CQP Options History — March 2008

In March 2008, CQP traded between $14.85 and $16.52. ATM implied volatility averaged 38.9%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 11.7% (HV 20d: 27.2%). 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 12 of 20 days. Put/call ratio averaged 3.75.

Notable Days

2008-03-10: Highest Volume — 50 contracts
2008-03-17: Largest IV spike — 154.4% change
2008-03-18: Highest IV Rank — 49.4%
2008-03-18: Largest Expected Move — 25.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.49	$14.85	$16.52	$16.52	$14.92
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	38.9%	26.2%	87.6%	32.2%	33.6%
Expected Move	11.1%	7.5%	25.1%	9.2%	9.6%
HV 20d	27.2%	22.9%	30.0%	26.4%	29.1%
HV 60d	25.1%	23.4%	27.1%	23.4%	24.7%
IV Rank	16.8%	8.4%	49.4%	12.4%	13.3%
IV Percentile	60.7%	29.6%	91.0%	57.0%	58.7%
Term Structure	-3.0%	-46.7%	11.3%	-5.9%	0.7%
VWIV	37.6%	31.9%	46.6%	35.7%	36.1%
Skew 25d	6.1%	1.3%	11.0%	1.3%	3.6%
Skew 10d	0.2%	-59.7%	11.1%	-59.7%	5.5%
Call IV 25d	35.2%	27.7%	68.2%	68.2%	34.1%
Put IV 25d	41.3%	34.3%	69.5%	69.5%	37.7%
Bid-Ask Spread %	98.68	47.46	166.84	81.33	102.34
Gamma HHI	0.37	0.29	0.47	0.34	0.29
Net GEX	28	-3.9K	3.6K	-944	857
Net DEX	328.0K	104.3K	507.5K	179.6K	203.3K
Net VEX	-1.8K	-2.9K	-1.2K	-2.9K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.75	0.00	40.00	0.00	0.00
Total Volume	15	0	50	40	33
Total OI	1,149.6	780	1,363	1,363	818

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
2008-03-03	$16.52	$17.50	32.2%	9.2%	26.4%	12.4%	0.0%	0.0%	-5.9%	-944	179.6K	-2.9K	0.00	81.33	40	0	802	561
2008-03-04	$16.37	$17.50	30.1%	8.6%	25.1%	11.0%	35.7%	0.0%	-5.7%	-2.2K	232.1K	-2.8K	0.00	91.86	22	0	779	561
2008-03-05	$16.40	$17.50	30.1%	8.6%	25.0%	11.0%	0.0%	0.0%	-4.7%	-3.5K	270.6K	-2.6K	0.00	92.19	25	0	769	561
2008-03-06	$16.01	$17.50	26.2%	7.5%	25.7%	8.4%	46.6%	0.0%	-3.3%	-536	392.8K	-2.2K	0.00	63.58	0	4	789	561
2008-03-07	$15.82	$17.50	33.5%	7.8%	24.3%	13.2%	0.0%	0.0%	11.3%	-2.0K	366.6K	-2.3K	0.00	56.85	0	0	789	557
2008-03-10	$15.51	$17.50	34.7%	10.4%	24.8%	14.0%	31.9%	0.0%	-3.4%	-3.1K	465.9K	-1.9K	0.25	47.46	40	10	789	557
2008-03-11	$15.32	$17.50	36.5%	9.1%	24.1%	15.3%	0.0%	0.0%	0.6%	-3.9K	499.6K	-1.7K	0.94	60.26	16	15	761	557
2008-03-12	$15.48	$17.50	26.8%	9.9%	24.5%	8.8%	0.0%	0.0%	-0.7%	-2.7K	507.5K	-1.6K	40.00	95.61	1	40	760	542
2008-03-13	$15.65	$17.50	29.7%	8.5%	25.1%	10.7%	0.0%	0.0%	6.7%	1.6K	492.4K	-1.6K	0.00	119.10	1	0	759	502
2008-03-14	$15.70	$17.50	34.4%	9.9%	22.9%	13.8%	0.0%	0.0%	1.3%	2.2K	460.5K	-1.7K	0.00	114.86	0	0	758	502
2008-03-17	$14.85	$17.50	87.5%	25.1%	29.7%	49.4%	0.0%	0.0%	-27.4%	1.0K	304.2K	-2.1K	0.00	166.84	0	0	758	502
2008-03-18	$15.31	$17.50	87.6%	25.1%	29.2%	49.4%	0.0%	1.3%	-46.7%	732	466.8K	-1.5K	3.33	159.43	3	10	758	490
2008-03-19	$15.04	$17.50	33.7%	9.7%	29.5%	13.4%	0.0%	5.3%	2.0%	813	480.8K	-1.4K	0.00	107.05	2	0	760	490
2008-03-20	$15.25	$17.50	36.2%	10.4%	30.0%	15.1%	0.0%	11.0%	2.5%	143	504.0K	-1.3K	0.00	110.22	0	0	760	490
2008-03-24	$15.28	$17.50	36.3%	10.4%	30.0%	15.1%	0.0%	9.0%	6.8%	3.6K	104.3K	-1.5K	0.00	91.98	0	0	541	239
2008-03-25	$15.38	$17.50	43.6%	12.5%	29.7%	20.0%	0.0%	10.7%	2.0%	2.8K	129.5K	-1.4K	0.00	108.15	0	0	541	239
2008-03-26	$15.00	$17.50	36.2%	10.4%	29.6%	15.1%	36.1%	4.7%	0.1%	2.3K	143.8K	-1.3K	0.50	107.06	10	5	541	239
2008-03-27	$15.00	$17.50	34.6%	9.9%	29.2%	14.0%	0.0%	6.8%	2.6%	2.0K	168.6K	-1.2K	0.00	99.80	0	20	551	244
2008-03-28	$14.98	$17.50	34.0%	9.8%	29.1%	13.6%	0.0%	2.9%	1.3%	1.4K	186.3K	-1.2K	0.00	97.56	3	0	551	264
2008-03-31	$14.92	$17.50	33.6%	9.6%	29.1%	13.3%	0.0%	3.6%	0.7%	857	203.3K	-1.2K	0.00	102.34	33	0	554	264