CQP Options History — April 2011

In April 2011, CQP traded between $17.78 and $19.32. ATM implied volatility averaged 42.8%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 1.1% (HV 20d: 41.7%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.86.

Notable Days

2011-04-06: Highest Volume — 1,903 contracts
2011-04-06: Largest IV spike — 27.6% change
2011-04-12: Highest IV Rank — 41.2%
2011-04-11: Largest Expected Move — 13.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.60	$17.78	$19.32	$19.18	$18.42
Max Pain	$18.15	$18.00	$19.00	$19.00	$19.00
ATM IV	42.8%	34.6%	55.1%	38.5%	40.5%
Expected Move	11.8%	9.9%	13.6%	11.0%	11.6%
HV 20d	41.7%	27.7%	108.1%	108.1%	27.9%
HV 60d	69.3%	67.9%	70.8%	70.8%	68.4%
IV Rank	28.0%	19.2%	41.2%	23.4%	25.5%
IV Percentile	70.3%	45.2%	93.7%	59.9%	64.7%
Term Structure	0.9%	-3.8%	5.8%	2.3%	-1.9%
VWIV	40.9%	25.6%	50.2%	36.5%	36.5%
Skew 25d	11.7%	6.6%	19.5%	9.0%	10.2%
Skew 10d	22.7%	12.7%	37.4%	12.9%	23.2%
Call IV 25d	36.4%	30.5%	44.2%	35.7%	33.0%
Put IV 25d	48.2%	41.1%	54.5%	44.6%	43.2%
Bid-Ask Spread %	72.98	55.45	93.58	77.47	70.76
Gamma HHI	0.19	0.14	0.22	0.20	0.22
Net GEX	125.7K	14.5K	194.7K	189.1K	143.2K
Net DEX	584.1K	-1.3M	3.0M	-1.3M	751.4K
Net VEX	-29.1K	-36.8K	-24.0K	-36.8K	-27.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.86	0.03	23.71	0.78	0.84
Total Volume	416.5	70	1,903	299	70
Total OI	13,921.2	11,078	16,138	15,382	11,996

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
2011-04-01	$19.18	$19.00	38.5%	11.0%	108.1%	23.4%	36.5%	9.0%	2.3%	189.1K	-1.3M	-36.8K	0.78	77.47	168	131	9,390	5,992
2011-04-04	$19.15	$18.00	37.7%	11.8%	108.1%	22.5%	44.3%	10.1%	1.6%	183.4K	-705.3K	-34.5K	0.35	59.15	223	78	9,343	6,063
2011-04-05	$19.15	$18.00	41.4%	12.5%	49.1%	26.5%	46.9%	7.8%	-3.8%	194.7K	-895.6K	-35.0K	0.75	58.54	217	163	9,486	6,064
2011-04-06	$18.60	$18.00	52.8%	11.3%	38.0%	38.7%	42.9%	8.7%	2.8%	137.9K	212.9K	-34.5K	23.71	74.29	77	1,826	9,571	6,191
2011-04-07	$18.79	$18.00	42.7%	12.0%	35.9%	27.9%	45.5%	15.8%	3.7%	130.3K	507.0K	-33.1K	2.84	67.69	51	145	9,599	6,539
2011-04-08	$18.61	$18.00	43.0%	12.2%	33.9%	28.2%	50.2%	19.5%	1.1%	110.7K	422.9K	-33.7K	0.92	86.50	53	49	9,585	6,523
2011-04-11	$18.23	$18.00	53.7%	13.6%	35.0%	39.7%	41.7%	6.6%	5.8%	63.0K	1.7M	-29.9K	0.44	73.53	108	48	9,631	6,456
2011-04-12	$17.78	$18.00	55.1%	13.2%	36.1%	41.2%	47.9%	9.2%	2.2%	14.5K	3.0M	-26.5K	0.99	56.22	227	225	9,656	6,480
2011-04-13	$18.27	$18.00	50.6%	12.7%	37.1%	36.4%	44.4%	16.1%	-0.8%	56.6K	1.8M	-27.1K	0.69	69.64	98	68	9,399	6,266
2011-04-14	$18.52	$18.00	42.9%	12.3%	36.8%	28.1%	42.7%	14.0%	2.0%	102.7K	1.3M	-27.5K	0.64	61.18	126	81	9,463	6,305
2011-04-15	$18.19	$18.00	44.0%	12.6%	37.3%	29.2%	42.3%	9.8%	1.4%	39.0K	1.4M	-27.3K	0.37	77.97	278	104	9,509	6,284
2011-04-18	$18.18	$18.00	43.4%	12.4%	36.8%	28.6%	43.3%	10.4%	-1.8%	108.2K	1.0M	-24.3K	0.18	71.85	554	100	7,135	3,943
2011-04-19	$18.14	$18.00	41.8%	12.0%	36.4%	26.9%	41.6%	12.3%	-0.6%	109.4K	1.1M	-24.0K	1.85	55.45	122	226	7,106	4,011
2011-04-20	$18.38	$18.00	40.4%	11.6%	34.9%	25.4%	38.7%	16.0%	0.5%	116.2K	799.7K	-26.2K	0.43	80.36	234	100	7,141	4,147
2011-04-21	$19.02	$18.00	39.4%	11.3%	30.6%	24.4%	35.2%	13.9%	-2.1%	151.4K	88.5K	-25.8K	0.40	90.86	360	145	7,272	4,232
2011-04-25	$19.32	$18.00	37.9%	10.9%	27.8%	22.7%	41.0%	16.8%	4.3%	176.9K	-299.3K	-26.7K	0.59	72.27	236	139	7,493	4,371
2011-04-26	$19.03	$18.00	35.9%	10.3%	28.4%	20.6%	35.5%	12.1%	4.1%	175.0K	-236.0K	-28.0K	0.03	86.99	368	10	7,606	4,380
2011-04-27	$18.76	$18.00	34.6%	9.9%	27.7%	19.2%	25.6%	6.6%	1.0%	176.3K	185.2K	-26.6K	0.23	93.58	642	147	7,629	4,380
2011-04-28	$18.34	$19.00	40.7%	11.7%	28.3%	25.7%	35.3%	9.9%	-2.9%	136.1K	971.1K	-27.2K	0.14	75.28	292	41	7,354	4,433
2011-04-29	$18.42	$19.00	40.5%	11.6%	27.9%	25.5%	36.5%	10.2%	-1.9%	143.2K	751.4K	-27.5K	0.84	70.76	38	32	7,523	4,473