CQP Options History — September 2009

In September 2009, CQP traded between $8.14 and $9.95. ATM implied volatility averaged 42.0%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 0.6% (HV 20d: 41.3%). 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 0.66.

Notable Days

2009-09-11: Highest Volume — 244 contracts
2009-09-18: Largest IV drop — 39.0% change
2009-09-09: Highest IV Rank — 16.4%
2009-09-11: Largest Expected Move — 14.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.32	$8.14	$9.95	$8.39	$9.75
Max Pain	$8.81	$7.50	$10.00	$7.50	$10.00
ATM IV	42.0%	28.2%	54.8%	35.9%	41.0%
Expected Move	11.8%	8.1%	14.3%	10.3%	11.8%
HV 20d	41.3%	23.8%	50.9%	23.8%	49.9%
HV 60d	42.5%	38.6%	45.2%	38.6%	41.9%
IV Rank	8.3%	0.0%	16.4%	3.4%	8.6%
IV Percentile	9.2%	0.0%	21.8%	2.8%	9.1%
Term Structure	5.1%	-7.9%	16.1%	9.2%	7.9%
VWIV	43.1%	32.1%	80.0%	34.0%	44.9%
Bid-Ask Spread %	70.46	21.93	103.51	56.12	82.99
Gamma HHI	0.57	0.50	0.89	0.50	0.50
Net GEX	4.1K	1.5K	7.9K	4.0K	3.7K
Net DEX	-392.6K	-555.1K	-250.8K	-267.3K	-445.0K
Net VEX	-1.2K	-1.4K	-1.0K	-1.0K	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.00	4.30	1.43	0.00
Total Volume	61.048	0	244	17	34
Total OI	1,238.19	1,101	1,395	1,129	1,337

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
2009-09-01	$8.39	$7.50	35.9%	10.3%	23.8%	3.4%	34.0%	0.0%	9.2%	4.0K	-267.3K	-1.0K	1.43	56.12	7	10	734	395
2009-09-02	$8.14	$7.50	33.7%	9.7%	26.2%	1.9%	38.5%	0.0%	15.5%	4.0K	-250.8K	-1.0K	0.54	24.76	28	15	734	394
2009-09-03	$8.31	$7.50	37.7%	10.8%	26.6%	4.6%	0.0%	0.0%	8.7%	4.1K	-269.0K	-1.1K	0.00	21.93	0	26	754	399
2009-09-04	$8.57	$7.50	38.7%	12.3%	25.1%	5.3%	0.0%	0.0%	16.1%	3.7K	-305.7K	-1.1K	0.19	103.51	26	5	754	425
2009-09-08	$8.62	$7.50	49.3%	13.5%	25.1%	12.6%	0.0%	0.0%	12.4%	4.1K	-323.0K	-1.0K	0.00	92.83	43	0	755	420
2009-09-09	$8.70	$7.50	54.8%	10.4%	25.2%	16.4%	0.0%	0.0%	14.8%	4.1K	-328.9K	-1.0K	0.00	100.14	2	0	752	420
2009-09-10	$8.84	$7.50	39.8%	11.4%	25.5%	6.0%	32.1%	0.0%	-3.9%	4.2K	-350.1K	-1.0K	0.72	102.59	50	36	752	420
2009-09-11	$9.95	$7.50	49.9%	14.3%	47.0%	13.0%	80.0%	0.0%	-7.9%	6.9K	-555.1K	-1.1K	0.08	40.04	226	18	802	420
2009-09-14	$9.84	$7.50	49.0%	14.1%	47.7%	12.4%	0.0%	0.0%	-3.0%	7.2K	-546.1K	-1.1K	0.00	61.06	30	0	813	416
2009-09-15	$9.68	$7.50	46.4%	13.3%	47.8%	10.6%	46.3%	0.0%	-2.5%	7.9K	-514.0K	-1.1K	2.03	77.43	69	140	838	416
2009-09-16	$9.75	$10.00	43.0%	12.3%	47.7%	8.3%	0.0%	0.0%	0.5%	4.8K	-439.3K	-1.3K	0.00	73.72	11	0	823	556
2009-09-17	$9.62	$10.00	46.2%	13.2%	48.0%	10.4%	46.2%	0.0%	-1.7%	4.2K	-415.2K	-1.3K	0.03	73.97	33	1	822	556
2009-09-18	$9.36	$10.00	28.2%	8.1%	49.7%	0.0%	33.6%	0.0%	5.7%	2.0K	-381.6K	-1.3K	0.11	67.36	71	8	838	557
2009-09-21	$9.53	$10.00	38.0%	10.9%	49.7%	6.6%	38.5%	0.0%	6.2%	1.5K	-324.5K	-1.2K	0.06	56.42	173	10	655	446
2009-09-22	$9.85	$10.00	39.5%	11.3%	50.4%	7.6%	39.5%	0.0%	6.2%	2.7K	-414.1K	-1.3K	2.83	82.16	12	34	738	456
2009-09-23	$9.77	$10.00	40.0%	11.5%	50.6%	8.0%	40.0%	0.0%	5.9%	2.6K	-411.7K	-1.3K	0.00	83.24	38	0	750	485
2009-09-24	$9.76	$10.00	40.9%	11.7%	50.6%	8.6%	0.0%	0.0%	5.7%	3.0K	-411.2K	-1.4K	4.30	83.52	10	43	774	485
2009-09-25	$9.72	$10.00	43.7%	12.5%	50.4%	10.5%	43.7%	0.0%	5.0%	3.1K	-405.4K	-1.4K	0.00	60.98	20	0	784	498
2009-09-28	$9.85	$10.00	44.9%	12.9%	50.3%	11.3%	44.9%	0.0%	1.7%	3.3K	-445.0K	-1.4K	0.23	50.61	43	10	794	498
2009-09-29	$9.72	$10.00	41.2%	11.8%	50.9%	8.8%	0.0%	0.0%	4.6%	3.8K	-442.0K	-1.4K	0.00	84.28	0	0	829	508
2009-09-30	$9.75	$10.00	41.0%	11.8%	49.9%	8.6%	0.0%	0.0%	7.9%	3.7K	-445.0K	-1.4K	0.00	82.99	34	0	829	508