CQP Options History — June 2008

In June 2008, CQP traded between $9.02 and $11.60. ATM implied volatility averaged 66.5%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded above realized volatility by 5.5% (HV 20d: 61.0%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 3.83.

Notable Days

2008-06-12: Highest Volume — 899 contracts
2008-06-09: Largest IV spike — 53.5% change
2008-06-02: Highest IV Rank — 45.6%
2008-06-02: Largest Expected Move — 23.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.60	$9.02	$11.60	$11.24	$9.09
Max Pain	$13.45	$12.50	$17.50	$17.50	$12.50
ATM IV	66.5%	50.1%	81.9%	81.9%	61.0%
Expected Move	19.7%	17.4%	23.5%	23.5%	17.5%
HV 20d	61.0%	32.9%	100.0%	100.0%	36.4%
HV 60d	89.3%	88.7%	89.9%	89.1%	89.8%
IV Rank	34.9%	24.4%	45.6%	45.6%	30.2%
IV Percentile	73.9%	66.3%	88.9%	88.9%	66.3%
Term Structure	-0.1%	-5.5%	9.0%	0.3%	-1.3%
VWIV	66.6%	47.6%	79.7%	79.7%	47.6%
Skew 25d	13.5%	-8.8%	53.7%	8.9%	8.4%
Skew 10d	15.0%	-18.2%	54.6%	20.2%	-16.7%
Call IV 25d	60.2%	35.1%	73.1%	73.1%	65.3%
Put IV 25d	73.7%	50.7%	88.7%	82.0%	73.7%
Bid-Ask Spread %	61.30	25.86	93.03	55.76	81.10
Gamma HHI	0.56	0.24	0.80	0.24	0.74
Net GEX	-11.3K	-20.8K	-4.2K	-5.3K	-11.0K
Net DEX	1.5M	936.8K	2.3M	972.8K	1.9M
Net VEX	-5.0K	-6.6K	-4.2K	-4.7K	-4.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.83	0.00	46.32	0.00	0.00
Total Volume	135.952	3	899	3	4
Total OI	4,561.81	3,974	5,932	4,180	4,105

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
2008-06-02	$11.24	$17.50	81.9%	23.5%	100.0%	45.6%	79.7%	8.9%	0.3%	-5.3K	972.8K	-4.7K	0.00	55.76	3	0	1,624	2,556
2008-06-03	$11.50	$17.50	63.3%	18.1%	97.4%	33.2%	60.5%	13.2%	8.5%	-5.0K	936.8K	-4.6K	0.22	47.28	55	12	1,624	2,556
2008-06-04	$11.50	$17.50	65.4%	18.7%	95.9%	34.6%	66.2%	9.8%	3.6%	-4.4K	939.9K	-4.5K	0.33	25.86	15	5	1,636	2,548
2008-06-05	$11.50	$17.50	60.8%	17.4%	95.6%	31.5%	0.0%	14.6%	9.0%	-4.2K	952.3K	-4.4K	0.00	36.20	0	145	1,638	2,551
2008-06-06	$11.60	$12.50	50.1%	19.7%	95.7%	24.4%	68.7%	34.1%	0.8%	-7.4K	1.0M	-4.9K	0.00	63.86	10	0	1,638	2,696
2008-06-09	$11.11	$12.50	77.0%	21.7%	83.3%	42.3%	0.0%	15.2%	0.2%	-4.8K	1.1M	-4.3K	5.40	60.82	5	27	1,638	2,696
2008-06-10	$11.27	$12.50	52.8%	19.4%	67.3%	26.1%	0.0%	15.9%	-2.4%	-6.1K	1.2M	-4.5K	0.00	56.71	0	100	1,643	2,712
2008-06-11	$11.28	$12.50	52.0%	19.5%	66.8%	25.6%	0.0%	-8.8%	-0.4%	-6.9K	1.2M	-4.7K	0.50	57.14	50	25	1,643	2,797
2008-06-12	$11.50	$12.50	68.3%	19.6%	66.3%	36.5%	69.1%	53.7%	-1.6%	-4.8K	1.2M	-4.7K	46.32	60.67	19	880	1,683	2,822
2008-06-13	$11.27	$12.50	65.5%	18.8%	66.5%	34.6%	0.0%	32.9%	0.8%	-17.9K	1.7M	-6.6K	0.00	60.53	0	20	1,691	3,692
2008-06-16	$11.18	$12.50	74.8%	21.4%	61.2%	40.9%	0.0%	7.6%	-1.8%	-19.5K	1.8M	-6.3K	0.31	56.69	13	4	1,691	3,685
2008-06-17	$10.80	$12.50	72.3%	20.7%	49.0%	39.2%	67.4%	8.2%	-1.8%	-18.4K	1.8M	-5.8K	0.15	56.91	66	10	1,691	3,685
2008-06-18	$10.73	$12.50	70.5%	20.2%	45.0%	38.0%	67.3%	7.0%	-1.4%	-17.8K	1.9M	-5.6K	1.04	63.02	115	120	1,672	3,695
2008-06-19	$10.25	$12.50	69.3%	19.9%	38.5%	37.2%	0.0%	8.6%	1.9%	-14.6K	2.0M	-5.5K	3.90	69.69	105	410	1,777	3,790
2008-06-20	$10.22	$12.50	68.8%	19.7%	37.3%	35.9%	0.0%	11.3%	-2.1%	-15.2K	2.3M	-6.0K	9.68	68.86	25	242	1,833	4,099
2008-06-23	$10.01	$12.50	67.8%	19.4%	32.9%	34.9%	68.1%	14.2%	-2.5%	-20.8K	1.8M	-5.9K	0.50	75.00	10	5	1,056	2,918
2008-06-24	$9.40	$12.50	69.9%	20.0%	37.9%	36.3%	0.0%	8.2%	-4.9%	-15.7K	1.8M	-5.2K	0.02	77.78	61	1	1,066	2,923
2008-06-25	$9.14	$12.50	71.5%	20.5%	36.4%	37.4%	71.6%	4.7%	-5.5%	-12.5K	1.9M	-4.5K	0.10	64.29	105	10	1,119	2,923
2008-06-26	$9.02	$12.50	67.4%	19.3%	35.5%	34.6%	47.6%	9.0%	-2.6%	-11.7K	1.9M	-4.2K	0.43	56.06	46	20	1,077	2,916
2008-06-27	$9.06	$12.50	67.1%	19.2%	36.0%	34.4%	0.0%	6.6%	1.4%	-12.9K	1.9M	-4.6K	0.02	93.03	110	2	1,077	2,916
2008-06-30	$9.09	$12.50	61.0%	17.5%	36.4%	30.2%	0.0%	8.4%	-1.3%	-11.0K	1.9M	-4.3K	0.00	81.10	4	0	1,169	2,936