CQP Options History — July 2009

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

In July 2009, CQP traded between $6.95 and $8.63. ATM implied volatility averaged 47.8%, placing in the 7.8% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 4.0% (HV 20d: 43.8%). Max pain ranged from $5.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.56.

Notable Days

2009-07-27: Highest Volume — 146 contracts
2009-07-07: Largest IV drop — 22.7% change
2009-07-29: Highest IV Rank — 16.8%
2009-07-29: Largest Expected Move — 17.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.73	$6.95	$8.63	$7.48	$7.65
Max Pain	$7.27	$5.00	$10.00	$7.50	$10.00
ATM IV	47.8%	35.8%	59.5%	42.4%	50.0%
Expected Move	14.4%	11.0%	17.1%	12.2%	14.3%
HV 20d	43.8%	35.2%	53.0%	35.5%	53.0%
HV 60d	50.1%	42.8%	54.2%	52.2%	45.1%
IV Rank	7.8%	0.0%	16.8%	0.0%	10.1%
IV Percentile	5.2%	0.0%	17.9%	0.0%	7.5%
Term Structure	-4.0%	-50.8%	8.7%	8.7%	-2.6%
VWIV	53.9%	42.4%	75.5%	42.4%	50.0%
Bid-Ask Spread %	68.50	24.15	95.69	42.67	81.38
Gamma HHI	0.72	0.52	0.79	0.74	0.53
Net GEX	7.7K	3.9K	10.9K	6.0K	3.9K
Net DEX	-340.9K	-555.0K	-175.2K	-243.4K	-198.4K
Net VEX	-1.5K	-1.7K	-1.3K	-1.7K	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.00	4.13	0.00	2.58
Total Volume	36	0	146	2	43
Total OI	1,307.5	1,209	1,496	1,227	1,286

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
2009-07-01	$7.48	$7.50	42.4%	12.2%	35.5%	0.0%	42.4%	0.0%	8.7%	6.0K	-243.4K	-1.7K	0.00	42.67	2	0	922	305
2009-07-02	$7.49	$7.50	43.9%	12.6%	35.2%	1.1%	0.0%	0.0%	7.7%	6.1K	-252.6K	-1.7K	0.00	51.92	0	0	924	305
2009-07-06	$7.29	$7.50	46.4%	15.1%	36.2%	2.9%	52.9%	0.0%	-3.6%	5.9K	-233.6K	-1.6K	0.00	60.77	50	0	924	305
2009-07-07	$6.95	$7.50	35.8%	14.6%	39.0%	0.0%	0.0%	0.0%	-3.8%	5.9K	-176.7K	-1.5K	0.00	68.38	0	0	974	305
2009-07-08	$6.95	$7.50	40.8%	15.4%	37.2%	3.6%	0.0%	0.0%	-5.8%	5.9K	-178.0K	-1.5K	0.00	61.71	0	0	974	305
2009-07-09	$7.17	$7.50	41.0%	11.8%	39.5%	3.7%	0.0%	0.0%	2.1%	6.6K	-214.6K	-1.5K	0.00	76.80	0	10	974	305
2009-07-10	$6.99	$7.50	43.3%	13.7%	40.0%	5.3%	0.0%	0.0%	-0.3%	6.0K	-175.2K	-1.5K	0.00	78.19	0	0	974	315
2009-07-13	$7.00	$7.50	46.2%	11.0%	40.1%	7.4%	45.7%	0.0%	3.2%	6.1K	-179.3K	-1.5K	0.00	75.38	34	0	974	315
2009-07-14	$7.24	$7.50	36.7%	14.1%	42.3%	0.6%	49.8%	0.0%	0.1%	6.9K	-225.5K	-1.6K	0.00	66.91	55	0	995	315
2009-07-15	$7.30	$7.50	44.0%	15.6%	41.5%	5.8%	54.7%	0.0%	-5.4%	7.6K	-244.6K	-1.7K	0.00	57.52	2	0	1,050	315
2009-07-16	$7.45	$7.50	49.9%	14.3%	39.0%	10.0%	0.0%	0.0%	-1.2%	8.1K	-278.4K	-1.7K	0.58	29.35	12	7	1,052	315
2009-07-17	$8.03	$7.50	52.3%	15.0%	46.7%	11.7%	52.3%	0.0%	-1.4%	9.0K	-451.2K	-1.3K	0.02	24.15	45	1	1,019	312
2009-07-20	$8.39	$7.50	55.2%	15.8%	48.4%	13.8%	56.0%	0.0%	-5.4%	9.5K	-522.5K	-1.4K	0.39	78.38	38	15	1,015	270
2009-07-21	$8.49	$7.50	45.7%	13.1%	47.6%	7.0%	47.1%	0.0%	-1.0%	10.2K	-554.5K	-1.4K	0.00	78.13	10	0	1,022	274
2009-07-22	$8.42	$7.50	50.6%	14.5%	48.0%	10.5%	51.6%	0.0%	3.3%	10.3K	-530.8K	-1.4K	0.37	90.71	30	11	1,022	274
2009-07-23	$8.32	$7.50	58.0%	16.6%	48.5%	15.8%	63.1%	0.0%	-13.7%	10.0K	-516.6K	-1.4K	0.65	80.10	17	11	1,027	285
2009-07-24	$8.63	$5.00	54.5%	15.6%	49.6%	13.2%	55.0%	0.0%	-3.3%	10.2K	-555.0K	-1.4K	0.02	84.78	47	1	1,035	296
2009-07-27	$8.50	$5.00	56.4%	16.2%	47.5%	14.6%	75.5%	0.0%	-50.8%	9.1K	-539.9K	-1.4K	0.11	95.69	131	15	1,045	297
2009-07-28	$8.25	$5.00	48.7%	13.9%	49.1%	9.1%	53.3%	0.0%	3.9%	10.9K	-514.1K	-1.4K	0.00	77.52	0	60	1,128	311
2009-07-29	$8.28	$7.50	59.5%	17.1%	46.3%	16.8%	63.2%	0.0%	-14.4%	10.2K	-472.6K	-1.4K	0.03	76.79	66	2	1,125	371
2009-07-30	$7.75	$7.50	49.2%	14.1%	52.7%	9.5%	50.6%	0.0%	-5.1%	4.2K	-242.2K	-1.4K	4.13	69.79	15	62	836	373
2009-07-31	$7.65	$10.00	50.0%	14.3%	53.0%	10.1%	50.0%	0.0%	-2.6%	3.9K	-198.4K	-1.4K	2.58	81.38	12	31	851	435