CQP Options History — November 2009

In November 2009, CQP traded between $10.38 and $12.48. ATM implied volatility averaged 44.2%, placing in the 15.3% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 19.7% (HV 20d: 63.9%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.26.

Notable Days

2009-11-12: Highest Volume — 541 contracts
2009-11-23: Largest IV spike — 34.1% change
2009-11-02: Highest IV Rank — 37.2%
2009-11-02: Largest Expected Move — 19.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.66	$10.38	$12.48	$10.38	$11.21
Max Pain	$9.75	$7.50	$12.50	$12.50	$10.00
ATM IV	44.2%	29.4%	67.2%	67.2%	38.9%
Expected Move	12.8%	8.4%	19.3%	19.3%	11.1%
HV 20d	63.9%	53.0%	70.4%	65.9%	53.8%
HV 60d	52.4%	49.5%	55.9%	49.5%	55.9%
IV Rank	15.3%	1.1%	37.2%	37.2%	10.2%
IV Percentile	20.4%	0.8%	53.6%	53.6%	12.3%
Term Structure	1.6%	-10.0%	16.7%	-10.0%	8.6%
VWIV	44.3%	33.3%	67.1%	67.1%	36.0%
Skew 25d	10.6%	-7.8%	35.8%	1.2%	10.2%
Skew 10d	18.7%	-10.9%	54.0%	3.1%	14.1%
Call IV 25d	39.9%	28.0%	52.7%	52.7%	34.5%
Put IV 25d	50.5%	30.3%	71.8%	53.9%	44.7%
Bid-Ask Spread %	71.06	27.35	90.21	79.16	70.12
Gamma HHI	0.63	0.51	0.81	0.51	0.57
Net GEX	19.7K	2.8K	41.0K	2.8K	21.8K
Net DEX	-623.7K	-1.0M	-187.1K	-187.1K	-569.8K
Net VEX	-3.6K	-4.7K	-2.1K	-2.1K	-4.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.26	0.00	1.67	0.56	0.26
Total Volume	155.95	3	541	86	67
Total OI	2,437.95	1,620	3,081	1,620	2,923

Daily Data (20 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
2009-11-02	$10.38	$12.50	67.2%	19.3%	65.9%	37.2%	67.1%	1.2%	-10.0%	2.8K	-187.1K	-2.1K	0.56	79.16	55	31	889	731
2009-11-03	$10.83	$12.50	55.8%	16.0%	66.9%	26.4%	51.4%	9.3%	4.3%	3.9K	-257.2K	-2.3K	0.72	76.73	64	46	939	749
2009-11-04	$10.50	$12.50	61.0%	17.5%	68.2%	31.3%	61.1%	17.5%	-5.0%	3.6K	-246.9K	-2.3K	0.00	83.96	45	0	987	778
2009-11-05	$11.10	$10.00	51.7%	14.8%	70.4%	22.4%	0.0%	8.2%	11.1%	4.3K	-349.1K	-2.2K	0.06	90.21	171	10	1,018	778
2009-11-06	$11.72	$7.50	48.7%	13.7%	70.0%	19.6%	44.2%	8.3%	-3.1%	9.6K	-537.8K	-2.6K	0.20	74.10	130	26	1,139	788
2009-11-09	$12.05	$7.50	45.7%	14.0%	70.3%	16.7%	48.7%	16.4%	-0.6%	11.1K	-653.4K	-2.8K	0.04	68.99	114	5	1,168	798
2009-11-10	$12.12	$7.50	44.6%	13.8%	70.1%	15.6%	52.8%	15.7%	0.0%	13.0K	-689.4K	-2.7K	1.67	75.45	6	10	1,186	796
2009-11-11	$12.21	$7.50	38.4%	12.3%	69.9%	9.8%	42.8%	12.9%	0.7%	14.6K	-697.1K	-2.7K	0.15	69.94	447	69	1,190	804
2009-11-12	$12.48	$7.50	43.6%	12.5%	68.6%	14.7%	43.6%	17.5%	0.9%	29.1K	-941.0K	-3.2K	0.10	65.59	494	47	1,502	871
2009-11-13	$12.29	$10.00	39.6%	11.4%	61.6%	10.9%	39.0%	35.8%	3.7%	30.7K	-840.3K	-4.0K	0.01	76.26	183	1	1,707	900
2009-11-16	$12.42	$10.00	40.1%	11.5%	61.6%	11.4%	40.1%	6.8%	0.6%	35.5K	-1.0M	-4.3K	0.25	67.48	264	65	1,802	901
2009-11-17	$12.24	$10.00	41.4%	11.9%	61.9%	12.6%	41.4%	15.1%	-0.9%	41.0K	-864.4K	-4.7K	0.19	83.15	95	18	1,917	961
2009-11-18	$11.95	$10.00	41.3%	11.8%	62.0%	12.5%	0.0%	-1.1%	0.2%	32.5K	-755.7K	-4.7K	0.75	85.37	20	15	1,991	979
2009-11-19	$11.65	$10.00	44.7%	12.8%	61.7%	15.7%	45.1%	7.5%	-3.8%	17.9K	-536.7K	-4.4K	0.08	59.33	71	6	2,011	994
2009-11-20	$11.56	$10.00	33.6%	9.6%	60.1%	5.2%	38.5%	9.2%	3.3%	21.1K	-577.7K	-4.5K	0.00	83.25	260	1	2,081	1,000
2009-11-23	$11.13	$10.00	45.0%	12.9%	59.9%	16.1%	36.0%	4.7%	16.7%	19.3K	-561.5K	-4.4K	0.00	58.54	31	0	1,959	890
2009-11-24	$11.43	$10.00	35.5%	10.2%	61.1%	7.0%	38.3%	2.3%	-0.4%	21.2K	-597.2K	-4.4K	0.00	56.76	3	0	1,982	890
2009-11-25	$12.00	$10.00	29.4%	8.4%	61.5%	1.1%	33.3%	21.2%	4.4%	29.9K	-807.4K	-4.5K	0.06	69.38	142	8	1,982	890
2009-11-27	$12.00	$10.00	37.7%	10.8%	53.0%	9.1%	37.8%	-7.8%	2.0%	31.0K	-802.0K	-4.6K	0.16	27.35	85	14	1,994	894
2009-11-30	$11.21	$10.00	38.9%	11.1%	53.8%	10.2%	36.0%	10.2%	8.6%	21.8K	-569.8K	-4.2K	0.26	70.12	53	14	2,039	884