CQP Options History — January 2012

In January 2012, CQP traded between $18.05 and $21.56. ATM implied volatility averaged 29.5%, placing in the 9.7% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 8.2% (HV 20d: 37.8%). Max pain ranged from $16.00 to $21.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.39.

Notable Days

2012-01-27: Highest Volume — 5,100 contracts
2012-01-23: Largest IV spike — 56.3% change
2012-01-23: Highest IV Rank — 18.9%
2012-01-23: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.79	$18.05	$21.56	$18.05	$21.10
Max Pain	$17.45	$16.00	$21.00	$16.00	$21.00
ATM IV	29.5%	21.9%	40.4%	29.9%	33.9%
Expected Move	8.9%	6.8%	11.6%	8.6%	9.7%
HV 20d	37.8%	27.8%	53.7%	28.0%	52.3%
HV 60d	42.2%	40.4%	45.7%	42.4%	41.5%
IV Rank	9.7%	4.8%	18.9%	12.1%	12.7%
IV Percentile	12.6%	0.8%	46.8%	8.7%	26.6%
Term Structure	2.3%	-2.8%	11.5%	4.6%	3.3%
VWIV	33.5%	24.7%	72.2%	27.8%	32.7%
Skew 25d	10.5%	-0.2%	22.9%	1.2%	7.7%
Skew 10d	18.1%	2.9%	26.8%	2.9%	24.1%
Call IV 25d	24.7%	14.5%	35.6%	29.0%	29.6%
Put IV 25d	35.1%	26.1%	46.5%	30.2%	37.3%
Bid-Ask Spread %	87.32	68.34	102.92	102.92	79.72
Gamma HHI	0.28	0.18	0.53	0.24	0.30
Net GEX	203.9K	111.9K	324.7K	139.0K	171.8K
Net DEX	-6.4M	-10.6M	-3.2M	-4.4M	-3.2M
Net VEX	-15.5K	-19.0K	-12.4K	-14.9K	-18.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.39	0.05	1.59	0.28	0.59
Total Volume	925.1	138	5,100	456	1,318
Total OI	9,500.75	6,288	11,232	9,867	7,512

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
2012-01-03	$18.05	$16.00	29.9%	8.6%	28.0%	12.1%	27.8%	1.2%	4.6%	139.0K	-4.4M	-14.9K	0.28	102.92	357	99	6,604	3,263
2012-01-04	$18.45	$16.00	23.6%	6.8%	28.2%	6.3%	24.7%	6.2%	11.5%	158.8K	-5.0M	-15.0K	1.59	96.54	109	173	6,573	3,339
2012-01-05	$18.33	$16.00	26.2%	7.5%	28.5%	8.7%	25.7%	0.6%	8.0%	157.1K	-4.6M	-15.3K	0.14	96.47	464	66	6,575	3,462
2012-01-06	$18.50	$16.00	24.3%	10.7%	28.1%	7.0%	34.6%	16.2%	-0.9%	206.9K	-5.6M	-16.3K	1.04	91.38	123	128	7,354	3,526
2012-01-09	$18.80	$16.00	23.8%	8.2%	27.9%	6.5%	36.9%	18.4%	0.6%	196.9K	-5.8M	-14.9K	0.15	91.24	120	18	6,962	3,620
2012-01-10	$18.99	$16.00	25.6%	8.6%	27.8%	8.1%	27.7%	12.3%	1.3%	202.7K	-6.4M	-15.3K	0.44	87.72	307	135	6,950	3,602
2012-01-11	$18.52	$16.00	21.9%	8.6%	29.2%	4.8%	37.9%	3.6%	4.5%	198.0K	-5.4M	-15.6K	0.37	97.41	246	92	7,025	3,591
2012-01-12	$19.22	$16.00	31.2%	8.9%	31.3%	10.1%	31.9%	22.9%	0.6%	242.5K	-6.9M	-14.5K	0.20	93.98	323	66	7,022	3,505
2012-01-13	$19.20	$17.00	32.7%	9.4%	31.4%	11.6%	33.6%	-0.2%	-0.0%	241.9K	-6.7M	-15.1K	0.42	97.80	342	145	6,993	3,539
2012-01-17	$19.84	$18.00	30.3%	8.7%	32.7%	9.3%	33.1%	11.6%	3.5%	247.5K	-8.2M	-15.0K	0.13	97.11	565	73	7,112	3,602
2012-01-18	$20.20	$18.00	31.4%	9.0%	32.8%	10.3%	39.8%	19.8%	-0.6%	324.7K	-9.1M	-14.4K	0.78	85.58	508	398	7,119	3,624
2012-01-19	$20.47	$18.00	29.8%	8.5%	32.9%	8.7%	30.8%	3.9%	4.1%	225.4K	-9.7M	-14.7K	0.17	89.46	461	80	7,249	3,983
2012-01-20	$20.95	$18.00	25.9%	7.4%	32.6%	5.0%	30.1%	9.7%	4.3%	214.9K	-10.6M	-12.4K	0.07	81.12	558	37	7,224	4,006
2012-01-23	$19.05	$18.00	40.4%	11.6%	49.6%	18.9%	30.2%	10.9%	-1.3%	111.9K	-3.5M	-15.3K	0.30	82.30	773	235	4,221	2,067
2012-01-24	$20.30	$18.00	30.9%	8.9%	53.7%	9.9%	30.9%	17.6%	2.0%	139.4K	-5.0M	-15.3K	0.28	77.86	1,540	427	4,497	2,186
2012-01-25	$21.49	$18.00	33.9%	9.7%	52.9%	12.7%	33.3%	8.2%	-2.8%	192.7K	-8.0M	-14.8K	0.05	70.33	1,625	84	5,435	2,555
2012-01-26	$21.56	$18.00	30.4%	8.7%	51.7%	9.4%	30.2%	9.7%	-0.0%	263.2K	-8.2M	-18.1K	0.23	68.34	299	70	6,150	2,612
2012-01-27	$21.30	$18.00	30.9%	8.9%	51.8%	9.8%	72.2%	20.1%	0.6%	248.5K	-7.2M	-19.0K	0.07	83.55	4,784	316	5,835	2,608
2012-01-30	$21.43	$21.00	33.1%	9.5%	51.6%	12.0%	25.9%	8.8%	2.4%	193.3K	-3.8M	-16.3K	0.58	75.69	658	380	4,019	2,894
2012-01-31	$21.10	$21.00	33.9%	9.7%	52.3%	12.7%	32.7%	7.7%	3.3%	171.8K	-3.2M	-18.1K	0.59	79.72	827	491	4,321	3,191