CQP Options History — December 2012

In December 2012, CQP traded between $20.22 and $21.69. ATM implied volatility averaged 28.5%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 2.6% (HV 20d: 31.1%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 4.77.

Notable Days

2012-12-13: Highest Volume — 7,011 contracts
2012-12-24: Largest IV spike — 14.8% change
2012-12-14: Highest IV Rank — 24.8%
2012-12-11: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.96	$20.22	$21.69	$20.76	$21.26
Max Pain	$20.75	$20.00	$22.00	$22.00	$21.00
ATM IV	28.5%	26.0%	30.9%	26.2%	28.1%
Expected Move	8.4%	7.5%	9.0%	7.5%	8.1%
HV 20d	31.1%	23.4%	41.9%	41.6%	24.1%
HV 60d	34.7%	31.9%	37.4%	36.8%	32.1%
IV Rank	19.0%	12.7%	24.8%	13.2%	18.1%
IV Percentile	26.9%	9.5%	42.5%	9.9%	27.0%
Term Structure	2.6%	-0.5%	6.8%	4.4%	3.9%
VWIV	29.1%	26.3%	32.9%	26.3%	28.3%
Skew 25d	4.8%	0.5%	10.1%	4.9%	4.1%
Skew 10d	6.2%	-11.4%	19.5%	10.7%	8.6%
Call IV 25d	26.4%	20.4%	29.8%	25.8%	25.2%
Put IV 25d	31.1%	28.0%	34.7%	30.6%	29.3%
Bid-Ask Spread %	79.27	15.17	90.03	81.94	15.17
Gamma HHI	0.47	0.32	0.72	0.55	0.33
Net GEX	-353.7K	-806.8K	4.5K	-490.9K	-137.8K
Net DEX	7.3M	4.1M	12.2M	8.4M	5.1M
Net VEX	-53.4K	-59.1K	-46.1K	-52.0K	-56.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.77	0.06	76.90	0.18	0.42
Total Volume	753.75	119	7,011	261	337
Total OI	21,758.35	14,433	26,771	22,618	14,853

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
2012-12-03	$20.76	$22.00	26.2%	7.5%	41.6%	13.2%	26.3%	4.9%	4.4%	-490.9K	8.4M	-52.0K	0.18	81.94	222	39	9,446	13,172
2012-12-04	$20.46	$22.00	29.0%	8.3%	41.9%	20.1%	28.8%	7.4%	3.8%	-532.9K	9.8M	-50.9K	0.58	81.01	99	57	9,451	13,194
2012-12-05	$20.41	$22.00	29.6%	8.5%	41.5%	21.6%	31.2%	7.0%	1.9%	-546.6K	10.3M	-50.2K	2.15	80.45	123	265	9,443	13,214
2012-12-06	$20.70	$22.00	27.2%	7.8%	40.7%	15.7%	26.6%	10.1%	2.5%	-507.6K	8.7M	-50.3K	2.10	83.51	284	596	9,426	13,406
2012-12-07	$20.75	$20.00	26.0%	8.5%	40.3%	12.7%	29.3%	4.3%	3.3%	-499.5K	8.6M	-49.9K	0.06	80.31	112	7	9,572	13,439
2012-12-10	$20.72	$20.00	26.4%	8.8%	40.0%	13.8%	30.3%	4.8%	1.5%	-524.5K	8.3M	-47.8K	0.51	80.80	138	70	9,591	13,439
2012-12-11	$20.60	$20.00	26.7%	9.0%	39.7%	14.5%	32.9%	5.6%	0.8%	-568.2K	8.6M	-47.2K	2.25	83.62	56	126	9,643	13,451
2012-12-12	$20.50	$20.00	29.2%	8.8%	35.3%	20.7%	29.5%	3.8%	2.6%	-651.9K	9.8M	-46.4K	1.22	85.25	152	185	9,686	13,465
2012-12-13	$20.48	$20.00	30.8%	8.8%	29.8%	24.7%	30.3%	4.9%	1.4%	-694.1K	10.1M	-46.1K	76.90	88.58	90	6,921	9,732	13,517
2012-12-14	$20.22	$20.00	30.9%	8.9%	27.3%	24.8%	29.4%	4.7%	3.1%	-806.8K	12.2M	-55.4K	0.51	89.16	204	105	9,748	14,710
2012-12-17	$21.24	$20.00	30.9%	8.9%	26.4%	24.8%	30.2%	8.8%	-0.5%	-328.9K	6.8M	-56.0K	0.38	90.03	1,128	426	9,946	15,323
2012-12-18	$21.69	$20.00	27.5%	7.9%	25.5%	16.6%	27.1%	2.9%	2.7%	-146.6K	4.7M	-59.1K	0.16	83.05	1,178	191	10,593	15,444
2012-12-19	$21.50	$20.00	29.7%	8.5%	24.6%	22.0%	28.2%	1.9%	1.0%	-71.3K	4.4M	-57.9K	0.70	86.07	132	93	11,241	15,530
2012-12-20	$21.63	$21.00	28.4%	8.1%	24.7%	18.7%	29.0%	4.3%	1.3%	-11.8K	4.3M	-57.3K	0.15	85.68	363	54	10,956	15,470
2012-12-21	$21.61	$21.00	26.8%	7.7%	24.1%	14.8%	28.6%	1.5%	3.4%	4.5K	4.4M	-57.7K	2.55	84.91	175	446	11,098	15,493
2012-12-24	$21.40	$21.00	30.8%	8.8%	23.4%	24.5%	31.0%	5.3%	1.4%	-112.4K	4.1M	-57.7K	0.67	70.81	82	55	4,532	9,901
2012-12-26	$21.09	$21.00	29.5%	8.5%	23.6%	21.5%	29.6%	3.4%	5.2%	-135.7K	5.3M	-56.4K	2.96	75.74	47	139	4,569	9,951
2012-12-27	$21.21	$21.00	27.5%	7.9%	23.6%	16.6%	27.5%	4.8%	6.8%	-142.0K	5.4M	-57.4K	0.53	79.28	135	71	4,603	10,083
2012-12-28	$20.93	$21.00	29.1%	8.4%	24.2%	20.5%	27.7%	0.5%	2.3%	-169.1K	5.9M	-56.5K	0.50	80.03	115	57	4,716	10,120
2012-12-31	$21.26	$21.00	28.1%	8.1%	24.1%	18.1%	28.3%	4.1%	3.9%	-137.8K	5.1M	-56.5K	0.42	15.17	238	99	4,686	10,167