CQP Options History — August 2010

In August 2010, CQP traded between $17.11 and $18.10. ATM implied volatility averaged 39.7%, placing in the 33.0% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 9.4% (HV 20d: 30.2%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.72.

Notable Days

2010-08-31: Highest Volume — 774 contracts
2010-08-23: Largest IV drop — 13.2% change
2010-08-02: Highest IV Rank — 44.2%
2010-08-02: Largest Expected Move — 13.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.49	$17.11	$18.10	$17.61	$17.11
Max Pain	$17.73	$17.50	$20.00	$17.50	$17.50
ATM IV	39.7%	33.9%	45.3%	45.3%	36.9%
Expected Move	11.3%	9.7%	13.0%	13.0%	10.6%
HV 20d	30.2%	19.9%	41.9%	41.9%	19.9%
HV 60d	42.1%	32.6%	55.2%	55.2%	32.7%
IV Rank	33.0%	21.4%	44.2%	44.2%	27.5%
IV Percentile	44.7%	16.3%	74.2%	74.2%	31.3%
Term Structure	0.8%	-5.1%	8.8%	-4.1%	3.4%
VWIV	39.1%	32.6%	45.2%	45.2%	37.7%
Skew 25d	11.7%	4.9%	22.7%	5.6%	12.9%
Skew 10d	25.3%	4.7%	60.8%	9.5%	29.2%
Call IV 25d	33.9%	22.0%	44.8%	44.8%	29.7%
Put IV 25d	45.7%	40.6%	52.4%	50.4%	42.6%
Bid-Ask Spread %	44.78	15.77	68.32	34.65	46.37
Gamma HHI	0.34	0.28	0.43	0.39	0.32
Net GEX	100.3K	78.5K	134.7K	88.1K	133.9K
Net DEX	-2.2M	-3.0M	-1.6M	-2.5M	-1.9M
Net VEX	-22.9K	-24.0K	-21.6K	-23.5K	-22.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.72	0.01	10.86	0.49	5.34
Total Volume	258.591	83	774	460	774
Total OI	9,913	9,161	10,413	9,330	10,187

Daily Data (22 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
2010-08-02	$17.61	$17.50	45.3%	13.0%	41.9%	44.2%	45.2%	5.6%	-4.1%	88.1K	-2.5M	-23.5K	0.49	34.65	308	152	5,916	3,414
2010-08-03	$17.85	$20.00	44.8%	12.8%	37.4%	43.3%	44.7%	21.0%	-3.2%	93.7K	-2.6M	-23.7K	1.36	26.48	66	90	6,040	3,501
2010-08-04	$17.70	$20.00	44.3%	12.7%	32.3%	42.2%	43.9%	21.0%	-5.1%	84.3K	-2.5M	-23.5K	0.30	25.17	182	54	6,034	3,489
2010-08-05	$17.52	$17.50	43.4%	12.4%	32.6%	40.4%	43.5%	18.4%	-2.9%	83.3K	-2.3M	-23.9K	0.72	27.48	65	47	6,165	3,530
2010-08-06	$17.89	$17.50	42.2%	11.7%	33.1%	38.0%	38.7%	10.0%	-1.6%	103.4K	-2.8M	-24.0K	0.54	15.77	127	68	6,163	3,538
2010-08-09	$18.10	$17.50	39.4%	11.5%	33.2%	32.4%	38.0%	9.1%	-0.5%	102.7K	-3.0M	-22.8K	0.36	40.66	154	55	6,248	3,561
2010-08-10	$17.75	$17.50	42.4%	11.3%	32.3%	38.4%	39.4%	6.7%	0.5%	96.1K	-2.5M	-23.4K	10.86	39.17	7	76	6,369	3,606
2010-08-11	$17.25	$17.50	43.0%	11.8%	32.2%	39.6%	42.5%	9.5%	-0.8%	78.5K	-1.6M	-22.7K	0.84	43.49	196	165	6,366	3,609
2010-08-12	$17.40	$17.50	40.9%	11.7%	32.0%	35.4%	40.9%	9.1%	-1.0%	86.6K	-1.9M	-23.1K	2.48	46.04	25	62	6,473	3,689
2010-08-13	$17.59	$17.50	39.6%	11.4%	32.0%	32.9%	0.0%	9.9%	0.2%	84.4K	-2.1M	-23.4K	5.40	49.28	15	81	6,456	3,730
2010-08-16	$17.45	$17.50	42.1%	12.1%	31.0%	37.9%	38.0%	10.2%	-2.8%	80.1K	-2.1M	-22.1K	0.91	57.52	200	182	6,456	3,718
2010-08-17	$17.67	$17.50	38.3%	11.0%	30.8%	30.3%	39.1%	4.9%	2.6%	96.3K	-2.4M	-23.2K	1.76	64.72	49	86	6,605	3,740
2010-08-18	$17.50	$17.50	38.7%	11.1%	30.8%	31.1%	38.5%	7.3%	1.6%	98.3K	-2.3M	-22.9K	0.47	63.88	111	52	6,634	3,747
2010-08-19	$17.33	$17.50	39.4%	11.3%	30.9%	32.5%	41.6%	10.4%	0.8%	95.3K	-2.2M	-22.9K	0.39	68.32	184	72	6,682	3,629
2010-08-20	$17.30	$17.50	39.5%	11.3%	30.9%	32.7%	39.8%	9.5%	0.3%	87.8K	-1.8M	-22.2K	1.16	55.45	189	220	6,776	3,637
2010-08-23	$17.47	$17.50	34.3%	9.8%	30.0%	22.2%	33.9%	8.9%	8.8%	108.1K	-2.2M	-21.6K	0.20	48.32	302	59	5,779	3,382
2010-08-24	$17.50	$17.50	33.9%	9.7%	30.1%	21.4%	32.6%	22.7%	6.4%	113.7K	-2.4M	-21.7K	0.03	47.91	289	10	5,964	3,429
2010-08-25	$17.19	$17.50	37.6%	10.8%	30.4%	28.9%	33.4%	17.2%	2.5%	112.8K	-2.0M	-22.6K	0.40	47.05	309	125	6,237	3,439
2010-08-26	$17.15	$17.50	35.9%	10.3%	20.4%	25.4%	36.0%	14.8%	4.3%	111.5K	-1.8M	-22.4K	0.01	44.30	139	1	6,412	3,551
2010-08-27	$17.27	$17.50	35.6%	10.2%	20.6%	24.9%	37.1%	7.1%	5.0%	132.6K	-2.3M	-23.0K	0.63	47.50	88	55	6,538	3,541
2010-08-30	$17.23	$17.50	35.7%	10.2%	20.6%	25.1%	36.3%	12.2%	4.0%	134.7K	-2.0M	-22.2K	3.21	45.71	47	151	6,540	3,566
2010-08-31	$17.11	$17.50	36.9%	10.6%	19.9%	27.5%	37.7%	12.9%	3.4%	133.9K	-1.9M	-22.2K	5.34	46.37	122	652	6,566	3,621