CQP Options History — August 2008

In August 2008, CQP traded between $7.09 and $10.21. ATM implied volatility averaged 76.8%, placing in the 41.0% IV rank vs the trailing year. The 30-day expected move averaged 21.5%. IV traded above realized volatility by 3.9% (HV 20d: 72.9%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.09.

Notable Days

2008-08-01: Highest Volume — 112 contracts
2008-08-13: Largest IV spike — 30.3% change
2008-08-13: Highest IV Rank — 59.4%
2008-08-01: Largest Expected Move — 23.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.76	$7.09	$10.21	$7.64	$10.06
Max Pain	$12.26	$7.50	$12.50	$7.50	$12.50
ATM IV	76.8%	63.1%	103.7%	83.5%	67.2%
Expected Move	21.5%	19.3%	23.9%	23.9%	19.3%
HV 20d	72.9%	59.3%	83.6%	66.0%	72.8%
HV 60d	63.3%	58.4%	70.8%	69.9%	62.5%
IV Rank	41.0%	31.7%	59.4%	45.6%	34.5%
IV Percentile	76.8%	60.7%	97.6%	87.3%	60.7%
Term Structure	-0.2%	-4.6%	3.8%	0.1%	0.5%
VWIV	77.1%	66.1%	106.9%	106.9%	67.4%
Skew 25d	2.0%	-15.3%	19.1%	-8.5%	13.1%
Skew 10d	12.2%	-12.8%	36.7%	4.0%	18.2%
Call IV 25d	69.7%	48.5%	86.9%	80.6%	52.9%
Put IV 25d	71.7%	63.1%	80.7%	72.1%	66.0%
Bid-Ask Spread %	66.25	36.09	85.95	85.95	55.57
Gamma HHI	0.56	0.43	0.70	0.47	0.69
Net GEX	-4.5K	-11.1K	778	-1.7K	-9.8K
Net DEX	1.3M	1.1M	1.4M	1.3M	1.2M
Net VEX	-3.0K	-3.9K	-2.0K	-2.8K	-3.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.00	10.00	0.00	0.00
Total Volume	32.429	1	112	112	6
Total OI	3,870	3,683	4,037	3,933	3,783

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
2008-08-01	$7.64	$7.50	83.5%	23.9%	66.0%	45.6%	106.9%	-8.5%	0.1%	-1.7K	1.3M	-2.8K	0.00	85.95	112	0	1,495	2,438
2008-08-04	$7.19	$12.50	86.1%	22.3%	66.0%	47.4%	0.0%	-15.3%	-1.8%	358	1.4M	-2.2K	0.00	83.06	0	5	1,599	2,438
2008-08-05	$7.42	$12.50	89.3%	22.8%	59.3%	49.6%	80.1%	-11.8%	-4.6%	-24	1.4M	-2.4K	0.44	78.32	18	8	1,599	2,433
2008-08-06	$7.51	$12.50	88.3%	22.3%	59.6%	48.8%	0.0%	-13.0%	0.8%	472	1.3M	-2.3K	0.00	79.81	7	0	1,617	2,367
2008-08-07	$7.26	$12.50	84.2%	23.2%	59.8%	46.1%	0.0%	-12.5%	-4.2%	250	1.3M	-2.2K	0.00	80.89	3	0	1,611	2,367
2008-08-08	$7.09	$12.50	74.2%	23.1%	59.7%	39.2%	0.0%	-13.6%	-4.3%	778	1.3M	-2.0K	9.09	82.29	11	100	1,608	2,367
2008-08-11	$8.20	$12.50	63.1%	22.7%	81.1%	31.7%	75.0%	2.1%	0.9%	-713	1.3M	-2.5K	0.09	71.83	47	4	1,605	2,340
2008-08-12	$8.32	$12.50	79.6%	22.2%	79.1%	42.9%	87.3%	0.9%	0.5%	-1.7K	1.3M	-2.7K	0.28	79.16	36	10	1,615	2,339
2008-08-13	$8.40	$12.50	103.7%	22.4%	78.7%	59.4%	73.5%	0.9%	0.2%	-1.7K	1.3M	-2.6K	0.22	77.42	46	10	1,646	2,344
2008-08-14	$8.42	$12.50	74.9%	21.5%	77.9%	39.7%	0.0%	-3.7%	3.8%	-1.5K	1.3M	-2.6K	0.67	80.75	15	10	1,648	2,334
2008-08-15	$8.34	$12.50	72.4%	20.7%	75.8%	38.0%	0.0%	-6.4%	3.0%	-1.1K	1.3M	-2.6K	0.00	75.04	5	0	1,633	2,344
2008-08-18	$9.30	$12.50	73.3%	21.0%	83.6%	38.6%	77.0%	19.1%	1.5%	-5.5K	1.3M	-3.3K	0.45	57.82	22	10	1,432	2,251
2008-08-19	$9.30	$12.50	77.4%	22.2%	83.1%	41.4%	77.4%	18.3%	-3.5%	-6.8K	1.2M	-3.6K	0.00	45.03	74	0	1,452	2,261
2008-08-20	$9.30	$12.50	73.0%	20.9%	80.9%	38.4%	0.0%	11.5%	-1.4%	-5.4K	1.2M	-3.4K	0.00	60.72	1	0	1,482	2,261
2008-08-21	$9.75	$12.50	74.0%	21.2%	77.7%	39.1%	0.0%	12.8%	-2.0%	-9.1K	1.1M	-3.8K	0.25	36.09	12	3	1,483	2,261
2008-08-22	$10.09	$12.50	69.8%	20.0%	75.7%	36.3%	67.7%	14.8%	2.0%	-10.2K	1.2M	-3.9K	0.00	53.82	13	0	1,491	2,261
2008-08-25	$10.09	$12.50	70.2%	20.1%	75.7%	36.5%	69.5%	-5.9%	3.2%	-10.4K	1.2M	-3.7K	0.00	45.15	22	0	1,491	2,261
2008-08-26	$10.05	$12.50	71.8%	20.6%	73.7%	37.6%	66.1%	12.2%	-2.1%	-9.7K	1.2M	-3.6K	0.29	54.88	35	10	1,499	2,261
2008-08-27	$10.08	$12.50	69.4%	19.9%	72.3%	36.0%	0.0%	10.8%	1.0%	-9.8K	1.2M	-3.5K	10.00	52.76	1	10	1,509	2,262
2008-08-28	$10.21	$12.50	67.4%	19.3%	72.3%	34.6%	67.4%	15.8%	1.2%	-11.1K	1.2M	-3.6K	0.00	54.81	15	0	1,510	2,272
2008-08-29	$10.06	$12.50	67.2%	19.3%	72.8%	34.5%	0.0%	13.1%	0.5%	-9.8K	1.2M	-3.4K	0.00	55.57	6	0	1,511	2,272