CQP Options History — February 2011

In February 2011, CQP traded between $21.48 and $22.84. ATM implied volatility averaged 32.4%, placing in the 34.7% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 2.5% (HV 20d: 34.9%). Max pain ranged from $19.00 to $26.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.81.

Notable Days

2011-02-10: Highest Volume — 1,487 contracts
2011-02-10: Largest IV spike — 13.1% change
2011-02-10: Highest IV Rank — 47.8%
2011-02-10: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.37	$21.48	$22.84	$22.30	$22.70
Max Pain	$20.21	$19.00	$26.00	$26.00	$20.00
ATM IV	32.4%	29.2%	38.3%	33.9%	30.0%
Expected Move	9.4%	8.4%	11.0%	9.7%	8.6%
HV 20d	34.9%	24.2%	41.9%	41.6%	25.8%
HV 60d	28.0%	26.3%	29.4%	27.7%	29.4%
IV Rank	34.7%	27.8%	47.8%	38.2%	29.4%
IV Percentile	37.7%	22.6%	62.3%	42.1%	27.8%
Term Structure	6.9%	0.6%	14.9%	2.2%	3.9%
VWIV	32.6%	27.1%	38.9%	33.6%	32.0%
Skew 25d	8.6%	0.5%	19.2%	8.2%	5.0%
Skew 10d	14.8%	-8.5%	30.4%	17.3%	15.8%
Call IV 25d	28.0%	18.1%	34.6%	29.0%	29.2%
Put IV 25d	36.6%	32.6%	39.4%	37.2%	34.2%
Bid-Ask Spread %	91.58	58.76	109.66	72.82	102.59
Gamma HHI	0.26	0.21	0.34	0.23	0.22
Net GEX	234.2K	170.7K	282.8K	182.4K	263.6K
Net DEX	-7.3M	-11.0M	-4.0M	-5.8M	-11.0M
Net VEX	-36.6K	-39.6K	-33.5K	-38.2K	-34.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.17	1.65	0.17	1.58
Total Volume	465.368	182	1,487	749	299
Total OI	15,332.421	13,908	16,571	14,964	14,295

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
2011-02-01	$22.30	$26.00	33.9%	9.7%	41.6%	38.2%	33.6%	8.2%	2.2%	182.4K	-5.8M	-38.2K	0.17	72.82	641	108	9,113	5,851
2011-02-02	$22.74	$25.00	33.1%	9.5%	41.9%	36.3%	34.3%	6.1%	5.6%	206.8K	-7.3M	-36.1K	0.30	58.76	247	75	9,283	5,905
2011-02-03	$22.60	$25.00	32.8%	9.4%	41.8%	35.6%	33.0%	0.5%	8.3%	170.7K	-6.9M	-39.6K	1.05	72.86	126	132	9,387	5,904
2011-02-04	$22.57	$19.00	30.2%	10.2%	41.8%	29.9%	34.1%	6.8%	0.6%	197.1K	-7.0M	-37.8K	1.29	83.71	358	462	9,432	5,917
2011-02-07	$22.84	$19.00	32.7%	9.8%	41.9%	35.4%	36.0%	7.9%	6.7%	233.4K	-7.6M	-33.5K	0.69	84.05	263	182	9,328	6,000
2011-02-08	$22.55	$19.00	30.2%	9.9%	39.7%	29.8%	38.9%	4.8%	4.5%	203.7K	-6.2M	-37.5K	1.64	93.22	69	113	9,311	6,100
2011-02-09	$22.35	$19.00	33.9%	9.4%	37.0%	38.0%	30.6%	16.4%	9.6%	197.6K	-5.7M	-36.8K	0.28	91.47	781	216	9,355	6,109
2011-02-10	$21.48	$19.00	38.3%	11.0%	38.7%	47.8%	27.1%	8.7%	6.0%	191.3K	-4.0M	-38.0K	0.28	101.69	1,161	326	9,510	6,224
2011-02-11	$22.19	$19.00	35.5%	10.2%	40.9%	41.6%	27.5%	12.7%	9.5%	239.1K	-5.4M	-37.7K	0.35	90.46	380	132	9,705	6,346
2011-02-14	$22.15	$19.00	33.1%	9.5%	40.9%	36.4%	37.8%	6.9%	9.8%	221.1K	-6.0M	-38.7K	1.35	98.29	82	111	9,873	6,386
2011-02-15	$22.32	$19.00	34.0%	9.7%	41.1%	38.3%	30.8%	15.2%	9.2%	246.0K	-6.0M	-37.3K	0.22	96.12	306	68	9,888	6,438
2011-02-16	$22.40	$19.00	32.9%	9.4%	33.1%	35.9%	32.6%	5.8%	9.2%	255.9K	-6.3M	-36.1K	0.23	91.42	310	72	9,857	6,457
2011-02-17	$22.75	$19.00	30.5%	8.7%	31.0%	30.5%	31.0%	19.2%	14.9%	262.0K	-7.9M	-36.0K	0.49	103.04	179	88	10,032	6,514
2011-02-18	$22.45	$19.00	30.6%	8.8%	24.2%	30.7%	30.1%	14.0%	11.1%	271.6K	-7.7M	-34.2K	0.26	92.61	325	86	10,013	6,558
2011-02-22	$22.25	$19.00	32.9%	9.4%	24.3%	36.0%	33.0%	9.1%	3.2%	282.8K	-9.6M	-35.8K	1.30	109.64	132	172	9,416	4,492
2011-02-23	$21.81	$20.00	31.4%	9.0%	25.1%	32.4%	35.2%	2.3%	5.0%	280.1K	-8.2M	-36.5K	1.65	99.60	128	211	9,406	4,568
2011-02-24	$22.15	$20.00	30.3%	8.7%	25.7%	30.1%	32.1%	3.2%	5.3%	274.5K	-9.4M	-36.9K	1.42	109.66	106	150	9,484	4,626
2011-02-25	$22.50	$20.00	29.2%	8.4%	26.4%	27.8%	30.2%	10.5%	6.3%	270.8K	-10.4M	-34.7K	0.79	87.96	137	108	9,502	4,731
2011-02-28	$22.70	$20.00	30.0%	8.6%	25.8%	29.4%	32.0%	5.0%	3.9%	263.6K	-11.0M	-34.3K	1.58	102.59	116	183	9,515	4,780