CQP Options History — February 2012

In February 2012, CQP traded between $20.25 and $23.90. ATM implied volatility averaged 32.9%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 16.5% (HV 20d: 49.4%). Max pain ranged from $19.00 to $21.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.53.

Notable Days

2012-02-27: Highest Volume — 2,692 contracts
2012-02-24: Largest IV drop — 18.7% change
2012-02-14: Highest IV Rank — 16.9%
2012-02-14: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.30	$20.25	$23.90	$20.25	$23.90
Max Pain	$19.60	$19.00	$21.00	$21.00	$20.00
ATM IV	32.9%	23.8%	38.3%	36.2%	23.8%
Expected Move	9.6%	6.8%	11.0%	10.4%	6.8%
HV 20d	49.4%	25.6%	55.7%	55.1%	53.1%
HV 60d	41.7%	38.0%	45.3%	42.5%	45.2%
IV Rank	11.7%	3.1%	16.9%	14.9%	3.1%
IV Percentile	21.9%	1.6%	37.7%	33.7%	1.6%
Term Structure	0.8%	-1.9%	5.0%	2.1%	3.0%
VWIV	32.9%	23.1%	39.0%	34.4%	23.1%
Skew 25d	9.3%	-6.4%	20.0%	-6.4%	6.5%
Skew 10d	16.2%	-10.0%	37.7%	-10.0%	2.1%
Call IV 25d	28.7%	18.1%	33.0%	33.0%	19.6%
Put IV 25d	38.0%	26.1%	45.2%	26.5%	26.1%
Bid-Ask Spread %	89.73	59.59	97.06	89.19	59.59
Gamma HHI	0.29	0.21	0.41	0.24	0.21
Net GEX	227.8K	132.8K	351.4K	132.8K	198.2K
Net DEX	-4.3M	-9.2M	-2.2M	-2.2M	-9.2M
Net VEX	-21.9K	-23.4K	-16.8K	-23.1K	-21.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.01	3.66	0.93	0.14
Total Volume	417.1	58	2,692	199	1,284
Total OI	8,781.15	6,876	9,996	8,590	8,663

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
2012-02-01	$20.25	$21.00	36.2%	10.4%	55.1%	14.9%	34.4%	-6.4%	2.1%	132.8K	-2.2M	-23.1K	0.93	89.19	103	96	4,963	3,627
2012-02-02	$20.49	$21.00	35.3%	10.1%	54.8%	14.1%	31.9%	-0.8%	2.3%	153.3K	-2.4M	-23.0K	0.36	89.01	139	50	5,032	3,694
2012-02-03	$20.44	$19.00	35.8%	10.5%	54.7%	14.5%	35.1%	11.4%	-0.9%	157.2K	-2.2M	-23.1K	0.19	88.43	132	25	5,108	3,713
2012-02-06	$21.02	$19.00	32.0%	10.5%	55.3%	10.9%	34.2%	9.8%	0.6%	202.8K	-3.4M	-23.1K	0.08	84.61	350	29	5,172	3,736
2012-02-07	$21.33	$19.00	30.3%	10.6%	55.2%	9.2%	34.1%	13.1%	-0.3%	246.4K	-4.0M	-23.4K	0.15	92.52	376	57	5,339	3,755
2012-02-08	$21.01	$19.00	31.3%	9.8%	55.7%	10.2%	33.5%	12.2%	-0.8%	265.4K	-3.4M	-22.9K	0.01	94.39	352	4	5,658	3,747
2012-02-09	$21.35	$19.00	34.6%	9.9%	54.7%	13.3%	34.0%	9.6%	1.7%	341.4K	-5.0M	-23.4K	0.07	91.36	303	21	5,970	3,747
2012-02-10	$21.14	$19.00	37.8%	10.8%	53.8%	16.4%	39.0%	20.0%	-0.7%	305.7K	-4.4M	-23.3K	0.29	96.68	90	26	5,992	3,757
2012-02-13	$21.38	$19.00	37.4%	10.7%	53.8%	16.1%	38.4%	11.8%	-1.9%	351.4K	-5.0M	-22.7K	0.02	90.92	290	5	6,045	3,772
2012-02-14	$20.76	$19.00	38.3%	11.0%	54.1%	16.9%	36.6%	18.6%	-1.3%	269.6K	-3.7M	-22.7K	0.58	93.15	53	31	6,167	3,776
2012-02-15	$20.80	$19.00	36.4%	10.4%	53.8%	15.1%	37.4%	14.8%	0.1%	276.1K	-3.7M	-22.0K	0.31	90.50	176	55	6,145	3,793
2012-02-16	$20.75	$19.00	35.2%	10.1%	53.7%	14.0%	34.5%	11.7%	0.4%	266.4K	-3.4M	-21.9K	3.66	93.27	35	128	6,115	3,827
2012-02-17	$20.85	$20.00	30.7%	8.8%	53.0%	9.7%	34.6%	9.8%	5.0%	303.9K	-3.4M	-21.1K	0.34	91.85	87	30	6,128	3,868
2012-02-21	$20.99	$20.00	35.0%	10.0%	39.5%	13.7%	32.6%	7.9%	-1.6%	160.3K	-3.3M	-20.1K	0.11	89.43	387	43	4,199	2,677
2012-02-22	$20.99	$20.00	33.0%	9.5%	32.8%	11.9%	34.1%	18.0%	-0.5%	180.2K	-3.4M	-20.2K	0.97	95.04	119	115	4,382	2,695
2012-02-23	$20.80	$20.00	32.6%	9.4%	25.6%	11.5%	29.9%	9.9%	0.3%	173.3K	-3.4M	-20.9K	0.55	97.06	58	32	4,462	2,766
2012-02-24	$20.90	$20.00	26.5%	7.6%	25.7%	5.7%	27.7%	2.6%	4.2%	193.2K	-3.5M	-20.5K	1.32	95.63	25	33	4,479	2,795
2012-02-27	$23.70	$20.00	27.2%	7.8%	51.6%	6.3%	27.6%	3.8%	0.4%	148.7K	-8.0M	-16.8K	0.20	85.05	2,251	441	4,495	2,800
2012-02-28	$23.13	$20.00	28.4%	8.2%	52.7%	7.5%	25.6%	2.0%	3.5%	229.5K	-7.9M	-23.0K	0.27	86.85	402	109	5,475	3,089
2012-02-29	$23.90	$20.00	23.8%	6.8%	53.1%	3.1%	23.1%	6.5%	3.0%	198.2K	-9.2M	-21.8K	0.14	59.59	1,131	153	5,515	3,148