CQP Options History — August 2009

In August 2009, CQP traded between $7.61 and $8.19. ATM implied volatility averaged 41.6%, placing in the 6.7% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 2.4% (HV 20d: 39.3%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.23.

Notable Days

2009-08-24: Highest Volume — 108 contracts
2009-08-07: Largest IV drop — 27.9% change
2009-08-03: Highest IV Rank — 12.9%
2009-08-03: Largest Expected Move — 15.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.99	$7.61	$8.19	$7.80	$8.09
Max Pain	$7.98	$7.50	$10.00	$10.00	$7.50
ATM IV	41.6%	31.0%	54.0%	54.0%	33.9%
Expected Move	12.5%	9.6%	15.5%	15.5%	9.7%
HV 20d	39.3%	20.6%	52.2%	52.2%	20.6%
HV 60d	39.9%	38.2%	44.1%	44.1%	38.2%
IV Rank	6.7%	0.0%	12.9%	12.9%	2.0%
IV Percentile	4.1%	0.0%	9.9%	9.9%	1.2%
Term Structure	2.5%	-9.1%	12.1%	-5.6%	5.8%
VWIV	55.4%	38.6%	109.0%	47.7%	46.5%
Bid-Ask Spread %	75.12	46.69	109.45	107.08	53.52
Gamma HHI	0.52	0.50	0.55	0.51	0.51
Net GEX	4.2K	3.6K	5.2K	3.7K	3.8K
Net DEX	-267.2K	-319.5K	-193.3K	-221.5K	-230.5K
Net VEX	-1.3K	-1.5K	-1.1K	-1.5K	-1.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.23	0.00	20.00	0.00	1.67
Total Volume	13.905	0	108	0	16
Total OI	1,254.81	1,103	1,327	1,300	1,135

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
2009-08-03	$7.80	$10.00	54.0%	15.5%	52.2%	12.9%	0.0%	0.0%	-5.6%	3.7K	-221.5K	-1.5K	0.00	107.08	0	0	853	447
2009-08-04	$7.76	$10.00	47.6%	13.6%	48.8%	8.3%	47.7%	0.0%	0.9%	3.6K	-211.4K	-1.4K	0.00	109.45	22	0	853	447
2009-08-05	$7.67	$10.00	44.7%	12.8%	49.1%	6.3%	0.0%	0.0%	1.8%	3.8K	-207.6K	-1.4K	0.00	82.81	10	0	860	447
2009-08-06	$7.61	$10.00	46.3%	13.3%	48.3%	7.4%	109.0%	0.0%	3.1%	3.7K	-193.3K	-1.3K	0.00	82.00	2	0	856	447
2009-08-07	$7.92	$7.50	33.3%	12.0%	48.8%	0.0%	0.0%	0.0%	5.6%	3.7K	-280.7K	-1.4K	0.00	62.69	0	4	858	407
2009-08-10	$7.97	$7.50	31.0%	12.9%	48.8%	0.0%	43.9%	0.0%	1.9%	4.0K	-286.8K	-1.3K	0.00	69.82	32	0	858	411
2009-08-11	$8.02	$7.50	39.5%	13.0%	47.7%	5.9%	0.0%	0.0%	1.4%	4.6K	-308.6K	-1.4K	20.00	74.44	1	20	889	411
2009-08-12	$8.06	$7.50	34.8%	13.1%	47.7%	2.6%	0.0%	0.0%	5.9%	4.5K	-319.5K	-1.4K	0.00	75.51	1	0	889	431
2009-08-13	$7.96	$7.50	43.9%	12.6%	47.7%	8.9%	0.0%	0.0%	5.1%	4.3K	-307.2K	-1.4K	7.00	66.08	1	7	890	431
2009-08-14	$8.05	$7.50	47.2%	13.5%	39.7%	11.2%	0.0%	0.0%	-1.6%	4.7K	-294.3K	-1.4K	0.00	86.94	1	0	889	438
2009-08-17	$7.93	$7.50	46.6%	13.4%	36.4%	10.8%	46.6%	0.0%	2.5%	4.4K	-288.7K	-1.4K	0.00	83.48	12	0	889	438
2009-08-18	$8.09	$7.50	47.7%	13.7%	37.0%	11.5%	0.0%	0.0%	3.1%	4.6K	-314.6K	-1.4K	0.00	84.09	0	0	889	438
2009-08-19	$8.03	$7.50	47.7%	13.7%	37.0%	11.5%	38.6%	0.0%	5.4%	4.3K	-309.6K	-1.4K	0.05	84.39	20	1	889	438
2009-08-20	$8.05	$7.50	46.1%	13.2%	36.8%	10.4%	0.0%	0.0%	4.9%	4.3K	-303.6K	-1.3K	0.00	89.26	0	0	859	424
2009-08-21	$8.05	$7.50	43.7%	12.5%	34.0%	8.7%	0.0%	0.0%	8.6%	4.9K	-303.8K	-1.3K	0.00	46.69	0	0	859	424
2009-08-24	$8.19	$7.50	39.7%	11.4%	34.4%	6.0%	46.5%	0.0%	8.9%	5.2K	-287.6K	-1.2K	0.08	69.76	100	8	827	364
2009-08-25	$8.18	$7.50	34.3%	9.8%	32.8%	2.3%	0.0%	0.0%	12.1%	4.0K	-243.6K	-1.1K	0.00	80.84	0	15	735	368
2009-08-26	$8.16	$7.50	33.5%	9.6%	32.8%	1.8%	0.0%	0.0%	-3.7%	3.9K	-240.0K	-1.1K	0.20	57.11	5	1	735	383
2009-08-27	$8.09	$7.50	38.3%	11.0%	22.2%	5.1%	0.0%	0.0%	-5.5%	4.0K	-233.1K	-1.1K	0.00	57.28	0	1	740	382
2009-08-28	$8.09	$7.50	40.7%	11.7%	21.5%	6.7%	0.0%	0.0%	-9.1%	3.9K	-225.8K	-1.1K	0.00	54.25	0	12	740	383
2009-08-31	$8.09	$7.50	33.9%	9.7%	20.6%	2.0%	0.0%	0.0%	5.8%	3.8K	-230.5K	-1.1K	1.67	53.52	6	10	740	395