CQP Options History — February 2010

In February 2010, CQP traded between $13.34 and $15.00. ATM implied volatility averaged 43.2%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 11.1% (HV 20d: 54.3%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.93.

Notable Days

2010-02-03: Highest Volume — 2,659 contracts
2010-02-10: Largest IV spike — 39.9% change
2010-02-10: Highest IV Rank — 35.6%
2010-02-08: Largest Expected Move — 15.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.25	$13.34	$15.00	$13.52	$15.00
Max Pain	$14.61	$12.50	$15.00	$15.00	$15.00
ATM IV	43.2%	31.5%	54.1%	31.5%	39.0%
Expected Move	12.7%	9.0%	15.6%	9.0%	11.2%
HV 20d	54.3%	52.2%	58.0%	56.8%	52.3%
HV 60d	51.9%	48.8%	53.2%	52.7%	48.8%
IV Rank	21.7%	6.8%	35.6%	6.8%	16.4%
IV Percentile	37.1%	4.0%	58.7%	4.0%	23.8%
Term Structure	2.8%	-3.6%	24.9%	21.0%	2.4%
VWIV	44.5%	26.6%	59.7%	26.6%	37.7%
Skew 25d	10.8%	-7.8%	19.6%	-1.5%	18.1%
Skew 10d	25.1%	-8.7%	44.6%	0.0%	27.3%
Call IV 25d	38.6%	31.0%	50.0%	38.8%	31.0%
Put IV 25d	49.4%	29.2%	58.4%	37.3%	49.1%
Bid-Ask Spread %	29.96	17.28	58.03	27.30	23.32
Gamma HHI	0.57	0.39	0.77	0.46	0.48
Net GEX	96.5K	10.2K	235.4K	10.2K	113.7K
Net DEX	-4.1M	-6.7M	-9.6K	-9.6K	-5.1M
Net VEX	-18.2K	-20.7K	-13.4K	-13.4K	-19.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.06	4.21	0.06	0.08
Total Volume	765.684	68	2,659	2,048	427
Total OI	12,628	8,978	15,439	8,978	10,718

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
2010-02-01	$13.52	$15.00	31.5%	9.0%	56.8%	6.8%	26.6%	-1.5%	21.0%	10.2K	-9.6K	-13.4K	0.06	27.30	1,941	107	4,455	4,523
2010-02-02	$14.27	$12.50	37.1%	10.6%	58.0%	14.0%	31.5%	-7.8%	3.7%	91.8K	-3.3M	-15.2K	2.00	17.28	95	190	6,103	4,527
2010-02-03	$14.05	$12.50	38.5%	11.0%	56.9%	15.7%	32.8%	7.9%	4.9%	87.5K	-2.8M	-13.5K	1.37	43.42	1,123	1,536	6,120	4,582
2010-02-04	$13.75	$12.50	40.4%	11.6%	56.4%	18.2%	59.7%	15.8%	24.9%	64.0K	-2.1M	-16.5K	4.21	34.42	119	501	6,774	5,441
2010-02-05	$13.64	$15.00	43.3%	14.9%	52.9%	21.9%	51.9%	6.5%	-0.3%	64.5K	-1.9M	-16.7K	0.61	38.01	565	344	6,858	5,626
2010-02-08	$13.34	$15.00	49.1%	15.6%	52.2%	29.3%	52.4%	8.2%	1.2%	62.6K	-1.9M	-16.3K	0.17	41.75	1,335	228	7,194	5,608
2010-02-09	$13.97	$15.00	38.6%	13.7%	53.7%	15.9%	48.6%	8.4%	1.8%	84.8K	-4.6M	-19.3K	0.95	21.92	588	557	8,472	5,749
2010-02-10	$13.68	$15.00	54.1%	14.2%	52.8%	35.6%	46.3%	6.5%	2.2%	78.8K	-4.0M	-20.4K	0.37	37.94	278	103	8,645	6,084
2010-02-11	$14.04	$15.00	45.4%	13.0%	53.0%	24.6%	46.8%	8.6%	1.0%	93.3K	-4.7M	-20.3K	0.40	22.35	372	148	8,848	6,147
2010-02-12	$14.30	$15.00	44.1%	12.7%	53.3%	22.9%	52.0%	11.3%	2.8%	104.0K	-5.4M	-20.7K	2.70	54.65	63	170	8,903	6,239
2010-02-16	$14.65	$15.00	46.2%	13.2%	53.9%	25.6%	47.1%	18.8%	-0.6%	123.2K	-6.2M	-20.4K	0.72	20.30	137	98	8,873	6,361
2010-02-17	$14.37	$15.00	44.9%	12.9%	53.8%	23.9%	41.4%	14.0%	-0.0%	107.8K	-5.4M	-19.2K	0.23	23.70	217	51	8,900	6,317
2010-02-18	$14.86	$15.00	46.7%	13.4%	54.7%	26.2%	46.7%	19.6%	-3.6%	235.4K	-6.6M	-19.8K	0.07	58.03	1,541	114	9,053	6,319
2010-02-19	$14.82	$15.00	42.3%	12.1%	54.6%	20.6%	42.3%	19.1%	0.2%	196.5K	-6.7M	-19.4K	0.69	20.99	219	152	9,146	6,293
2010-02-22	$14.67	$15.00	44.3%	12.7%	54.7%	23.2%	44.8%	15.1%	-2.9%	73.4K	-4.4M	-18.3K	0.55	21.92	344	189	6,432	3,421
2010-02-23	$14.61	$15.00	44.4%	12.7%	54.1%	23.3%	43.8%	13.0%	-1.1%	74.0K	-4.5M	-18.6K	0.66	19.23	41	27	6,711	3,557
2010-02-24	$14.65	$15.00	46.2%	13.2%	54.0%	25.5%	48.0%	6.2%	-2.6%	78.6K	-4.4M	-19.3K	0.77	21.27	283	218	6,726	3,581
2010-02-25	$14.64	$15.00	44.5%	12.7%	53.1%	23.3%	45.5%	18.1%	-1.2%	89.7K	-4.7M	-19.0K	1.02	21.34	63	64	6,911	3,715
2010-02-26	$15.00	$15.00	39.0%	11.2%	52.3%	16.4%	37.7%	18.1%	2.4%	113.7K	-5.1M	-19.4K	0.08	23.32	397	30	6,950	3,768