CQP Options History — September 2012

In September 2012, CQP traded between $22.67 and $26.58. ATM implied volatility averaged 28.7%, placing in the 11.3% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded above realized volatility by 1.2% (HV 20d: 27.4%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.49.

Notable Days

2012-09-25: Highest Volume — 6,809 contracts
2012-09-25: Largest IV spike — 19.7% change
2012-09-25: Highest IV Rank — 17.1%
2012-09-25: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.82	$22.67	$26.58	$25.13	$22.87
Max Pain	$23.68	$23.00	$25.00	$23.00	$24.00
ATM IV	28.7%	26.3%	32.6%	28.6%	30.3%
Expected Move	8.4%	7.7%	9.4%	8.2%	8.7%
HV 20d	27.4%	18.8%	41.4%	18.8%	40.2%
HV 60d	23.2%	19.7%	29.1%	19.9%	28.6%
IV Rank	11.3%	8.0%	17.1%	11.2%	13.7%
IV Percentile	20.8%	9.9%	38.9%	19.0%	29.4%
Term Structure	5.1%	2.7%	9.9%	3.7%	9.9%
VWIV	29.2%	26.0%	35.8%	27.9%	31.0%
Skew 25d	5.3%	0.7%	13.0%	4.2%	4.2%
Skew 10d	8.8%	0.5%	17.0%	4.2%	1.0%
Call IV 25d	26.9%	18.7%	32.3%	32.3%	30.2%
Put IV 25d	32.2%	26.6%	36.5%	36.5%	34.5%
Bid-Ask Spread %	85.14	67.87	94.04	94.04	70.86
Gamma HHI	0.23	0.18	0.48	0.19	0.20
Net GEX	295.5K	-44.9K	583.2K	250.0K	69.5K
Net DEX	-4.0M	-10.0M	2.6M	-4.2M	366.9K
Net VEX	-44.9K	-67.5K	-35.9K	-45.0K	-67.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.00	4.02	0.21	0.44
Total Volume	961.789	32	6,809	127	707
Total OI	16,879.474	13,425	21,184	16,008	21,184

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
2012-09-04	$25.13	$23.00	28.6%	8.2%	18.8%	11.2%	27.9%	4.2%	3.7%	250.0K	-4.2M	-45.0K	0.21	94.04	105	22	7,198	8,810
2012-09-05	$25.27	$23.00	29.1%	8.3%	18.8%	12.0%	29.0%	3.6%	4.0%	303.8K	-4.7M	-44.3K	0.00	88.61	65	0	7,303	8,812
2012-09-06	$25.85	$23.00	27.0%	7.7%	19.8%	8.9%	27.8%	0.7%	4.9%	345.3K	-6.7M	-43.4K	0.18	89.17	172	31	7,317	8,812
2012-09-07	$25.44	$23.00	26.3%	8.7%	20.7%	8.0%	35.8%	7.8%	5.3%	341.7K	-5.7M	-44.2K	0.15	90.42	62	9	7,463	8,809
2012-09-10	$25.31	$23.00	28.8%	9.0%	20.9%	11.5%	30.7%	5.6%	2.7%	345.9K	-5.1M	-42.7K	0.14	85.65	28	4	7,476	8,816
2012-09-11	$25.20	$23.00	28.0%	9.0%	19.9%	10.3%	28.3%	7.4%	3.8%	340.5K	-4.9M	-41.9K	0.25	91.81	129	32	7,484	8,818
2012-09-12	$25.43	$23.00	26.8%	8.9%	20.1%	8.7%	28.0%	6.7%	3.1%	377.3K	-5.6M	-40.0K	0.55	89.94	67	37	7,489	8,843
2012-09-13	$25.45	$23.00	29.6%	8.5%	19.8%	12.8%	28.5%	3.1%	3.4%	404.4K	-5.4M	-38.6K	0.02	92.69	62	1	7,523	8,838
2012-09-14	$26.15	$23.00	28.2%	8.1%	21.5%	10.7%	27.0%	12.7%	2.7%	508.9K	-8.0M	-38.4K	0.21	93.75	395	84	7,544	8,839
2012-09-17	$26.15	$23.00	29.0%	8.3%	21.5%	11.9%	29.8%	13.0%	3.8%	480.8K	-8.8M	-35.9K	4.02	92.66	107	430	7,575	8,839
2012-09-18	$26.58	$25.00	27.8%	8.0%	20.5%	10.0%	26.0%	1.9%	4.8%	542.3K	-10.0M	-36.3K	0.22	90.43	416	90	7,570	9,143
2012-09-19	$26.25	$25.00	27.3%	7.8%	21.3%	9.4%	27.4%	2.9%	4.6%	462.3K	-8.9M	-36.9K	0.42	91.85	97	41	7,630	9,204
2012-09-20	$24.10	$25.00	27.5%	7.9%	38.1%	9.6%	28.4%	1.3%	5.6%	583.2K	-700.7K	-36.0K	0.64	80.92	1,632	1,052	7,654	9,240
2012-09-21	$24.30	$25.00	27.8%	8.0%	38.1%	10.1%	26.9%	4.7%	4.9%	205.1K	-1.5M	-42.5K	0.35	83.32	1,351	479	8,548	9,749
2012-09-24	$23.75	$24.00	27.3%	7.8%	38.5%	9.3%	27.3%	5.6%	6.1%	-20.7K	1.2M	-43.6K	0.22	67.87	1,243	277	5,689	7,736
2012-09-25	$22.67	$24.00	32.6%	9.4%	41.4%	17.1%	31.8%	4.2%	7.6%	-44.9K	2.6M	-46.7K	0.57	75.17	4,332	2,477	6,726	7,946
2012-09-26	$22.71	$24.00	31.7%	9.1%	40.7%	15.8%	32.3%	5.5%	9.2%	38.4K	1.2M	-63.7K	0.46	70.94	975	444	9,388	10,111
2012-09-27	$22.95	$24.00	30.9%	8.9%	40.3%	14.6%	30.0%	5.5%	6.3%	81.1K	-223.7K	-66.1K	0.34	77.57	612	207	10,165	10,419
2012-09-28	$22.87	$24.00	30.3%	8.7%	40.2%	13.7%	31.0%	4.2%	9.9%	69.5K	366.9K	-67.5K	0.44	70.86	492	215	10,574	10,610