CQP Options History — May 2009

Name: CQP Options Analytics - May 2009
Creator: Options Analysis Suite

In May 2009, CQP traded between $6.33 and $7.60. ATM implied volatility averaged 66.1%, placing in the 13.0% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded below realized volatility by 4.7% (HV 20d: 70.8%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.05.

Notable Days

2009-05-11: Highest Volume — 97 contracts
2009-05-07: Largest IV spike — 40.2% change
2009-05-07: Highest IV Rank — 34.5%
2009-05-11: Largest Expected Move — 20.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.12	$6.33	$7.60	$6.44	$7.44
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	66.1%	54.1%	93.5%	54.1%	59.2%
Expected Move	18.5%	15.5%	20.2%	15.5%	17.0%
HV 20d	70.8%	49.4%	76.0%	70.1%	49.4%
HV 60d	73.0%	57.4%	81.6%	80.1%	57.4%
IV Rank	13.0%	3.6%	34.5%	3.6%	7.6%
IV Percentile	16.0%	2.8%	73.0%	2.8%	4.8%
Term Structure	-1.1%	-6.5%	11.7%	11.7%	-0.8%
VWIV	75.9%	60.0%	151.7%	151.7%	60.0%
Bid-Ask Spread %	94.34	80.95	101.59	99.45	99.13
Gamma HHI	0.77	0.67	0.92	0.72	0.72
Net GEX	5.4K	2.4K	10.8K	2.7K	7.3K
Net DEX	-147.1K	-227.3K	-48.5K	-56.4K	-182.5K
Net VEX	-826	-1.1K	-589	-622	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.05	0.00	0.50	0.00	0.00
Total Volume	22.55	0	97	0	7
Total OI	1,045.1	958	1,145	974	1,131

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
2009-05-01	$6.44	$7.50	54.1%	15.5%	70.1%	3.6%	0.0%	0.0%	11.7%	2.7K	-56.4K	-622	0.00	99.45	0	0	477	497
2009-05-04	$6.37	$7.50	65.0%	19.8%	70.1%	12.1%	0.0%	0.0%	-6.5%	2.5K	-48.5K	-589	0.00	84.21	0	5	477	497
2009-05-05	$6.33	$7.50	66.6%	19.7%	70.0%	13.4%	0.0%	0.0%	-6.1%	2.4K	-48.9K	-598	0.00	80.95	0	0	477	502
2009-05-06	$6.46	$7.50	66.7%	16.8%	69.0%	13.4%	151.7%	0.0%	-5.6%	2.8K	-55.7K	-598	0.00	96.43	11	0	477	502
2009-05-07	$6.80	$7.50	93.5%	19.4%	69.7%	34.5%	0.0%	0.0%	-5.9%	3.0K	-84.7K	-624	0.00	88.02	0	0	487	502
2009-05-08	$7.08	$7.50	68.3%	19.6%	70.2%	14.8%	0.0%	0.0%	-5.6%	4.3K	-112.6K	-666	0.00	95.26	46	0	487	502
2009-05-11	$7.60	$7.50	75.8%	20.2%	74.1%	20.6%	70.3%	0.0%	-1.4%	5.6K	-178.9K	-730	0.05	93.04	92	5	520	502
2009-05-12	$7.30	$7.50	72.6%	19.6%	75.9%	18.1%	0.0%	0.0%	-0.4%	6.0K	-192.2K	-840	0.00	95.08	0	0	583	507
2009-05-13	$7.29	$7.50	63.4%	19.5%	75.3%	10.9%	68.1%	0.0%	-1.5%	6.5K	-174.0K	-827	0.00	93.37	37	0	583	507
2009-05-14	$7.47	$7.50	68.5%	19.6%	75.5%	14.9%	0.0%	0.0%	-1.2%	7.8K	-202.1K	-894	0.00	93.70	0	10	620	507
2009-05-15	$7.59	$7.50	64.8%	18.6%	75.6%	12.0%	0.0%	0.0%	1.0%	10.8K	-227.3K	-900	0.00	92.84	0	0	620	517
2009-05-18	$7.55	$7.50	65.1%	18.7%	74.4%	12.3%	65.2%	0.0%	4.6%	5.3K	-188.3K	-857	0.00	93.87	0	17	538	420
2009-05-19	$7.25	$7.50	63.2%	18.1%	76.0%	10.7%	63.7%	0.0%	0.3%	4.9K	-180.2K	-838	0.03	94.63	77	2	538	437
2009-05-20	$7.25	$7.50	65.0%	18.6%	74.4%	12.1%	0.0%	0.0%	1.6%	5.3K	-181.6K	-977	0.00	99.82	20	0	613	439
2009-05-21	$7.06	$7.50	64.7%	18.6%	74.9%	11.9%	64.7%	0.0%	-1.0%	5.2K	-153.8K	-976	0.00	99.18	10	0	633	439
2009-05-22	$7.30	$7.50	63.1%	18.1%	75.8%	10.6%	63.3%	0.0%	-0.6%	5.8K	-157.5K	-961	0.00	98.46	20	0	623	439
2009-05-26	$7.27	$7.50	60.8%	17.4%	73.3%	8.8%	0.0%	0.0%	-1.0%	6.3K	-169.2K	-941	0.50	101.59	10	5	633	439
2009-05-27	$7.26	$7.50	61.8%	17.7%	73.0%	9.6%	0.0%	0.0%	-1.4%	6.4K	-165.0K	-958	0.00	86.93	60	0	641	444
2009-05-28	$7.33	$7.50	60.0%	17.2%	49.7%	8.2%	60.0%	0.0%	-1.4%	7.1K	-182.6K	-1.1K	0.00	100.76	17	0	701	444
2009-05-29	$7.44	$7.50	59.2%	17.0%	49.4%	7.6%	0.0%	0.0%	-0.8%	7.3K	-182.5K	-1.1K	0.00	99.13	7	0	687	444