CQP Options History — July 2010

In July 2010, CQP traded between $16.16 and $19.09. ATM implied volatility averaged 40.2%, placing in the 34.0% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 0.7% (HV 20d: 40.9%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.46.

Notable Days

2010-07-28: Highest Volume — 30,048 contracts
2010-07-29: Largest IV spike — 54.1% change
2010-07-06: Highest IV Rank — 46.6%
2010-07-06: Largest Expected Move — 15.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.02	$16.16	$19.09	$17.16	$17.68
Max Pain	$17.62	$15.00	$20.00	$15.00	$20.00
ATM IV	40.2%	27.7%	46.5%	39.9%	39.7%
Expected Move	12.1%	8.0%	15.0%	11.4%	11.4%
HV 20d	40.9%	32.9%	43.1%	37.8%	42.1%
HV 60d	63.0%	62.4%	65.1%	64.9%	62.4%
IV Rank	34.0%	9.0%	46.6%	33.5%	33.0%
IV Percentile	46.9%	3.6%	77.8%	44.8%	44.4%
Term Structure	-0.1%	-3.9%	5.2%	5.1%	-0.1%
VWIV	43.0%	31.5%	54.2%	43.0%	38.8%
Skew 25d	11.1%	7.1%	16.9%	8.8%	14.9%
Skew 10d	20.4%	10.9%	28.8%	15.8%	23.7%
Call IV 25d	37.7%	29.5%	47.4%	37.5%	30.2%
Put IV 25d	48.8%	44.7%	55.9%	46.3%	45.1%
Bid-Ask Spread %	52.90	24.48	72.34	72.34	24.48
Gamma HHI	0.45	0.36	0.57	0.49	0.36
Net GEX	130.4K	75.3K	189.0K	110.9K	84.5K
Net DEX	-3.9M	-5.4M	-1.5M	-2.5M	-2.3M
Net VEX	-21.2K	-24.2K	-17.6K	-19.2K	-23.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.00	1.53	0.76	0.83
Total Volume	1,837.476	63	30,048	402	326
Total OI	8,768.048	8,168	9,596	8,192	9,273

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
2010-07-01	$17.16	$15.00	39.9%	11.4%	37.8%	33.5%	43.0%	8.8%	5.1%	110.9K	-2.5M	-19.2K	0.76	72.34	229	173	5,472	2,720
2010-07-02	$16.98	$17.50	41.1%	11.8%	32.9%	35.9%	41.1%	12.0%	5.2%	105.9K	-2.5M	-19.6K	0.57	61.08	40	23	5,476	2,748
2010-07-06	$16.16	$17.50	46.5%	15.0%	38.1%	46.6%	54.2%	8.5%	-2.4%	75.3K	-1.5M	-17.6K	0.47	41.14	230	109	5,506	2,769
2010-07-07	$17.10	$17.50	43.7%	13.5%	42.5%	41.1%	47.6%	11.6%	-0.1%	116.8K	-2.4M	-18.3K	0.11	33.51	172	19	5,455	2,776
2010-07-08	$17.08	$17.50	43.5%	13.1%	42.5%	40.8%	45.0%	9.5%	0.8%	119.4K	-2.5M	-18.3K	0.14	27.80	146	20	5,563	2,774
2010-07-09	$17.28	$17.50	40.0%	13.0%	41.3%	33.7%	48.9%	9.8%	0.8%	145.3K	-2.9M	-19.3K	0.06	30.28	262	17	5,699	2,778
2010-07-12	$17.43	$17.50	43.7%	13.1%	41.0%	41.1%	46.1%	10.0%	-0.3%	171.2K	-3.3M	-19.2K	0.58	36.00	50	29	5,903	2,784
2010-07-13	$17.96	$17.50	34.4%	13.0%	42.1%	22.5%	43.3%	8.4%	-1.8%	189.0K	-4.4M	-19.6K	0.14	58.22	446	63	5,949	2,789
2010-07-14	$18.42	$17.50	32.6%	13.0%	41.8%	18.7%	39.0%	14.2%	-2.4%	124.5K	-5.2M	-19.6K	0.06	57.11	901	52	6,003	2,820
2010-07-15	$18.09	$17.50	44.3%	12.7%	42.5%	42.2%	44.8%	7.1%	-1.3%	169.6K	-5.0M	-21.6K	0.82	64.99	241	197	6,438	2,861
2010-07-16	$18.30	$17.50	44.7%	12.8%	42.5%	43.1%	45.4%	9.1%	-0.8%	135.3K	-5.3M	-22.2K	0.20	59.17	492	98	6,511	3,035
2010-07-19	$18.66	$17.50	45.6%	13.1%	42.9%	44.8%	40.5%	11.4%	-3.9%	127.4K	-4.7M	-21.9K	0.82	60.31	255	210	5,679	2,489
2010-07-20	$18.95	$17.50	38.9%	11.1%	43.1%	31.4%	42.4%	7.9%	0.5%	137.2K	-5.1M	-23.0K	0.40	56.88	350	141	5,910	2,574
2010-07-21	$18.81	$17.50	37.6%	10.8%	43.0%	28.8%	42.7%	11.8%	2.5%	136.2K	-5.1M	-24.2K	0.21	64.24	234	48	6,037	2,666
2010-07-22	$18.75	$17.50	43.8%	12.5%	43.1%	41.2%	43.8%	9.5%	-3.4%	142.7K	-4.9M	-24.0K	0.20	68.35	294	60	6,102	2,675
2010-07-23	$18.70	$17.50	44.1%	12.6%	43.1%	41.8%	35.9%	12.0%	-2.6%	137.3K	-4.7M	-23.6K	0.51	68.64	323	166	6,016	2,707
2010-07-26	$19.09	$17.50	33.2%	9.5%	42.0%	20.0%	47.1%	15.0%	3.3%	144.3K	-5.4M	-21.1K	1.53	67.82	318	487	6,232	2,836
2010-07-27	$18.99	$17.50	36.0%	10.3%	38.0%	25.7%	41.7%	10.8%	0.8%	142.9K	-5.4M	-22.9K	0.63	62.44	291	183	6,359	3,137
2010-07-28	$19.00	$17.50	27.7%	8.0%	33.8%	9.0%	39.2%	13.6%	0.7%	136.4K	-5.4M	-23.3K	0.00	66.98	29,939	109	6,337	3,259
2010-07-29	$17.80	$20.00	42.7%	12.2%	42.0%	39.1%	31.5%	16.9%	-2.0%	86.2K	-2.4M	-23.5K	0.58	29.20	535	309	5,686	3,326
2010-07-30	$17.68	$20.00	39.7%	11.4%	42.1%	33.0%	38.8%	14.9%	-0.1%	84.5K	-2.3M	-23.4K	0.83	24.48	178	148	5,854	3,419