CQP Options History — November 2008

In November 2008, CQP traded between $3.91 and $5.94. ATM implied volatility averaged 109.5%, placing in the 58.0% IV rank vs the trailing year. The 30-day expected move averaged 31.4%. IV traded below realized volatility by 8.1% (HV 20d: 117.5%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.13.

Notable Days

2008-11-17: Highest Volume — 250 contracts
2008-11-12: Largest IV drop — 23.4% change
2008-11-24: Highest IV Rank — 69.0%
2008-11-24: Largest Expected Move — 36.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.89	$3.91	$5.94	$5.94	$4.95
Max Pain	$7.11	$5.00	$10.00	$5.00	$7.50
ATM IV	109.5%	87.0%	127.1%	97.6%	117.6%
Expected Move	31.4%	26.7%	36.4%	28.0%	33.7%
HV 20d	117.5%	101.5%	140.9%	136.8%	117.0%
HV 60d	112.8%	107.7%	121.1%	112.0%	121.1%
IV Rank	58.0%	43.9%	69.0%	50.6%	63.0%
IV Percentile	93.3%	83.3%	98.4%	90.5%	94.8%
Term Structure	3.4%	-37.5%	37.5%	29.2%	17.5%
VWIV	124.4%	106.1%	173.3%	107.7%	110.4%
Skew 25d	-0.3%	-25.9%	31.3%	23.9%	-6.4%
Skew 10d	3.1%	-47.2%	55.6%	39.3%	37.8%
Call IV 25d	121.6%	99.1%	143.7%	140.7%	143.7%
Put IV 25d	121.3%	102.5%	164.6%	164.6%	137.3%
Bid-Ask Spread %	82.68	42.00	125.06	97.13	52.75
Gamma HHI	0.40	0.26	0.56	0.39	0.31
Net GEX	744	-242	2.2K	1.1K	646
Net DEX	144.9K	56.9K	193.5K	114.1K	148.2K
Net VEX	-716	-1.0K	-339	-886	-829
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.13	0.00	1.00	0.00	0.00
Total Volume	27.421	0	250	40	11
Total OI	1,709.632	1,513	1,932	1,513	1,875

Daily Data (19 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
2008-11-03	$5.94	$5.00	97.6%	28.0%	136.8%	50.6%	0.0%	23.9%	29.2%	1.1K	114.1K	-886	0.00	97.13	0	40	942	571
2008-11-04	$5.86	$5.00	98.7%	28.3%	137.0%	51.3%	0.0%	3.4%	22.2%	911	157.6K	-795	0.00	92.25	10	0	942	611
2008-11-05	$5.53	$5.00	97.1%	27.8%	138.8%	50.3%	0.0%	7.8%	-37.5%	1.2K	132.5K	-800	0.00	124.54	0	0	952	611
2008-11-06	$5.02	$5.00	110.5%	31.7%	140.9%	58.7%	0.0%	31.3%	-3.8%	731	134.4K	-803	0.00	89.70	0	0	952	610
2008-11-07	$4.85	$10.00	103.1%	30.0%	138.5%	54.0%	0.0%	-21.7%	-2.2%	690	113.0K	-822	0.00	93.01	0	0	952	600
2008-11-10	$4.79	$7.50	100.1%	26.7%	101.5%	52.1%	0.0%	10.7%	37.5%	826	140.1K	-687	0.00	90.96	0	0	952	580
2008-11-11	$4.30	$7.50	113.5%	28.8%	107.4%	60.5%	107.7%	7.6%	-5.7%	-192	193.5K	-339	0.00	99.33	2	0	952	580
2008-11-12	$4.70	$7.50	87.0%	30.7%	111.8%	43.9%	106.1%	-10.3%	-7.8%	582	169.5K	-524	0.00	98.42	103	0	950	579
2008-11-13	$5.10	$7.50	93.7%	26.9%	103.2%	48.1%	0.0%	-11.1%	-9.0%	1.2K	145.4K	-639	0.00	109.28	42	0	1,051	579
2008-11-14	$5.18	$7.50	102.1%	29.3%	103.1%	53.4%	0.0%	-2.4%	-4.2%	1.5K	110.1K	-664	0.00	98.38	30	0	1,063	579
2008-11-17	$5.25	$7.50	121.6%	34.9%	102.9%	65.6%	0.0%	0.0%	0.3%	2.2K	56.9K	-851	0.00	125.06	0	250	1,083	579
2008-11-18	$5.02	$7.50	125.6%	36.0%	103.3%	68.1%	0.0%	4.8%	4.4%	1.5K	83.9K	-1.0K	1.00	56.95	10	10	1,083	829
2008-11-19	$4.70	$7.50	123.7%	35.5%	105.3%	66.9%	0.0%	-13.8%	-1.5%	1.2K	143.6K	-829	0.00	54.58	0	0	1,093	839
2008-11-20	$4.22	$7.50	117.2%	33.6%	111.2%	62.8%	0.0%	-25.9%	-9.0%	-242	173.7K	-529	0.00	76.93	0	0	1,093	839
2008-11-21	$3.91	$7.50	111.4%	31.9%	113.5%	59.2%	0.0%	-8.7%	0.8%	-196	180.9K	-575	0.00	60.99	3	0	1,093	839
2008-11-24	$4.55	$7.50	127.1%	36.4%	126.3%	69.0%	0.0%	-7.0%	1.2%	100	192.0K	-658	0.00	54.80	0	0	1,036	839
2008-11-25	$4.57	$7.50	120.4%	34.5%	122.0%	64.8%	0.0%	-1.1%	13.5%	243	176.4K	-687	0.00	53.87	0	5	1,036	839
2008-11-26	$4.56	$7.50	112.0%	32.1%	112.7%	59.6%	173.3%	14.1%	18.5%	97	188.0K	-655	0.00	42.00	0	5	1,036	844
2008-11-28	$4.95	$7.50	117.6%	33.7%	117.0%	63.0%	110.4%	-6.4%	17.5%	646	148.2K	-829	0.00	52.75	11	0	1,036	839