CQP Options History — December 2008

In December 2008, CQP traded between $3.71 and $4.95. ATM implied volatility averaged 103.0%, placing in the 53.0% IV rank vs the trailing year. The 30-day expected move averaged 31.3%. IV traded above realized volatility by 8.2% (HV 20d: 94.9%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.29.

Notable Days

2008-12-22: Highest Volume — 90 contracts
2008-12-11: Largest IV spike — 77.8% change
2008-12-04: Highest IV Rank — 72.7%
2008-12-04: Largest Expected Move — 38.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.37	$3.71	$4.95	$4.55	$3.71
Max Pain	$5.50	$5.00	$7.50	$7.50	$5.00
ATM IV	103.0%	57.9%	133.1%	128.6%	130.9%
Expected Move	31.3%	16.6%	38.1%	36.9%	37.5%
HV 20d	94.9%	58.8%	116.0%	114.6%	58.8%
HV 60d	120.5%	107.9%	122.2%	121.9%	107.9%
IV Rank	53.0%	23.7%	72.7%	70.0%	70.4%
IV Percentile	77.5%	25.0%	98.8%	98.4%	98.4%
Term Structure	11.9%	-20.5%	58.1%	4.5%	50.2%
VWIV	117.5%	82.4%	130.8%	125.7%	82.4%
Skew 25d	36.8%	-1.9%	88.4%	0.3%	31.6%
Skew 10d	43.7%	-20.2%	95.2%	-20.2%	44.1%
Call IV 25d	97.6%	68.5%	153.2%	145.0%	86.8%
Put IV 25d	134.3%	98.4%	165.6%	145.3%	118.4%
Bid-Ask Spread %	92.02	51.62	169.49	51.62	71.15
Gamma HHI	0.42	0.28	0.71	0.30	0.55
Net GEX	203	-279	2.8K	148	-279
Net DEX	142.0K	36.2K	207.5K	186.8K	48.3K
Net VEX	-557	-656	-467	-641	-487
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.29	0.00	2.00	0.00	0.00
Total Volume	23.364	0	90	5	40
Total OI	1,551.636	694	1,932	1,886	881

Daily Data (22 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
2008-12-01	$4.55	$7.50	128.6%	36.9%	114.6%	70.0%	125.7%	0.3%	4.5%	148	186.8K	-641	0.00	51.62	5	0	1,047	839
2008-12-02	$4.73	$7.50	117.8%	33.8%	115.4%	63.2%	0.0%	-1.9%	11.5%	267	180.7K	-656	0.00	55.82	0	0	1,052	839
2008-12-03	$4.52	$7.50	127.5%	36.5%	116.0%	69.2%	0.0%	12.5%	4.8%	245	179.4K	-617	0.00	53.95	0	0	1,052	839
2008-12-04	$4.35	$7.50	133.1%	38.1%	115.2%	72.7%	119.5%	18.6%	-1.1%	-29	201.0K	-531	0.00	65.38	30	0	1,052	839
2008-12-05	$4.19	$0.00	99.0%	36.5%	111.3%	51.4%	0.0%	38.2%	-3.7%	-177	207.5K	-507	0.50	97.59	22	11	1,062	839
2008-12-08	$4.27	$0.00	107.5%	37.5%	111.3%	56.7%	130.8%	65.5%	7.4%	-6	191.6K	-535	0.00	141.63	30	0	1,072	830
2008-12-09	$4.39	$5.00	92.7%	34.1%	111.9%	47.5%	119.3%	83.6%	14.4%	41	202.8K	-559	1.00	87.47	10	10	1,102	830
2008-12-10	$4.43	$5.00	71.3%	36.4%	105.1%	32.3%	127.1%	77.5%	4.1%	-44	203.4K	-536	0.00	88.64	21	0	1,069	809
2008-12-11	$4.71	$5.00	126.8%	36.3%	102.4%	67.9%	0.0%	88.4%	-2.9%	383	168.4K	-627	2.00	85.89	20	40	1,069	809
2008-12-12	$4.67	$5.00	124.4%	35.7%	97.8%	66.4%	0.0%	47.3%	2.9%	325	178.2K	-617	0.00	88.97	3	0	1,059	819
2008-12-15	$4.67	$5.00	126.7%	36.3%	97.5%	67.9%	0.0%	45.7%	2.4%	479	187.6K	-584	0.00	92.10	0	0	1,059	819
2008-12-16	$4.95	$5.00	89.2%	25.6%	99.9%	43.8%	0.0%	0.0%	58.1%	2.8K	181.6K	-612	0.00	169.49	10	0	1,059	819
2008-12-17	$4.82	$5.00	119.0%	34.1%	99.1%	62.9%	0.0%	30.8%	-4.0%	658	176.1K	-583	0.00	99.82	30	0	1,059	819
2008-12-18	$4.42	$5.00	123.0%	35.3%	101.2%	65.5%	0.0%	37.7%	3.9%	-236	192.9K	-536	0.50	90.88	20	10	1,084	819
2008-12-19	$4.40	$5.00	123.5%	35.4%	93.3%	65.9%	0.0%	24.3%	0.7%	-162	178.7K	-546	0.00	90.20	0	0	1,104	799
2008-12-22	$4.41	$5.00	73.4%	21.0%	88.6%	33.6%	82.4%	11.9%	40.1%	-129	37.7K	-535	0.13	95.72	80	10	244	450
2008-12-23	$4.16	$5.00	57.9%	16.6%	72.8%	23.7%	0.0%	36.5%	44.5%	120	46.9K	-503	0.00	112.79	82	0	324	455
2008-12-24	$4.02	$5.00	69.0%	19.8%	73.5%	30.8%	0.0%	43.8%	19.1%	224	36.2K	-557	0.00	96.38	0	0	396	455
2008-12-26	$4.04	$5.00	76.1%	21.8%	73.6%	35.4%	0.0%	32.4%	18.4%	267	44.2K	-525	0.00	97.12	0	0	396	455
2008-12-29	$3.91	$5.00	70.3%	20.2%	66.3%	31.2%	0.0%	17.6%	6.9%	-196	44.7K	-499	0.00	95.85	0	10	396	455
2008-12-30	$3.76	$5.00	79.4%	22.8%	61.5%	37.1%	0.0%	29.6%	-20.5%	-266	49.4K	-467	0.00	95.93	0	20	396	465
2008-12-31	$3.71	$5.00	130.9%	37.5%	58.8%	70.4%	0.0%	31.6%	50.2%	-279	48.3K	-487	0.00	71.15	40	0	396	485