CQP Options History — April 2009

In April 2009, CQP traded between $6.03 and $7.99. ATM implied volatility averaged 70.4%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 20.3%. IV traded above realized volatility by 24.6% (HV 20d: 45.8%). Max pain ranged from $2.50 to $7.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.29.

Notable Days

2009-04-28: Highest Volume — 682 contracts
2009-04-28: Largest IV spike — 40.0% change
2009-04-07: Highest IV Rank — 41.2%
2009-04-07: Largest Expected Move — 31.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.81	$6.03	$7.99	$6.03	$6.78
Max Pain	$4.76	$2.50	$7.50	$7.50	$7.50
ATM IV	70.4%	53.5%	91.2%	78.1%	83.7%
Expected Move	20.3%	15.3%	31.1%	22.4%	24.0%
HV 20d	45.8%	33.3%	67.2%	56.8%	67.2%
HV 60d	95.2%	74.3%	107.0%	107.0%	79.7%
IV Rank	21.2%	3.1%	41.2%	32.2%	26.8%
IV Percentile	28.4%	2.4%	71.4%	48.0%	58.7%
Term Structure	1.4%	-57.6%	46.4%	44.4%	18.7%
VWIV	76.0%	1.3%	173.2%	80.6%	66.7%
Bid-Ask Spread %	89.45	66.88	114.43	114.43	101.72
Gamma HHI	0.67	0.40	0.94	0.43	0.66
Net GEX	1.9K	120	4.6K	207	2.8K
Net DEX	-87.1K	-207.4K	-18.5K	-28.5K	-78.0K
Net VEX	-475	-687	-385	-450	-656
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.29	0.00	1.80	0.00	0.20
Total Volume	54.286	0	682	0	30
Total OI	806.524	714	989	714	989

Daily Data (21 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
2009-04-01	$6.03	$7.50	78.1%	22.4%	56.8%	32.2%	0.0%	0.0%	44.4%	207	-28.5K	-450	0.00	114.43	0	0	260	454
2009-04-02	$6.13	$7.50	80.3%	23.0%	54.4%	33.6%	0.0%	0.0%	46.4%	120	-18.5K	-472	0.00	112.65	0	0	260	454
2009-04-03	$6.21	$5.00	76.4%	28.6%	44.4%	31.0%	0.0%	0.0%	-14.4%	318	-24.3K	-445	0.00	75.79	10	0	260	454
2009-04-06	$6.30	$5.00	75.7%	18.0%	41.9%	30.5%	80.6%	0.0%	-3.1%	497	-36.0K	-424	1.80	72.46	10	18	260	454
2009-04-07	$6.08	$5.00	91.2%	31.1%	44.3%	41.2%	0.0%	0.0%	-57.6%	303	-23.4K	-430	0.00	80.44	0	0	270	472
2009-04-08	$6.35	$5.00	80.8%	18.6%	45.4%	33.4%	0.0%	0.0%	-0.4%	481	-32.9K	-429	0.00	87.56	10	0	270	472
2009-04-09	$6.55	$5.00	62.0%	17.8%	44.7%	20.3%	0.0%	0.0%	7.5%	600	-40.9K	-460	0.00	89.10	0	0	276	472
2009-04-13	$6.61	$5.00	59.7%	17.1%	44.5%	18.7%	0.0%	0.0%	-8.0%	853	-55.6K	-411	0.00	81.67	0	0	276	472
2009-04-14	$6.57	$5.00	76.4%	21.9%	44.0%	30.3%	0.0%	0.0%	-8.1%	646	-49.0K	-421	0.00	77.30	0	0	276	472
2009-04-15	$6.78	$5.00	62.6%	18.0%	44.6%	18.2%	70.0%	0.0%	0.2%	665	-47.2K	-430	0.00	85.14	20	0	276	472
2009-04-16	$6.71	$5.00	65.5%	18.8%	45.0%	18.3%	0.0%	0.0%	-4.0%	1.1K	-67.8K	-400	0.00	90.22	0	0	291	452
2009-04-17	$6.76	$5.00	81.0%	23.2%	43.3%	24.7%	81.0%	0.0%	-14.3%	1.2K	-83.6K	-385	0.00	89.75	70	0	291	442
2009-04-20	$7.05	$5.00	63.5%	18.2%	44.6%	10.9%	74.9%	0.0%	0.5%	2.1K	-98.2K	-458	0.41	66.88	98	40	344	415
2009-04-21	$7.04	$2.50	63.1%	18.1%	43.9%	10.6%	1.3%	0.0%	-8.8%	2.7K	-142.8K	-499	0.00	95.54	3	0	442	455
2009-04-22	$7.35	$2.50	63.8%	18.3%	44.7%	11.2%	173.2%	0.0%	3.4%	3.6K	-154.7K	-500	0.00	90.93	4	0	442	455
2009-04-23	$7.38	$2.50	53.5%	15.3%	37.0%	3.1%	0.0%	0.0%	12.6%	3.9K	-176.1K	-515	0.00	86.87	0	0	446	455
2009-04-24	$7.50	$2.50	56.2%	16.1%	34.8%	5.2%	0.0%	0.0%	14.5%	4.0K	-168.1K	-500	0.00	92.63	0	0	436	455
2009-04-27	$7.88	$2.50	59.7%	17.1%	36.8%	8.0%	61.3%	0.0%	4.7%	4.6K	-190.2K	-470	0.17	100.22	53	9	436	455
2009-04-28	$7.99	$2.50	83.6%	24.0%	33.3%	26.8%	88.7%	0.0%	-10.6%	4.6K	-207.4K	-542	0.03	87.02	660	22	478	462
2009-04-29	$6.89	$7.50	61.9%	17.8%	66.7%	9.7%	61.9%	0.0%	5.7%	3.8K	-105.2K	-687	0.84	100.13	45	38	480	484
2009-04-30	$6.78	$7.50	83.7%	24.0%	67.2%	26.8%	66.7%	0.0%	18.7%	2.8K	-78.0K	-656	0.20	101.72	25	5	492	497