CQP Options History — March 2009

In March 2009, CQP traded between $5.08 and $6.37. ATM implied volatility averaged 90.2%, placing in the 41.4% IV rank vs the trailing year. The 30-day expected move averaged 26.5%. IV traded below realized volatility by 7.8% (HV 20d: 98.0%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 1.75.

Notable Days

2009-03-05: Highest Volume — 45 contracts
2009-03-25: Largest IV drop — 28.2% change
2009-03-13: Highest IV Rank — 50.9%
2009-03-13: Largest Expected Move — 30.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.67	$5.08	$6.37	$6.07	$6.00
Max Pain	$5.91	$5.00	$7.50	$7.50	$7.50
ATM IV	90.2%	70.4%	104.6%	75.7%	77.0%
Expected Move	26.5%	20.2%	30.0%	21.7%	22.1%
HV 20d	98.0%	57.2%	114.2%	110.4%	57.2%
HV 60d	117.5%	107.1%	119.4%	118.2%	107.1%
IV Rank	41.4%	28.5%	50.9%	32.9%	31.4%
IV Percentile	67.6%	31.3%	84.9%	48.4%	45.6%
Term Structure	10.5%	-12.1%	67.4%	9.7%	67.4%
VWIV	86.4%	65.0%	103.6%	73.7%	65.0%
Bid-Ask Spread %	97.11	76.15	113.87	100.08	113.87
Gamma HHI	0.41	0.35	0.55	0.50	0.39
Net GEX	56	-428	599	599	76
Net DEX	-7.8K	-43.0K	22.7K	-26.5K	-16.2K
Net VEX	-487	-564	-445	-542	-471
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.75	0.00	6.00	0.00	5.00
Total Volume	7.818	0	45	19	0
Total OI	857.727	679	945	945	714

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
2009-03-02	$6.07	$7.50	75.7%	21.7%	110.4%	32.9%	0.0%	0.0%	9.7%	599	-26.5K	-542	0.00	100.08	19	0	424	521
2009-03-03	$5.82	$7.50	70.4%	20.2%	110.0%	29.4%	73.7%	0.0%	16.6%	134	1.8K	-547	0.00	111.09	0	3	421	521
2009-03-04	$5.94	$7.50	86.1%	24.7%	109.4%	39.8%	0.0%	0.0%	32.8%	486	-17.3K	-564	0.00	104.91	9	0	421	518
2009-03-05	$5.68	$7.50	81.0%	23.2%	109.6%	36.4%	0.0%	0.0%	24.5%	452	-16.9K	-463	1.25	95.22	20	25	421	518
2009-03-06	$5.24	$5.00	87.0%	29.7%	113.3%	40.4%	0.0%	0.0%	-7.2%	-28	7.9K	-500	0.00	78.42	5	0	421	523
2009-03-09	$5.08	$5.00	92.2%	28.6%	113.3%	43.6%	0.0%	0.0%	2.4%	-297	22.7K	-487	0.00	76.15	0	0	416	523
2009-03-10	$5.23	$5.00	95.4%	28.0%	113.5%	45.8%	0.0%	0.0%	2.7%	49	11.5K	-483	0.00	93.37	7	0	416	523
2009-03-11	$5.40	$5.00	81.7%	29.1%	114.2%	36.6%	0.0%	0.0%	-8.5%	121	7.6K	-481	0.00	91.63	0	0	413	523
2009-03-12	$5.29	$5.00	100.9%	28.9%	113.7%	49.4%	0.0%	0.0%	4.5%	-280	17.1K	-502	0.00	92.41	0	0	413	523
2009-03-13	$5.29	$5.00	104.6%	30.0%	113.2%	50.9%	0.0%	0.0%	-0.2%	-389	17.8K	-488	0.00	95.30	0	0	413	523
2009-03-16	$5.48	$5.00	100.4%	28.8%	110.8%	47.5%	0.0%	0.0%	3.8%	-384	13.8K	-482	0.00	96.80	0	0	413	523
2009-03-17	$5.57	$5.00	100.8%	28.9%	99.1%	47.8%	0.0%	0.0%	0.7%	-137	4.0K	-459	0.00	96.32	0	10	413	523
2009-03-18	$5.55	$5.00	102.6%	29.4%	99.2%	49.0%	103.2%	0.0%	-1.1%	-187	8.4K	-445	0.00	97.54	0	4	413	523
2009-03-19	$5.42	$5.00	104.1%	29.8%	99.2%	50.0%	0.0%	0.0%	1.6%	-428	-16.2K	-468	0.00	97.82	0	0	413	476
2009-03-20	$5.49	$5.00	97.0%	27.8%	92.2%	45.2%	0.0%	0.0%	5.0%	96	-18.6K	-455	6.00	92.86	5	30	413	476
2009-03-23	$5.70	$5.00	102.7%	29.4%	89.1%	49.1%	103.6%	0.0%	15.1%	80	-15.6K	-486	0.00	102.46	0	13	258	421
2009-03-24	$5.89	$5.00	102.3%	29.3%	83.5%	48.8%	0.0%	0.0%	1.5%	186	-24.4K	-480	0.00	98.16	0	0	258	434
2009-03-25	$6.37	$5.00	73.4%	21.0%	87.1%	28.9%	65.0%	0.0%	-12.1%	349	-40.2K	-498	5.00	100.49	2	10	258	434
2009-03-26	$6.20	$7.50	90.0%	25.8%	81.2%	40.3%	0.0%	0.0%	16.3%	288	-31.2K	-491	0.00	100.36	0	0	260	444
2009-03-27	$6.15	$7.50	87.3%	25.0%	77.3%	38.5%	0.0%	0.0%	32.5%	358	-43.0K	-465	0.00	95.01	0	0	260	444
2009-03-30	$5.97	$7.50	72.8%	20.9%	59.3%	28.5%	0.0%	0.0%	22.7%	85	-18.0K	-462	0.00	106.18	0	10	260	444
2009-03-31	$6.00	$7.50	77.0%	22.1%	57.2%	31.4%	0.0%	0.0%	67.4%	76	-16.2K	-471	0.00	113.87	0	0	260	454