CQP Options History — September 2008

In September 2008, CQP traded between $6.95 and $10.07. ATM implied volatility averaged 73.1%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 21.0%. IV traded above realized volatility by 10.2% (HV 20d: 62.9%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 6 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.54.

Notable Days

2008-09-15: Highest Volume — 1,035 contracts
2008-09-30: Largest IV drop — 48.0% change
2008-09-29: Highest IV Rank — 64.9%
2008-09-29: Largest Expected Move — 32.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.25	$6.95	$10.07	$10.07	$6.95
Max Pain	$9.29	$7.50	$12.50	$12.50	$7.50
ATM IV	73.1%	58.1%	111.8%	68.6%	58.1%
Expected Move	21.0%	16.7%	32.0%	19.7%	16.7%
HV 20d	62.9%	50.3%	71.0%	67.6%	66.6%
HV 60d	66.0%	61.9%	69.7%	62.4%	69.7%
IV Rank	38.5%	28.3%	64.9%	35.4%	28.3%
IV Percentile	68.6%	46.8%	98.8%	63.9%	46.8%
Term Structure	1.0%	-5.4%	24.4%	3.4%	5.1%
VWIV	70.1%	62.6%	78.0%	68.3%	70.2%
Skew 25d	5.0%	-16.9%	21.6%	10.1%	3.4%
Skew 10d	13.4%	-12.4%	35.8%	13.7%	16.3%
Call IV 25d	67.1%	48.6%	76.3%	54.7%	75.4%
Put IV 25d	72.2%	53.2%	92.2%	64.8%	78.8%
Bid-Ask Spread %	88.36	37.40	186.03	37.40	108.29
Gamma HHI	0.67	0.35	0.93	0.66	0.90
Net GEX	-7.2K	-25.0K	3.1K	-8.8K	-15.3K
Net DEX	996.7K	227.0K	1.5M	1.2M	508.8K
Net VEX	-2.0K	-3.2K	-1.3K	-3.2K	-1.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.54	0.00	8.00	8.00	0.80
Total Volume	70.238	0	1,035	1	45
Total OI	3,354.333	2,204	4,466	3,782	2,276

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
2008-09-02	$10.07	$12.50	68.6%	19.7%	67.6%	35.4%	0.0%	10.1%	3.4%	-8.8K	1.2M	-3.2K	0.00	37.40	0	1	1,517	2,265
2008-09-03	$9.91	$12.50	68.3%	19.6%	68.3%	35.2%	68.3%	12.8%	2.3%	-7.1K	1.3M	-3.1K	8.00	54.12	2	16	1,517	2,266
2008-09-04	$9.71	$12.50	71.9%	20.6%	69.4%	37.7%	71.9%	8.1%	-2.9%	-5.0K	1.3M	-2.9K	1.00	56.61	3	3	1,517	2,268
2008-09-05	$9.40	$10.00	73.1%	20.6%	69.3%	38.5%	0.0%	2.3%	-4.8%	-1.2K	1.4M	-2.5K	0.00	64.45	0	5	1,517	2,271
2008-09-08	$9.00	$10.00	70.3%	20.6%	71.0%	36.6%	0.0%	-16.9%	-3.3%	2.3K	1.4M	-2.1K	1.00	48.50	10	10	1,517	2,271
2008-09-09	$8.09	$10.00	71.1%	21.1%	64.2%	37.1%	0.0%	1.7%	-0.3%	3.1K	1.4M	-1.6K	0.00	79.56	12	0	1,507	2,251
2008-09-10	$7.86	$10.00	73.6%	21.5%	64.7%	38.8%	0.0%	-3.0%	-1.2%	2.9K	1.3M	-1.4K	1.30	80.62	10	13	1,505	2,034
2008-09-11	$7.85	$10.00	77.1%	22.1%	64.5%	41.2%	0.0%	7.2%	-3.9%	3.0K	1.2M	-1.5K	0.00	67.68	0	0	1,505	2,025
2008-09-12	$7.86	$10.00	76.3%	21.9%	64.5%	40.7%	0.0%	17.6%	-1.2%	3.0K	1.3M	-1.5K	0.00	81.63	0	0	1,505	2,025
2008-09-15	$7.54	$10.00	72.2%	20.7%	65.9%	37.8%	72.1%	0.2%	-1.1%	2.7K	1.2M	-1.3K	0.00	96.72	0	1,035	1,505	2,025
2008-09-16	$7.40	$10.00	75.4%	21.6%	50.3%	40.1%	0.0%	4.5%	-1.5%	-10.6K	1.5M	-2.1K	0.37	99.35	54	20	1,505	2,961
2008-09-17	$7.71	$10.00	77.2%	22.1%	53.6%	41.3%	67.6%	5.2%	-4.5%	-10.2K	1.5M	-2.1K	0.00	96.55	0	11	1,509	2,939
2008-09-18	$8.15	$7.50	76.3%	21.9%	58.3%	40.7%	0.0%	-2.3%	3.4%	-11.3K	1.4M	-2.3K	1.17	101.03	6	7	1,509	2,934
2008-09-19	$8.50	$7.50	67.8%	19.4%	57.7%	34.9%	78.0%	4.6%	-5.4%	-25.0K	1.3M	-1.4K	4.90	99.33	21	103	1,505	2,938
2008-09-22	$7.94	$7.50	68.6%	19.7%	59.4%	35.4%	0.0%	-9.0%	4.3%	-12.1K	237.4K	-2.0K	0.40	99.86	25	10	826	1,378
2008-09-23	$8.10	$7.50	67.4%	19.3%	60.4%	34.6%	0.0%	13.8%	3.9%	-14.0K	283.3K	-2.0K	0.00	94.23	2	0	844	1,421
2008-09-24	$7.95	$7.50	61.8%	17.7%	60.4%	30.8%	62.6%	2.8%	9.4%	-14.0K	227.0K	-2.0K	0.03	99.10	30	1	844	1,421
2008-09-25	$7.93	$7.50	70.2%	20.1%	60.2%	36.5%	70.2%	15.8%	-0.7%	-13.2K	263.6K	-2.1K	1.00	101.18	10	10	844	1,422
2008-09-26	$8.02	$7.50	77.2%	22.1%	60.1%	41.3%	0.0%	5.2%	-4.1%	-12.1K	243.2K	-2.1K	0.00	103.36	0	0	854	1,422
2008-09-29	$7.40	$7.50	111.8%	32.0%	64.9%	64.9%	0.0%	21.6%	24.4%	-8.9K	360.4K	-1.9K	0.00	186.03	0	0	854	1,422
2008-09-30	$6.95	$7.50	58.1%	16.7%	66.6%	28.3%	0.0%	3.4%	5.1%	-15.3K	508.8K	-1.6K	0.80	108.29	25	20	854	1,422