CQP Options History — October 2009

In October 2009, CQP traded between $9.27 and $13.30. ATM implied volatility averaged 40.4%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 6.5% (HV 20d: 46.9%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.69.

Notable Days

2009-10-28: Highest Volume — 7,114 contracts
2009-10-14: Largest IV spike — 72.4% change
2009-10-30: Highest IV Rank — 34.6%
2009-10-30: Largest Expected Move — 18.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.15	$9.27	$13.30	$9.50	$10.68
Max Pain	$8.57	$7.50	$12.50	$10.00	$12.50
ATM IV	40.4%	29.1%	73.1%	33.3%	64.4%
Expected Move	12.6%	9.5%	18.5%	9.5%	18.5%
HV 20d	46.9%	34.1%	65.6%	49.5%	65.6%
HV 60d	43.1%	40.1%	49.1%	42.4%	49.1%
IV Rank	10.2%	0.6%	34.6%	3.5%	34.6%
IV Percentile	12.2%	0.4%	54.0%	0.8%	49.6%
Term Structure	0.5%	-7.5%	17.7%	17.7%	-5.4%
VWIV	52.8%	36.7%	96.9%	47.2%	64.4%
Skew 25d	14.2%	-2.4%	21.6%	19.6%	16.0%
Skew 10d	24.1%	-8.0%	37.9%	27.4%	35.3%
Call IV 25d	38.0%	28.4%	48.6%	28.4%	48.6%
Put IV 25d	52.2%	39.6%	64.6%	47.9%	64.6%
Bid-Ask Spread %	70.37	29.52	94.86	83.33	82.38
Gamma HHI	0.59	0.33	1.00	0.50	0.38
Net GEX	6.2K	1.5K	10.2K	4.4K	1.9K
Net DEX	-786.0K	-1.4M	-193.0K	-388.2K	-193.0K
Net VEX	-1.5K	-2.2K	-842	-1.4K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.00	4.83	1.00	0.30
Total Volume	449.095	4	7,114	20	189
Total OI	1,606.714	1,365	2,147	1,365	1,579

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
2009-10-01	$9.50	$10.00	33.3%	9.5%	49.5%	3.5%	0.0%	0.0%	17.7%	4.4K	-388.2K	-1.4K	1.00	83.33	10	10	857	508
2009-10-02	$9.27	$10.00	33.4%	9.6%	50.5%	3.5%	0.0%	0.0%	11.0%	4.5K	-327.1K	-1.4K	0.07	81.71	30	2	862	516
2009-10-05	$9.50	$7.50	36.5%	13.4%	50.1%	5.6%	47.2%	0.0%	-5.3%	4.6K	-399.4K	-1.5K	0.36	94.86	56	20	892	516
2009-10-06	$9.50	$7.50	31.8%	13.5%	50.2%	2.4%	0.0%	0.0%	-3.5%	5.2K	-430.5K	-1.5K	0.00	90.92	0	20	942	516
2009-10-07	$9.68	$7.50	29.1%	13.3%	50.4%	0.6%	0.0%	0.0%	-2.5%	4.3K	-451.5K	-1.6K	0.50	82.51	20	10	942	536
2009-10-08	$10.26	$7.50	35.1%	14.4%	53.7%	4.7%	0.0%	0.0%	-2.1%	4.1K	-599.6K	-1.6K	0.00	85.05	112	0	942	536
2009-10-09	$10.24	$7.50	40.2%	14.1%	34.2%	8.1%	0.0%	0.0%	-0.5%	5.1K	-630.9K	-1.6K	0.00	85.28	4	0	982	536
2009-10-12	$10.48	$7.50	33.3%	14.8%	34.7%	3.4%	0.0%	0.0%	-2.2%	6.2K	-697.9K	-1.5K	0.00	83.90	6	0	982	536
2009-10-13	$10.42	$7.50	42.4%	14.2%	34.1%	9.6%	0.0%	0.0%	-4.7%	5.9K	-691.6K	-1.5K	3.50	85.92	10	35	988	536
2009-10-14	$10.93	$7.50	73.1%	15.3%	37.5%	30.2%	58.8%	0.0%	-7.5%	6.8K	-821.7K	-1.3K	0.00	87.12	4	0	993	568
2009-10-15	$11.95	$7.50	37.4%	10.7%	47.1%	8.5%	37.6%	0.0%	-0.8%	8.6K	-1.0M	-842	0.02	74.40	103	2	993	568
2009-10-19	$11.98	$7.50	40.4%	11.6%	45.0%	11.7%	40.3%	0.0%	2.1%	8.1K	-1.0M	-1.0K	4.83	52.47	12	58	1,028	452
2009-10-20	$11.94	$7.50	33.6%	9.6%	45.3%	5.2%	84.4%	0.0%	-3.1%	7.1K	-1.0M	-1.1K	0.10	51.11	123	12	1,040	495
2009-10-21	$12.20	$7.50	35.9%	10.3%	44.7%	7.3%	36.7%	0.0%	1.1%	8.6K	-1.2M	-1.1K	0.44	48.83	90	40	1,160	490
2009-10-22	$12.52	$7.50	42.1%	12.1%	44.4%	13.3%	55.3%	0.0%	-0.1%	9.0K	-1.3M	-996	0.58	41.50	355	207	1,207	490
2009-10-23	$12.95	$7.50	40.4%	11.6%	44.8%	11.6%	40.4%	19.6%	2.6%	9.7K	-1.3M	-1.7K	0.31	29.52	81	25	1,260	624
2009-10-26	$13.30	$10.00	42.5%	12.2%	44.4%	13.7%	42.8%	16.0%	3.1%	10.2K	-1.4M	-1.9K	0.59	42.32	180	106	1,320	649
2009-10-27	$13.07	$10.00	39.7%	11.4%	46.0%	11.0%	39.6%	-2.4%	7.6%	7.9K	-1.3M	-2.2K	0.47	65.93	134	63	1,392	755
2009-10-28	$12.39	$10.00	45.2%	12.9%	51.1%	16.2%	96.9%	21.6%	2.6%	6.2K	-964.5K	-2.2K	0.01	71.92	7,020	94	1,253	758
2009-10-29	$11.38	$12.50	38.4%	11.0%	61.6%	9.8%	42.1%	14.4%	1.1%	1.5K	-237.9K	-2.2K	0.79	56.76	105	83	768	774
2009-10-30	$10.68	$12.50	64.4%	18.5%	65.6%	34.6%	64.4%	16.0%	-5.4%	1.9K	-193.0K	-2.2K	0.30	82.38	145	44	839	740