CQP Options History — January 2010

In January 2010, CQP traded between $13.28 and $15.64. ATM implied volatility averaged 36.8%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 12.1% (HV 20d: 48.9%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.57.

Notable Days

2010-01-27: Highest Volume — 11,004 contracts
2010-01-13: Largest IV spike — 36.7% change
2010-01-27: Highest IV Rank — 23.3%
2010-01-04: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.78	$13.28	$15.64	$13.48	$13.28
Max Pain	$12.89	$10.00	$15.00	$10.00	$15.00
ATM IV	36.8%	26.1%	44.4%	28.7%	44.0%
Expected Move	11.4%	10.4%	12.8%	12.8%	12.6%
HV 20d	48.9%	38.1%	56.6%	50.9%	56.6%
HV 60d	55.1%	49.3%	57.8%	56.9%	53.3%
IV Rank	13.3%	0.0%	23.3%	1.0%	22.8%
IV Percentile	17.6%	0.0%	38.1%	0.8%	37.7%
Term Structure	2.7%	-1.1%	6.1%	-0.6%	6.1%
VWIV	43.8%	36.1%	64.0%	48.0%	44.3%
Skew 25d	5.7%	-1.2%	10.3%	0.9%	-1.2%
Skew 10d	5.4%	-8.5%	26.0%	-8.5%	-1.1%
Call IV 25d	39.8%	35.1%	45.9%	40.8%	45.9%
Put IV 25d	45.5%	34.0%	48.9%	41.7%	44.7%
Bid-Ask Spread %	25.10	10.59	48.38	32.69	18.34
Gamma HHI	0.61	0.36	0.88	0.43	0.46
Net GEX	38.8K	-6.5K	82.6K	38.9K	20.9K
Net DEX	-2.5M	-3.6M	7.5K	-1.8M	7.5K
Net VEX	-11.2K	-14.9K	-8.3K	-8.8K	-12.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.05	1.39	0.28	0.99
Total Volume	1,205.895	216	11,004	340	1,536
Total OI	6,597.368	5,124	8,066	5,124	8,066

Daily Data (19 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
2010-01-04	$13.48	$10.00	28.7%	12.8%	50.9%	1.0%	48.0%	0.0%	-0.6%	38.9K	-1.8M	-8.8K	0.28	32.69	265	75	2,869	2,255
2010-01-05	$13.99	$12.50	36.2%	11.6%	51.6%	11.1%	43.4%	0.9%	2.9%	38.0K	-2.1M	-8.7K	0.78	26.46	440	344	2,840	2,307
2010-01-06	$14.37	$12.50	26.1%	10.8%	49.5%	0.0%	44.3%	6.7%	3.7%	35.2K	-2.6M	-8.3K	0.27	24.93	448	121	2,893	2,420
2010-01-07	$15.11	$12.50	35.3%	11.1%	50.9%	11.6%	41.7%	5.2%	0.4%	39.3K	-3.0M	-8.9K	0.46	33.47	352	162	3,053	2,475
2010-01-08	$14.60	$12.50	33.2%	10.5%	53.0%	9.0%	47.8%	8.7%	1.4%	45.4K	-2.7M	-9.5K	0.49	34.66	977	480	3,232	2,520
2010-01-11	$15.08	$12.50	35.0%	11.5%	53.0%	11.2%	56.2%	8.4%	-0.2%	14.5K	-2.6M	-9.4K	0.46	35.42	402	186	3,146	2,840
2010-01-12	$14.55	$12.50	26.4%	11.3%	56.2%	0.4%	40.0%	6.3%	5.4%	9.5K	-2.0M	-10.4K	0.50	32.18	266	134	3,175	2,984
2010-01-13	$14.89	$12.50	36.1%	11.3%	56.2%	12.6%	41.5%	9.3%	2.7%	14.7K	-2.4M	-10.5K	1.04	28.90	324	337	3,328	3,073
2010-01-14	$14.66	$12.50	39.9%	11.4%	56.2%	17.3%	40.4%	7.7%	0.6%	12.1K	-2.2M	-11.7K	1.28	26.56	132	169	3,551	3,397
2010-01-15	$14.85	$12.50	37.7%	10.8%	55.9%	14.5%	46.1%	10.3%	3.5%	-6.5K	-2.5M	-12.0K	1.39	28.14	108	150	3,663	3,432
2010-01-19	$15.10	$12.50	36.1%	10.4%	53.1%	12.6%	36.1%	9.8%	4.7%	37.9K	-2.8M	-11.5K	0.22	12.12	216	47	3,485	3,128
2010-01-20	$15.43	$12.50	36.6%	10.5%	42.5%	13.2%	36.6%	7.0%	5.9%	47.1K	-3.2M	-10.8K	0.05	13.76	1,697	81	3,604	3,152
2010-01-21	$15.28	$12.50	37.7%	10.8%	41.6%	14.7%	37.6%	4.7%	5.0%	52.2K	-2.8M	-12.0K	0.39	17.55	245	95	3,601	3,156
2010-01-22	$15.20	$12.50	39.6%	11.4%	42.3%	17.2%	39.6%	6.2%	3.5%	50.7K	-2.7M	-12.5K	0.06	20.39	932	60	3,728	3,226
2010-01-25	$15.49	$12.50	41.2%	11.8%	39.1%	19.2%	41.6%	4.0%	1.9%	82.6K	-3.6M	-12.9K	1.30	12.73	94	122	4,309	3,261
2010-01-26	$15.64	$15.00	42.4%	12.2%	38.1%	20.8%	41.8%	4.3%	3.0%	81.9K	-3.6M	-13.1K	0.15	10.59	432	63	4,276	3,291
2010-01-27	$15.19	$15.00	44.4%	12.7%	39.5%	23.3%	64.0%	5.4%	-1.1%	76.5K	-2.9M	-13.2K	0.06	48.38	10,376	628	4,381	3,349
2010-01-28	$14.66	$15.00	41.6%	11.9%	42.3%	19.8%	41.6%	-1.2%	1.8%	46.5K	-1.7M	-14.9K	0.64	19.63	254	162	4,025	3,859
2010-01-29	$13.28	$15.00	44.0%	12.6%	56.6%	22.8%	44.3%	-1.2%	6.1%	20.9K	7.5K	-12.9K	0.99	18.34	773	763	4,158	3,908