CQP Options History — February 2009 In February 2009, CQP traded between $5.51 and $7.10. ATM implied volatility averaged 80.1%, placing in the 36.5% IV rank vs the trailing year. The 30-day expected move averaged 24.0%. IV traded below realized volatility by 51.4% (HV 20d: 131.4%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.50.
Notable Days 2009-02-24 : Highest Volume — 72 contracts2009-02-27 : Largest IV spike — 40.5% change2009-02-11 : Highest IV Rank — 49.4%2009-02-11 : Largest Expected Move — 28.2%Monthly Statistics Metric Avg Min Max Open Close Price $6.15 $5.51 $7.10 $5.70 $7.00 Max Pain $6.97 $5.00 $7.50 $5.00 $7.50 ATM IV 80.1% 54.2% 99.6% 80.4% 76.2% Expected Move 24.0% 15.5% 28.2% 23.0% 21.8% HV 20d 131.4% 100.3% 143.2% 141.9% 100.3% HV 60d 116.4% 113.2% 120.8% 120.8% 114.3% IV Rank 36.5% 19.5% 49.4% 36.7% 34.0% IV Percentile 56.8% 15.1% 81.7% 59.5% 49.6% Term Structure -0.1% -23.1% 21.3% 15.7% -0.7% VWIV 73.9% 54.2% 98.3% 54.2% 56.3% Skew 25d 23.2% -3.3% 48.0% 25.2% 38.9% Skew 10d 46.0% -1.5% 70.7% 46.7% 50.4% Call IV 25d 72.7% 53.5% 83.4% 60.2% 53.5% Put IV 25d 95.9% 68.0% 116.2% 85.4% 92.3% Bid-Ask Spread % 88.82 53.35 105.26 82.11 104.37 Gamma HHI 0.42 0.34 0.63 0.37 0.63 Net GEX 281 -656 1.4K -656 1.4K Net DEX -15.9K -64.0K 26.2K 26.2K -54.7K Net VEX -637 -690 -568 -642 -680 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.50 0.00 2.60 0.00 0.00 Total Volume 14.105 0 72 7 44 Total OI 945.211 922 982 940 931
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 2009-02-02 $5.70 $5.00 80.4% 23.0% 141.9% 36.7% 0.0% 25.2% 15.7% -656 26.2K -642 0.00 82.11 7 0 354 586 2009-02-03 $5.51 $5.00 90.4% 25.9% 142.6% 43.3% 0.0% 0.0% 4.2% -521 21.1K -679 0.00 53.35 10 0 361 586 2009-02-04 $5.75 $5.00 80.8% 23.2% 142.4% 37.0% 0.0% 15.1% 21.3% -11 7.5K -675 0.00 54.35 0 0 361 586 2009-02-05 $5.75 $5.00 83.3% 23.9% 141.2% 38.7% 0.0% 16.6% 16.3% 143 -2.5K -641 0.00 58.50 0 0 361 586 2009-02-06 $5.86 $7.50 69.2% 28.0% 141.1% 29.4% 0.0% 21.5% -16.5% -230 -3.4K -690 0.00 92.26 0 0 361 586 2009-02-09 $6.00 $7.50 75.3% 28.1% 140.9% 33.4% 0.0% 23.4% -9.7% -96 -6.4K -674 0.00 93.61 0 0 361 586 2009-02-10 $5.88 $7.50 76.0% 27.0% 141.3% 33.8% 0.0% 18.1% -10.6% -208 1.2K -662 0.00 93.78 0 0 361 586 2009-02-11 $5.67 $7.50 99.6% 28.2% 141.3% 49.4% 54.2% 19.7% -20.2% -281 3.9K -620 0.00 92.73 0 4 361 586 2009-02-12 $5.82 $7.50 94.5% 27.1% 141.2% 46.0% 0.0% 18.0% -9.3% -322 4.3K -654 0.00 91.59 0 0 361 582 2009-02-13 $6.24 $7.50 78.1% 22.4% 137.7% 35.3% 0.0% 37.6% 20.0% 474 -2.0K -601 0.00 102.87 0 0 361 582 2009-02-17 $7.10 $7.50 73.0% 20.9% 142.8% 31.9% 72.7% 48.0% -6.8% 1.2K -49.8K -656 1.33 92.05 15 20 361 582 2009-02-18 $7.05 $7.50 79.2% 22.7% 143.2% 36.0% 79.3% 0.0% -13.9% 1.1K -64.0K -677 0.00 95.55 22 0 366 592 2009-02-19 $6.90 $7.50 73.3% 21.0% 112.4% 32.1% 73.9% -3.3% -8.5% 1.0K -49.8K -618 0.00 102.63 37 0 382 592 2009-02-20 $6.17 $7.50 81.4% 23.3% 115.8% 37.4% 98.3% 0.0% -23.1% 489 -34.1K -583 0.59 99.12 17 10 390 592 2009-02-23 $5.70 $7.50 86.1% 24.7% 118.8% 40.5% 82.3% 22.6% 3.9% -24 5.6K -568 0.00 104.15 10 0 381 541 2009-02-24 $6.24 $7.50 86.3% 24.7% 118.1% 40.6% 56.3% 38.9% 0.5% 334 -15.0K -589 2.60 105.26 20 52 391 541 2009-02-25 $6.00 $7.50 84.0% 24.1% 116.0% 39.1% 0.0% 0.0% 14.5% 574 -28.7K -584 0.00 105.09 0 0 410 521 2009-02-26 $6.57 $7.50 54.2% 15.5% 118.4% 19.5% 0.0% 0.0% 20.3% 988 -62.0K -615 0.00 64.16 0 0 410 521 2009-02-27 $7.00 $7.50 76.2% 21.8% 100.3% 34.0% 0.0% 0.0% -0.7% 1.4K -54.7K -680 0.00 104.37 44 0 410 521
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