CQP Options History — July 2011

In July 2011, CQP traded between $18.07 and $19.46. ATM implied volatility averaged 32.5%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 5.2% (HV 20d: 27.3%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.67.

Notable Days

2011-07-08: Highest Volume — 365 contracts
2011-07-21: Largest IV spike — 126.1% change
2011-07-21: Highest IV Rank — 43.9%
2011-07-21: Largest Expected Move — 16.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.56	$18.07	$19.46	$18.07	$18.07
Max Pain	$17.40	$16.00	$18.00	$18.00	$18.00
ATM IV	32.5%	20.6%	57.6%	24.5%	43.1%
Expected Move	10.2%	7.0%	16.5%	7.0%	12.4%
HV 20d	27.3%	20.7%	33.2%	32.9%	24.7%
HV 60d	28.2%	27.4%	29.3%	29.3%	27.7%
IV Rank	16.9%	4.1%	43.9%	8.3%	28.3%
IV Percentile	39.5%	4.0%	97.6%	10.3%	84.9%
Term Structure	6.8%	-1.2%	36.2%	9.8%	36.2%
VWIV	33.4%	24.5%	43.4%	24.5%	41.2%
Skew 25d	11.3%	-12.0%	25.8%	10.4%	-12.0%
Skew 10d	17.9%	2.4%	41.6%	22.1%	2.4%
Call IV 25d	26.6%	15.1%	37.9%	19.7%	37.9%
Put IV 25d	37.9%	25.8%	43.4%	30.1%	25.8%
Bid-Ask Spread %	104.56	74.92	140.75	109.89	140.75
Gamma HHI	0.29	0.24	0.34	0.27	0.25
Net GEX	86.0K	58.4K	116.4K	61.2K	72.2K
Net DEX	-243.4K	-1.2M	362.3K	222.6K	-72.5K
Net VEX	-16.9K	-19.3K	-15.7K	-17.3K	-19.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.67	0.00	4.12	0.76	3.73
Total Volume	174	48	365	134	52
Total OI	6,491.05	6,099	6,920	6,141	6,920

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
2011-07-01	$18.07	$18.00	24.5%	7.0%	32.9%	8.3%	24.5%	10.4%	9.8%	61.2K	222.6K	-17.3K	0.76	109.89	76	58	3,516	2,625
2011-07-05	$18.12	$16.00	24.6%	10.4%	32.8%	8.5%	32.8%	9.4%	1.4%	62.6K	203.4K	-16.2K	0.25	111.29	129	32	3,515	2,617
2011-07-06	$18.08	$17.00	33.1%	10.4%	32.6%	17.6%	31.5%	8.0%	0.6%	62.4K	362.3K	-15.8K	0.20	87.75	40	8	3,644	2,649
2011-07-07	$18.39	$17.00	20.6%	10.4%	32.8%	4.1%	35.0%	13.3%	21.9%	80.1K	-315.2K	-16.3K	0.15	93.91	105	16	3,670	2,656
2011-07-08	$18.39	$17.00	26.9%	10.9%	32.8%	10.8%	34.7%	25.8%	3.7%	85.5K	-114.3K	-16.4K	0.39	99.97	262	103	3,728	2,671
2011-07-11	$18.12	$17.00	24.4%	10.6%	33.2%	8.2%	33.8%	11.2%	7.7%	109.9K	9.0K	-16.7K	0.15	106.50	151	22	3,936	2,715
2011-07-12	$18.23	$17.00	37.1%	9.5%	30.2%	21.9%	33.6%	12.8%	8.5%	103.8K	-129.5K	-15.7K	1.24	123.65	25	31	3,997	2,726
2011-07-13	$18.41	$17.00	25.4%	10.4%	29.5%	9.3%	30.3%	14.4%	3.0%	116.4K	-352.9K	-17.0K	0.08	74.92	179	15	4,004	2,736
2011-07-14	$18.24	$17.00	35.2%	10.1%	29.2%	19.9%	36.0%	10.3%	3.4%	110.2K	-11.5K	-16.3K	0.11	110.42	205	22	4,045	2,749
2011-07-15	$18.65	$17.00	31.0%	8.9%	28.5%	15.3%	34.6%	14.0%	1.4%	93.7K	-497.2K	-16.7K	0.00	113.80	344	0	4,056	2,768
2011-07-18	$18.33	$17.00	33.9%	9.7%	29.7%	18.4%	36.1%	11.6%	6.2%	58.4K	171.4K	-16.2K	0.95	122.10	37	35	3,677	2,422
2011-07-19	$18.70	$17.00	35.4%	10.1%	22.4%	20.0%	32.4%	12.7%	5.1%	63.4K	44.6K	-16.6K	0.02	88.96	126	3	3,671	2,433
2011-07-20	$19.00	$18.00	25.5%	7.3%	21.9%	9.4%	37.8%	24.6%	11.3%	79.5K	-324.7K	-15.8K	0.51	105.94	97	49	3,757	2,436
2011-07-21	$19.39	$18.00	57.6%	16.5%	22.0%	43.9%	33.3%	16.3%	2.2%	72.9K	-698.8K	-16.7K	0.02	108.85	350	8	3,778	2,472
2011-07-22	$19.46	$18.00	33.1%	9.5%	21.5%	17.6%	24.5%	15.3%	1.6%	94.1K	-1.2M	-17.8K	0.12	97.06	265	31	3,964	2,471
2011-07-25	$19.37	$18.00	33.1%	9.5%	21.8%	17.6%	25.7%	9.8%	6.6%	108.9K	-1.0M	-18.0K	0.37	87.87	78	29	4,170	2,473
2011-07-26	$19.20	$18.00	31.4%	9.0%	20.7%	15.7%	32.2%	4.4%	-0.7%	111.3K	-658.7K	-17.0K	0.19	111.33	48	9	4,235	2,492
2011-07-27	$18.85	$18.00	28.9%	8.3%	22.3%	13.0%	34.3%	10.9%	7.4%	100.8K	-576.8K	-18.7K	0.11	85.91	87	10	4,248	2,497
2011-07-28	$18.13	$18.00	45.0%	12.9%	24.7%	30.3%	43.4%	2.0%	-1.2%	71.8K	47.0K	-17.8K	4.12	110.29	67	276	4,185	2,497
2011-07-29	$18.07	$18.00	43.1%	12.4%	24.7%	28.3%	41.2%	-12.0%	36.2%	72.2K	-72.5K	-19.3K	3.73	140.75	11	41	4,182	2,738