CQP Options History — June 2009

In June 2009, CQP traded between $7.01 and $7.89. ATM implied volatility averaged 55.8%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 20.2% (HV 20d: 35.6%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.87.

Notable Days

2009-06-25: Highest Volume — 270 contracts
2009-06-24: Largest IV spike — 13.6% change
2009-06-03: Highest IV Rank — 9.8%
2009-06-03: Largest Expected Move — 17.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.51	$7.01	$7.89	$7.48	$7.37
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	55.8%	44.9%	62.0%	58.7%	44.9%
Expected Move	15.9%	12.9%	17.8%	16.8%	12.9%
HV 20d	35.6%	29.5%	45.3%	44.7%	38.2%
HV 60d	52.6%	50.4%	56.5%	56.5%	52.2%
IV Rank	5.2%	0.0%	9.8%	7.1%	0.0%
IV Percentile	4.1%	0.0%	10.3%	4.8%	0.0%
Term Structure	2.3%	-2.4%	7.8%	-0.3%	7.6%
VWIV	56.8%	49.4%	62.0%	60.1%	49.4%
Bid-Ask Spread %	84.30	31.94	104.17	100.45	40.74
Gamma HHI	0.70	0.47	0.88	0.73	0.68
Net GEX	8.1K	2.2K	17.9K	7.7K	4.8K
Net DEX	-191.1K	-291.7K	-54.0K	-206.8K	-214.6K
Net VEX	-1.1K	-1.6K	-783	-1.1K	-1.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.00	8.00	4.50	0.00
Total Volume	46.727	0	270	0	100
Total OI	1,075.318	560	1,230	1,138	1,127

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
2009-06-01	$7.48	$7.50	58.7%	16.8%	44.7%	7.1%	0.0%	0.0%	-0.3%	7.7K	-206.8K	-1.1K	0.00	100.45	0	0	694	444
2009-06-02	$7.50	$7.50	60.1%	17.2%	44.2%	8.2%	60.1%	0.0%	-2.4%	7.8K	-210.7K	-1.1K	4.50	104.17	4	18	694	444
2009-06-03	$7.81	$7.50	62.0%	17.8%	45.3%	9.8%	62.0%	0.0%	-2.4%	8.0K	-240.1K	-1.1K	0.01	87.23	113	1	693	462
2009-06-04	$7.89	$7.50	54.4%	15.6%	45.1%	3.8%	53.8%	0.0%	6.2%	8.8K	-287.0K	-1.1K	0.00	91.10	12	0	724	463
2009-06-05	$7.80	$7.50	57.9%	16.7%	43.0%	6.6%	0.0%	0.0%	1.8%	9.0K	-270.4K	-1.1K	0.00	89.36	20	0	735	463
2009-06-08	$7.63	$7.50	58.9%	16.0%	42.2%	7.3%	0.0%	0.0%	1.8%	10.3K	-255.0K	-1.1K	0.00	96.39	2	0	745	463
2009-06-09	$7.84	$7.50	59.5%	17.1%	35.3%	7.8%	0.0%	0.0%	-0.3%	11.0K	-275.4K	-1.1K	0.00	91.93	10	0	747	463
2009-06-10	$7.80	$7.50	61.8%	17.3%	31.8%	9.6%	0.0%	0.0%	-0.3%	10.4K	-291.7K	-1.1K	0.00	91.81	0	7	757	463
2009-06-11	$7.84	$7.50	57.1%	16.4%	31.7%	5.9%	57.2%	0.0%	2.4%	11.1K	-280.3K	-1.1K	0.06	93.69	50	3	757	470
2009-06-12	$7.83	$7.50	56.9%	16.3%	30.8%	5.7%	0.0%	0.0%	2.7%	10.9K	-279.6K	-1.1K	0.00	93.92	2	0	757	471
2009-06-15	$7.73	$7.50	58.3%	16.7%	30.8%	6.8%	0.0%	0.0%	0.8%	17.9K	-267.2K	-1.0K	0.08	91.47	51	4	759	471
2009-06-16	$7.52	$7.50	58.9%	16.9%	32.4%	7.3%	0.0%	0.0%	-0.1%	15.4K	-229.3K	-1.0K	0.00	93.79	30	0	755	471
2009-06-17	$7.20	$7.50	56.6%	16.2%	32.9%	5.6%	56.6%	0.0%	2.5%	13.3K	-97.8K	-850	8.00	96.01	3	24	735	471
2009-06-18	$7.15	$7.50	52.8%	15.1%	33.0%	2.5%	0.0%	0.0%	5.6%	11.7K	-100.6K	-884	0.00	98.56	0	0	738	480
2009-06-19	$7.12	$7.50	58.5%	16.8%	31.6%	7.0%	58.6%	0.0%	-1.2%	2.3K	-54.0K	-835	0.00	95.59	7	0	738	480
2009-06-22	$7.01	$7.50	57.3%	16.4%	29.5%	6.1%	0.0%	0.0%	0.8%	2.3K	-69.0K	-783	0.00	98.79	0	0	440	120
2009-06-23	$7.09	$7.50	49.6%	14.2%	29.9%	0.0%	49.4%	0.0%	7.8%	2.3K	-69.4K	-824	0.95	89.83	42	40	440	120
2009-06-24	$7.14	$7.50	56.3%	16.2%	30.0%	5.3%	0.0%	0.0%	3.7%	2.2K	-66.5K	-894	0.00	103.35	40	0	482	160
2009-06-25	$7.19	$7.50	51.6%	14.8%	29.9%	1.6%	0.0%	0.0%	2.0%	3.0K	-67.4K	-880	1.16	35.70	125	145	522	160
2009-06-26	$7.58	$7.50	48.9%	14.0%	35.1%	0.0%	0.0%	0.0%	5.0%	3.9K	-130.5K	-1.4K	0.00	31.94	175	0	647	305
2009-06-29	$7.67	$7.50	46.3%	13.3%	35.3%	0.0%	0.0%	0.0%	6.5%	4.8K	-241.1K	-1.6K	0.00	38.75	0	0	822	305
2009-06-30	$7.37	$7.50	44.9%	12.9%	38.2%	0.0%	0.0%	0.0%	7.6%	4.8K	-214.6K	-1.5K	0.00	40.74	100	0	822	305