CQP Options History — October 2008

In October 2008, CQP traded between $4.40 and $6.98. ATM implied volatility averaged 103.2%, placing in the 55.6% IV rank vs the trailing year. The 30-day expected move averaged 27.4%. IV traded below realized volatility by 31.4% (HV 20d: 134.6%). Max pain ranged from $2.50 to $10.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 2.37.

Notable Days

2008-10-29: Highest Volume — 122 contracts
2008-10-14: Largest IV spike — 256.3% change
2008-10-14: Highest IV Rank — 100.0%
2008-10-29: Largest Expected Move — 37.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.44	$4.40	$6.98	$6.98	$6.25
Max Pain	$6.09	$2.50	$10.00	$7.50	$5.00
ATM IV	103.2%	49.6%	176.7%	74.2%	123.2%
Expected Move	27.4%	14.2%	37.4%	21.3%	35.3%
HV 20d	134.6%	66.9%	168.2%	67.1%	168.2%
HV 60d	97.2%	67.3%	111.7%	67.5%	111.7%
IV Rank	55.6%	22.4%	100.0%	39.3%	66.5%
IV Percentile	88.3%	39.3%	100.0%	73.0%	97.6%
Term Structure	0.7%	-51.9%	148.5%	0.9%	-23.4%
VWIV	102.5%	75.4%	140.8%	75.4%	140.8%
Skew 25d	12.0%	-21.6%	41.0%	22.2%	20.4%
Skew 10d	16.9%	-38.4%	49.2%	25.1%	36.9%
Call IV 25d	93.4%	60.2%	128.4%	60.2%	102.1%
Put IV 25d	105.5%	61.2%	147.9%	82.4%	122.5%
Bid-Ask Spread %	109.98	96.95	156.75	103.97	104.43
Gamma HHI	0.47	0.26	0.89	0.88	0.35
Net GEX	-1.4K	-14.2K	1.5K	-14.2K	1.5K
Net DEX	414.6K	61.8K	714.4K	536.1K	61.8K
Net VEX	-717	-1.6K	-368	-1.6K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.37	0.00	20.00	0.00	0.00
Total Volume	21.696	0	122	4	10
Total OI	1,940.522	1,394	2,399	2,319	1,503

Daily Data (23 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
2008-10-01	$6.98	$7.50	74.2%	21.3%	67.1%	39.3%	75.4%	22.2%	0.9%	-14.2K	536.1K	-1.6K	0.00	103.97	4	0	877	1,442
2008-10-02	$6.84	$7.50	67.1%	19.2%	67.1%	34.4%	0.0%	19.4%	3.6%	-13.2K	574.5K	-1.5K	0.00	107.78	0	0	878	1,442
2008-10-03	$6.76	$7.50	71.8%	20.6%	66.9%	37.6%	0.0%	-1.1%	-7.7%	-12.8K	578.3K	-1.4K	0.00	108.91	0	1	878	1,442
2008-10-06	$5.15	$10.00	100.5%	26.7%	112.7%	57.2%	0.0%	1.4%	-9.8%	-630	652.1K	-551	0.00	98.03	0	21	878	1,441
2008-10-07	$5.17	$10.00	85.0%	25.8%	109.2%	46.6%	0.0%	2.3%	-6.0%	213	669.7K	-478	0.00	96.95	4	0	878	1,442
2008-10-08	$5.10	$10.00	82.4%	25.8%	109.2%	44.8%	0.0%	-9.4%	-5.6%	337	682.4K	-368	0.19	119.82	54	10	874	1,442
2008-10-09	$4.75	$10.00	126.1%	23.0%	110.3%	74.7%	83.0%	13.9%	10.1%	-598	608.2K	-432	0.00	117.34	10	0	886	1,427
2008-10-10	$4.40	$5.00	118.9%	23.7%	111.3%	69.8%	0.0%	-21.6%	-11.8%	655	481.7K	-764	0.07	117.98	15	1	896	1,427
2008-10-13	$5.69	$5.00	49.6%	14.2%	150.4%	22.4%	0.0%	0.0%	148.5%	1.4K	714.4K	-562	12.50	156.75	2	25	891	1,427
2008-10-14	$5.55	$5.00	176.7%	31.1%	150.5%	100.0%	110.4%	41.0%	-8.6%	-3.2K	591.0K	-842	0.00	103.39	30	0	891	1,427
2008-10-15	$5.79	$5.00	136.9%	29.4%	150.5%	75.1%	0.0%	17.4%	0.0%	1.4K	693.1K	-664	0.00	104.47	0	0	911	1,427
2008-10-16	$4.98	$5.00	108.1%	31.0%	155.6%	57.1%	99.2%	21.0%	-7.8%	1.3K	626.6K	-477	1.82	102.04	40	73	911	1,427
2008-10-17	$4.90	$5.00	105.4%	30.2%	153.6%	55.5%	0.0%	20.4%	-5.8%	814	634.8K	-526	0.00	100.97	0	10	901	1,498
2008-10-20	$5.01	$5.00	106.2%	30.4%	153.8%	55.9%	0.0%	-6.6%	-2.4%	546	165.1K	-476	20.00	101.17	1	20	883	511
2008-10-21	$5.21	$5.00	106.2%	30.4%	154.7%	55.9%	0.0%	-4.2%	-2.0%	626	163.8K	-566	0.00	103.36	8	0	884	531
2008-10-22	$5.05	$5.00	105.6%	30.3%	154.7%	55.6%	106.4%	26.1%	-3.6%	665	152.3K	-566	0.00	104.72	8	0	884	531
2008-10-23	$4.89	$5.00	100.6%	28.8%	154.5%	52.4%	0.0%	19.1%	1.6%	429	176.2K	-443	0.00	109.23	0	0	892	531
2008-10-24	$4.72	$5.00	94.5%	27.1%	154.0%	48.6%	0.0%	-14.1%	-0.8%	406	170.3K	-431	0.00	106.81	0	0	892	531
2008-10-27	$4.90	$5.00	99.6%	28.5%	154.2%	51.8%	0.0%	10.1%	-13.7%	483	173.3K	-436	0.00	120.22	0	0	892	531
2008-10-28	$5.33	$5.00	108.1%	31.0%	157.7%	57.1%	0.0%	30.2%	-2.3%	690	171.4K	-530	0.00	100.03	10	0	892	531
2008-10-29	$6.00	$2.50	130.4%	37.4%	164.4%	71.1%	140.8%	37.8%	-51.9%	1.3K	103.7K	-860	0.97	141.13	62	60	898	531
2008-10-30	$5.74	$5.00	97.0%	27.8%	164.9%	50.2%	0.0%	19.5%	13.6%	834	155.2K	-795	0.00	99.96	20	0	932	591
2008-10-31	$6.25	$5.00	123.2%	35.3%	168.2%	66.5%	0.0%	20.4%	-23.4%	1.5K	61.8K	-1.2K	0.00	104.43	10	0	932	571