CQP Options History — May 2010

In May 2010, CQP traded between $14.14 and $17.77. ATM implied volatility averaged 48.7%, placing in the 47.4% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 29.3% (HV 20d: 78.0%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 4 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.81.

Notable Days

2010-05-06: Highest Volume — 1,780 contracts
2010-05-07: Largest IV spike — 89.0% change
2010-05-20: Highest IV Rank — 77.2%
2010-05-20: Largest Expected Move — 17.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.24	$14.14	$17.77	$17.77	$16.04
Max Pain	$18.00	$17.50	$20.00	$20.00	$17.50
ATM IV	48.7%	27.5%	61.7%	40.8%	51.7%
Expected Move	14.1%	7.9%	17.7%	11.7%	14.8%
HV 20d	78.0%	47.6%	96.4%	47.6%	96.4%
HV 60d	52.5%	34.4%	62.4%	34.4%	62.4%
IV Rank	47.4%	6.0%	77.2%	25.0%	57.2%
IV Percentile	71.5%	2.8%	96.0%	46.8%	83.3%
Term Structure	0.2%	-7.1%	30.6%	-1.2%	1.6%
VWIV	48.7%	27.6%	63.5%	36.5%	47.0%
Skew 25d	8.3%	-0.5%	15.0%	9.8%	4.8%
Skew 10d	22.2%	-11.2%	77.0%	16.8%	2.3%
Call IV 25d	46.8%	34.7%	63.5%	34.7%	46.2%
Put IV 25d	55.1%	44.6%	70.4%	44.6%	51.0%
Bid-Ask Spread %	42.75	19.04	66.33	52.18	33.30
Gamma HHI	0.36	0.29	0.52	0.37	0.44
Net GEX	-22.1K	-78.5K	68.6K	-45.3K	39.3K
Net DEX	536.8K	-1.6M	3.3M	12.4K	-627.1K
Net VEX	-16.6K	-19.0K	-13.8K	-17.7K	-17.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.01	2.38	1.15	1.45
Total Volume	507.95	175	1,780	891	544
Total OI	9,461.3	7,910	10,381	8,472	9,518

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
2010-05-03	$17.77	$20.00	40.8%	11.7%	47.6%	25.0%	36.5%	9.8%	-1.2%	-45.3K	12.4K	-17.7K	1.15	52.18	415	476	3,512	4,960
2010-05-04	$17.18	$20.00	40.7%	11.7%	49.2%	24.8%	40.9%	6.8%	-0.4%	-49.5K	727.3K	-16.5K	1.86	35.73	140	260	3,688	4,927
2010-05-05	$16.25	$20.00	47.3%	13.6%	51.9%	34.2%	47.2%	8.5%	0.7%	-43.2K	1.7M	-16.3K	0.45	29.54	442	200	3,641	4,932
2010-05-06	$14.15	$20.00	27.5%	7.9%	69.5%	6.0%	27.6%	11.8%	30.6%	-19.2K	2.2M	-14.1K	0.46	66.33	1,220	560	3,955	4,927
2010-05-07	$15.79	$17.50	51.9%	16.2%	80.5%	40.8%	55.8%	10.3%	-5.3%	-25.3K	1.2M	-17.2K	1.50	50.26	313	468	4,448	5,045
2010-05-10	$17.01	$17.50	49.8%	14.4%	78.4%	37.8%	53.3%	6.0%	-3.4%	-43.1K	-159.9K	-19.0K	1.17	47.95	203	238	4,403	5,381
2010-05-11	$17.28	$17.50	50.8%	14.3%	77.7%	52.4%	48.0%	7.2%	-2.6%	-47.8K	-446.6K	-18.4K	0.18	54.03	209	38	4,429	5,383
2010-05-12	$17.45	$17.50	44.6%	13.3%	76.9%	40.6%	46.2%	7.6%	-0.2%	-53.4K	-649.8K	-18.1K	0.35	45.18	159	56	4,519	5,379
2010-05-13	$17.37	$17.50	46.0%	13.2%	76.9%	45.7%	0.0%	8.5%	-0.3%	-78.5K	-418.3K	-17.9K	0.17	19.04	149	26	4,535	5,334
2010-05-14	$17.29	$17.50	45.6%	13.1%	76.9%	44.8%	46.1%	9.0%	-0.0%	-60.2K	-250.1K	-17.8K	0.22	36.35	253	55	4,642	5,345
2010-05-17	$16.80	$17.50	46.4%	13.3%	77.3%	46.5%	47.3%	6.3%	-0.3%	-30.8K	379.8K	-17.1K	0.12	56.36	179	22	4,765	5,382
2010-05-18	$16.54	$17.50	46.4%	13.3%	76.8%	46.5%	56.7%	15.0%	-0.9%	-38.4K	857.2K	-16.8K	0.27	61.89	193	52	4,701	5,384
2010-05-19	$15.69	$17.50	56.1%	16.1%	78.1%	66.0%	53.8%	11.2%	-4.7%	-5.9K	1.9M	-16.2K	1.17	46.73	95	111	4,809	5,417
2010-05-20	$14.14	$17.50	61.7%	17.7%	84.6%	77.2%	63.5%	6.9%	-7.1%	-21.5K	3.3M	-13.8K	0.71	48.84	256	181	4,802	5,478
2010-05-21	$15.40	$17.50	59.6%	17.1%	90.9%	72.9%	59.7%	10.0%	-6.2%	-9.8K	2.2M	-15.1K	0.33	39.61	326	106	4,908	5,473
2010-05-24	$15.30	$17.50	54.6%	15.6%	90.8%	62.9%	52.9%	4.4%	0.2%	-5.9K	258.0K	-14.4K	0.43	40.80	830	354	3,977	3,933
2010-05-25	$15.05	$17.50	56.5%	16.2%	90.8%	66.9%	49.4%	9.3%	0.7%	6.6K	387.4K	-15.5K	2.38	25.25	56	133	4,648	4,269
2010-05-26	$15.66	$17.50	51.8%	14.9%	92.6%	57.4%	47.9%	-0.5%	1.3%	21.9K	-237.0K	-15.9K	0.01	34.91	378	4	4,681	4,402
2010-05-27	$16.67	$17.50	44.7%	12.8%	95.9%	43.2%	45.3%	12.3%	0.9%	68.6K	-1.6M	-17.3K	1.87	30.74	160	299	4,918	4,376
2010-05-28	$16.04	$17.50	51.7%	14.8%	96.4%	57.2%	47.0%	4.8%	1.6%	39.3K	-627.1K	-17.2K	1.45	33.30	222	322	4,933	4,585