

Notable Days

2008-02-25: Highest Volume — 145 contracts
2008-02-07: Largest IV spike — 193.0% change
2008-02-11: Highest IV Rank — 100.0%
2008-02-15: Largest Expected Move — 24.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.90	$16.39	$17.39	$16.51	$16.79
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	58.3%	24.5%	163.2%	33.4%	32.7%
Expected Move	13.3%	7.0%	24.6%	9.6%	9.4%
HV 20d	23.9%	17.7%	27.6%	17.7%	25.8%
HV 60d	21.8%	19.9%	23.3%	19.9%	23.2%
IV Rank	30.9%	7.2%	100.0%	14.9%	12.7%
IV Percentile	70.3%	23.5%	100.0%	62.1%	58.1%
Term Structure	-16.9%	-71.0%	33.4%	6.3%	-3.5%
VWIV	46.3%	22.2%	84.0%	43.1%	36.1%
Bid-Ask Spread %	139.40	74.09	177.81	138.91	79.45
Gamma HHI	0.40	0.33	0.48	0.34	0.35
Net GEX	1.5K	-1.8K	4.5K	-1.8K	-752
Net DEX	53.0K	-47.7K	190.4K	190.4K	117.0K
Net VEX	-3.1K	-3.5K	-2.6K	-3.0K	-3.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.00	2.67	0.37	2.29
Total Volume	24.8	0	145	26	0
Total OI	1,245.35	1,188	1,363	1,202	1,363

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
2008-02-01	$16.51	$17.50	33.4%	9.6%	17.7%	14.9%	0.0%	0.0%	6.3%	-1.8K	190.4K	-3.0K	0.37	138.91	19	7	644	558
2008-02-04	$16.90	$17.50	36.9%	9.0%	19.4%	17.6%	0.0%	0.0%	1.1%	-882	114.1K	-3.1K	0.00	169.52	0	0	657	560
2008-02-05	$16.96	$17.50	49.5%	13.2%	19.2%	27.2%	43.1%	0.0%	-29.7%	1.7K	57.7K	-3.3K	0.50	151.70	40	20	657	560
2008-02-06	$17.15	$17.50	28.9%	7.7%	19.5%	11.5%	27.3%	0.0%	-8.9%	2.8K	34.5K	-3.0K	0.16	151.56	25	4	680	540
2008-02-07	$16.68	$17.50	84.6%	22.5%	22.0%	53.8%	0.0%	0.0%	-49.4%	3.5K	3.5K	-3.4K	0.00	175.72	0	0	703	544
2008-02-08	$16.80	$17.50	81.6%	14.1%	22.0%	51.6%	0.0%	0.0%	-33.2%	2.0K	-19.7K	-3.5K	0.00	174.03	4	0	703	544
2008-02-11	$17.02	$17.50	163.2%	14.6%	22.3%	100.0%	84.0%	0.0%	-65.1%	4.5K	-5.9K	-3.2K	0.00	177.81	12	0	699	544
2008-02-12	$17.10	$17.50	110.3%	16.2%	22.3%	64.6%	53.8%	0.0%	-36.9%	4.5K	14.5K	-3.1K	0.43	176.03	23	10	708	544
2008-02-13	$17.05	$17.50	66.3%	11.7%	21.7%	35.2%	0.0%	0.0%	-21.8%	2.8K	57.7K	-3.1K	0.00	132.55	40	0	688	548
2008-02-14	$16.51	$17.50	81.3%	23.3%	24.8%	45.2%	0.0%	0.0%	-63.3%	3.1K	94.7K	-3.1K	0.00	166.32	0	0	718	548
2008-02-15	$16.39	$17.50	86.0%	24.6%	24.9%	48.3%	0.0%	0.0%	-71.0%	3.3K	61.3K	-3.2K	0.00	173.12	0	0	718	548
2008-02-19	$16.95	$17.50	67.2%	19.3%	27.4%	35.8%	70.5%	0.0%	-6.3%	3.5K	-5.1K	-3.2K	0.00	177.45	22	0	685	503
2008-02-20	$16.82	$17.50	55.5%	15.9%	27.6%	27.9%	0.0%	0.0%	33.4%	-802	162.8K	-2.6K	0.00	160.74	4	0	704	503
2008-02-21	$16.93	$17.50	33.3%	9.5%	27.5%	13.1%	22.2%	0.0%	0.7%	-29	85.5K	-2.9K	0.00	74.09	20	0	707	503
2008-02-22	$16.96	$17.50	29.8%	8.5%	27.2%	10.7%	33.7%	0.0%	7.8%	-1.6K	111.5K	-2.8K	2.67	129.06	3	8	687	503
2008-02-25	$17.17	$17.50	32.3%	9.3%	26.4%	12.4%	0.0%	0.0%	1.7%	-715	25.4K	-3.0K	0.00	98.52	145	0	684	511
2008-02-26	$17.39	$17.50	34.7%	10.0%	26.5%	14.1%	0.0%	0.0%	-1.7%	2.9K	-47.7K	-3.2K	0.00	93.88	4	0	788	511
2008-02-27	$17.00	$17.50	33.8%	9.7%	27.6%	13.5%	36.1%	0.0%	-2.0%	2.4K	-27.7K	-3.2K	2.29	100.78	14	32	788	511
2008-02-28	$16.98	$17.50	24.5%	7.0%	25.7%	7.2%	0.0%	0.0%	2.9%	-571	36.2K	-3.1K	0.00	86.65	0	40	802	541
2008-02-29	$16.79	$17.50	32.7%	9.4%	25.8%	12.7%	0.0%	0.0%	-3.5%	-752	117.0K	-3.1K	0.00	79.45	0	0	802	561