CQP Options History — January 2011

In January 2011, CQP traded between $21.48 and $24.29. ATM implied volatility averaged 29.3%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 2.8% (HV 20d: 26.5%). Max pain ranged from $20.00 to $26.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.39.

Notable Days

2011-01-10: Highest Volume — 2,808 contracts
2011-01-12: Largest IV spike — 61.3% change
2011-01-20: Highest IV Rank — 59.2%
2011-01-20: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.74	$21.48	$24.29	$21.60	$22.30
Max Pain	$23.70	$20.00	$26.00	$20.00	$26.00
ATM IV	29.3%	16.8%	43.4%	20.0%	36.0%
Expected Move	8.7%	5.4%	12.4%	5.7%	10.3%
HV 20d	26.5%	11.6%	41.8%	12.1%	41.8%
HV 60d	24.0%	19.5%	29.1%	19.8%	27.7%
IV Rank	26.6%	0.0%	59.2%	2.6%	42.7%
IV Percentile	29.9%	0.0%	76.6%	1.2%	52.4%
Term Structure	2.0%	-9.6%	9.3%	1.8%	2.7%
VWIV	31.1%	18.1%	43.3%	20.0%	34.3%
Skew 25d	7.2%	-1.6%	14.3%	2.1%	3.9%
Skew 10d	17.1%	-2.8%	79.3%	0.7%	-2.8%
Call IV 25d	27.7%	15.9%	38.7%	18.4%	34.5%
Put IV 25d	35.0%	18.3%	50.0%	20.4%	38.4%
Bid-Ask Spread %	71.73	58.56	80.38	77.31	72.31
Gamma HHI	0.22	0.12	0.35	0.35	0.23
Net GEX	179.7K	85.3K	306.3K	306.3K	162.7K
Net DEX	-9.6M	-15.2M	-5.2M	-9.7M	-5.2M
Net VEX	-37.0K	-45.2K	-26.8K	-30.4K	-40.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.39	0.01	1.32	0.13	0.45
Total Volume	898.75	286	2,808	716	508
Total OI	14,210.95	12,052	16,438	12,482	14,694

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
2011-01-03	$21.60	$20.00	20.0%	5.7%	12.1%	2.6%	20.0%	2.1%	1.8%	306.3K	-9.7M	-30.4K	0.13	77.31	631	85	8,502	3,980
2011-01-04	$21.48	$20.00	20.3%	5.8%	11.6%	3.2%	19.6%	-1.6%	5.3%	240.7K	-8.1M	-31.3K	0.62	76.39	177	109	8,010	4,042
2011-01-05	$21.79	$20.00	18.8%	5.4%	11.7%	0.0%	18.1%	4.2%	3.5%	186.2K	-9.4M	-30.9K	0.18	80.01	445	81	8,075	4,068
2011-01-06	$21.94	$20.00	19.3%	5.5%	11.7%	1.3%	19.7%	6.8%	1.6%	192.4K	-9.6M	-31.1K	0.01	80.38	296	3	8,161	4,044
2011-01-07	$22.12	$20.00	18.4%	7.0%	11.7%	0.0%	18.4%	8.2%	-3.5%	188.6K	-10.2M	-30.4K	0.19	78.56	270	51	8,366	4,159
2011-01-10	$23.00	$20.00	18.5%	7.0%	16.1%	0.1%	30.5%	14.3%	4.9%	169.7K	-12.2M	-26.8K	0.12	79.08	2,516	292	8,353	4,160
2011-01-11	$23.90	$21.00	16.8%	7.1%	19.2%	0.0%	25.2%	8.4%	1.7%	184.1K	-14.8M	-29.3K	0.13	77.92	1,234	164	9,189	4,428
2011-01-12	$24.15	$21.00	27.0%	8.5%	18.8%	22.9%	32.7%	7.8%	-9.6%	172.9K	-15.2M	-31.9K	1.32	72.54	819	1,079	9,514	4,546
2011-01-13	$24.29	$26.00	30.4%	8.7%	18.4%	30.4%	33.2%	6.2%	6.9%	85.3K	-13.1M	-37.0K	0.33	76.42	464	155	9,662	5,573
2011-01-14	$24.10	$26.00	28.2%	8.1%	18.9%	25.5%	34.6%	9.9%	-3.7%	100.3K	-12.3M	-35.6K	0.24	68.65	793	187	9,398	5,639
2011-01-18	$23.88	$26.00	28.8%	8.3%	19.4%	26.8%	32.2%	12.1%	-4.6%	130.3K	-11.2M	-36.4K	0.05	69.38	499	25	9,316	5,720
2011-01-19	$22.30	$26.00	38.9%	11.2%	33.9%	49.3%	37.4%	8.6%	-0.1%	154.4K	-7.8M	-40.1K	0.32	67.35	844	270	9,451	5,725
2011-01-20	$21.56	$26.00	43.4%	12.4%	36.7%	59.2%	43.3%	11.3%	7.3%	176.7K	-6.6M	-45.2K	0.13	72.60	1,546	198	10,168	5,930
2011-01-21	$22.80	$26.00	39.0%	11.2%	41.1%	49.5%	37.5%	7.1%	4.1%	206.5K	-9.6M	-43.9K	0.20	67.27	952	195	10,463	5,975
2011-01-24	$22.84	$26.00	36.1%	10.4%	40.9%	43.1%	35.7%	6.8%	9.3%	182.9K	-8.5M	-44.7K	0.53	62.62	301	161	9,710	5,219
2011-01-25	$22.67	$26.00	38.5%	11.0%	41.2%	48.2%	37.8%	8.2%	6.5%	214.3K	-7.8M	-44.2K	0.69	61.67	181	125	9,873	5,298
2011-01-26	$22.84	$26.00	34.8%	10.0%	41.1%	40.1%	37.5%	6.9%	2.2%	219.8K	-8.3M	-44.0K	1.32	66.71	165	218	9,899	5,373
2011-01-27	$22.86	$26.00	34.5%	9.9%	41.1%	39.5%	36.5%	8.3%	3.1%	191.1K	-8.0M	-44.1K	0.74	68.88	490	361	9,707	5,469
2011-01-28	$22.45	$26.00	37.8%	10.8%	41.8%	46.8%	37.1%	5.3%	0.2%	129.0K	-5.3M	-41.5K	0.11	58.56	980	105	8,601	5,759
2011-01-31	$22.30	$26.00	36.0%	10.3%	41.8%	42.7%	34.3%	3.9%	2.7%	162.7K	-5.2M	-40.6K	0.45	72.31	350	158	8,924	5,770