CQP Options History — January 2009

In January 2009, CQP traded between $4.32 and $6.94. ATM implied volatility averaged 84.5%, placing in the 39.5% IV rank vs the trailing year. The 30-day expected move averaged 23.4%. IV traded below realized volatility by 37.1% (HV 20d: 121.6%). Max pain ranged from $2.50 to $5.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.37.

Notable Days

2009-01-28: Highest Volume — 545 contracts
2009-01-22: Largest IV drop — 32.8% change
2009-01-16: Highest IV Rank — 53.2%
2009-01-16: Largest Expected Move — 30.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.20	$4.32	$6.94	$4.70	$5.39
Max Pain	$4.88	$2.50	$5.00	$2.50	$5.00
ATM IV	84.5%	66.6%	105.4%	84.3%	89.0%
Expected Move	23.4%	19.1%	30.2%	24.2%	25.5%
HV 20d	121.6%	102.3%	162.7%	104.8%	162.7%
HV 60d	111.3%	100.2%	120.2%	118.7%	120.2%
IV Rank	39.5%	27.7%	53.2%	40.2%	42.4%
IV Percentile	63.1%	26.6%	84.1%	67.5%	74.2%
Term Structure	9.7%	-15.2%	29.5%	-1.3%	-0.2%
VWIV	113.7%	88.1%	217.4%	91.3%	217.4%
Skew 25d	20.1%	-17.8%	57.6%	36.1%	14.6%
Skew 10d	34.6%	11.4%	66.3%	45.8%	54.3%
Call IV 25d	82.5%	51.0%	104.8%	70.5%	78.1%
Put IV 25d	102.6%	81.0%	123.7%	106.6%	92.6%
Bid-Ask Spread %	77.72	34.02	97.72	52.03	34.02
Gamma HHI	0.42	0.27	0.62	0.45	0.35
Net GEX	897	-553	2.1K	794	-553
Net DEX	-25.6K	-158.0K	36.0K	-22.8K	27.9K
Net VEX	-614	-698	-464	-622	-690
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.00	3.00	0.00	1.33
Total Volume	48.65	0	545	40	35
Total OI	1,010.75	921	1,068	921	960

Daily Data (20 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
2009-01-02	$4.70	$2.50	84.3%	24.2%	104.8%	40.2%	0.0%	36.1%	-1.3%	794	-22.8K	-622	0.00	52.03	0	40	436	485
2009-01-05	$4.82	$5.00	83.4%	21.4%	104.0%	38.8%	91.3%	-2.9%	11.9%	892	-7.8K	-597	0.00	89.58	5	0	436	515
2009-01-06	$5.06	$5.00	96.5%	22.8%	103.8%	47.4%	0.0%	3.4%	9.1%	804	-18.5K	-655	0.00	86.37	40	0	440	515
2009-01-07	$4.85	$5.00	76.5%	21.7%	105.3%	34.2%	88.4%	-5.2%	16.8%	1.3K	-14.9K	-627	0.25	89.66	20	5	480	515
2009-01-08	$4.79	$5.00	87.8%	22.2%	105.2%	41.6%	0.0%	43.3%	13.6%	1.2K	-6.3K	-631	3.00	87.52	10	30	500	517
2009-01-09	$4.95	$5.00	74.3%	21.3%	105.7%	32.7%	0.0%	26.8%	16.0%	2.0K	-26.0K	-533	0.00	86.45	3	0	510	547
2009-01-12	$4.99	$5.00	89.4%	21.9%	103.6%	42.7%	90.3%	57.6%	13.5%	1.8K	-19.9K	-664	0.00	89.34	5	0	510	547
2009-01-13	$4.81	$5.00	70.7%	19.9%	104.5%	30.4%	0.0%	28.2%	26.9%	2.1K	-35.0K	-659	0.00	91.22	0	0	515	547
2009-01-14	$4.75	$5.00	80.0%	20.5%	104.6%	36.5%	0.0%	-17.8%	27.0%	2.0K	-13.4K	-616	0.00	88.98	20	0	515	547
2009-01-15	$4.35	$5.00	91.3%	26.2%	106.8%	43.9%	0.0%	33.1%	12.9%	108	-15.5K	-544	0.00	97.72	0	60	495	547
2009-01-16	$4.32	$5.00	105.4%	30.2%	106.6%	53.2%	0.0%	31.2%	-15.2%	-188	24.2K	-573	0.00	96.02	13	0	495	547
2009-01-20	$4.38	$5.00	79.1%	22.7%	102.3%	35.9%	0.0%	6.8%	16.7%	67	36.0K	-464	0.30	96.02	10	3	428	547
2009-01-21	$5.70	$5.00	99.2%	28.4%	138.7%	49.1%	113.8%	-0.2%	-1.4%	747	-36.1K	-546	0.43	67.16	47	20	428	547
2009-01-22	$5.24	$5.00	66.6%	19.1%	142.9%	27.7%	0.0%	-0.8%	29.5%	443	-17.1K	-652	0.00	65.69	0	0	473	557
2009-01-23	$5.50	$5.00	87.3%	25.0%	141.2%	41.2%	106.4%	1.7%	-0.5%	933	-29.6K	-572	0.00	61.12	1	0	473	557
2009-01-26	$6.06	$5.00	102.8%	29.5%	143.0%	51.5%	0.0%	28.9%	0.4%	997	-63.5K	-613	0.00	74.05	4	0	474	557
2009-01-27	$6.50	$5.00	84.5%	24.2%	143.9%	39.4%	88.1%	53.0%	-6.5%	1.1K	-115.3K	-633	0.11	87.68	38	4	478	557
2009-01-28	$6.94	$5.00	67.5%	19.3%	143.0%	28.2%	217.4%	43.7%	-1.0%	1.4K	-158.0K	-682	0.07	57.21	511	34	507	561
2009-01-29	$5.80	$5.00	73.9%	21.2%	159.5%	32.4%	0.0%	14.6%	25.9%	106	-641	-698	0.00	56.50	0	15	362	588
2009-01-30	$5.39	$5.00	89.0%	25.5%	162.7%	42.4%	0.0%	0.0%	-0.2%	-553	27.9K	-690	1.33	34.02	15	20	362	598