CQP Options History — February 2013

In February 2013, CQP traded between $22.48 and $24.02. ATM implied volatility averaged 26.9%, placing in the 21.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 9.9% (HV 20d: 17.0%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.09.

Notable Days

2013-02-11: Highest Volume — 1,080 contracts
2013-02-04: Largest IV spike — 10.9% change
2013-02-19: Highest IV Rank — 30.6%
2013-02-19: Largest Expected Move — 8.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.36	$22.48	$24.02	$23.31	$24.00
Max Pain	$23.00	$23.00	$23.00	$23.00	$23.00
ATM IV	26.9%	23.1%	30.9%	24.6%	23.1%
Expected Move	7.8%	6.6%	8.8%	7.5%	6.6%
HV 20d	17.0%	12.9%	24.7%	18.7%	21.8%
HV 60d	24.7%	20.8%	30.2%	30.2%	22.5%
IV Rank	21.6%	12.8%	30.6%	16.3%	12.8%
IV Percentile	25.6%	6.7%	52.8%	9.1%	6.7%
Term Structure	0.2%	-4.2%	2.7%	2.0%	2.7%
VWIV	27.8%	24.2%	30.9%	30.9%	25.5%
Skew 25d	5.3%	3.1%	10.4%	3.7%	10.4%
Skew 10d	12.9%	6.6%	20.4%	20.4%	18.0%
Call IV 25d	24.8%	14.4%	28.6%	25.0%	14.4%
Put IV 25d	30.2%	24.8%	33.6%	28.7%	24.8%
Bid-Ask Spread %	81.99	79.34	87.31	80.38	81.35
Gamma HHI	0.25	0.21	0.29	0.24	0.26
Net GEX	190.3K	-123.0K	496.8K	152.4K	496.8K
Net DEX	-1.4M	-5.1M	2.7M	-527.4K	-5.1M
Net VEX	-52.4K	-58.8K	-47.0K	-58.8K	-47.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.09	0.05	6.28	6.28	0.81
Total Volume	350.947	42	1,080	502	116
Total OI	19,591.211	18,036	20,925	19,587	19,426

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
2013-02-01	$23.31	$23.00	24.6%	7.5%	18.7%	16.3%	30.9%	3.7%	2.0%	152.4K	-527.4K	-58.8K	6.28	80.38	69	433	8,243	11,344
2013-02-04	$23.34	$23.00	27.3%	8.0%	17.4%	22.5%	28.8%	3.6%	0.4%	172.4K	-875.9K	-56.3K	5.00	80.42	7	35	8,288	11,565
2013-02-05	$23.35	$23.00	26.0%	7.9%	17.4%	19.4%	26.3%	6.1%	0.8%	163.9K	-825.3K	-55.7K	0.21	79.54	255	54	8,294	11,561
2013-02-06	$23.39	$23.00	25.1%	7.6%	14.6%	17.4%	25.4%	3.1%	2.3%	200.7K	-1.2M	-55.4K	0.05	83.98	57	3	8,478	11,571
2013-02-07	$23.30	$23.00	26.9%	7.7%	12.9%	21.6%	27.2%	4.1%	1.7%	190.0K	-1.0M	-55.6K	0.47	80.22	198	93	8,513	11,573
2013-02-08	$23.59	$23.00	25.1%	7.2%	13.7%	17.4%	28.5%	5.7%	1.8%	310.8K	-2.2M	-54.5K	1.02	85.00	153	156	8,586	11,625
2013-02-11	$23.54	$23.00	27.7%	8.0%	13.7%	23.5%	30.1%	7.1%	-0.9%	299.8K	-1.9M	-56.6K	0.51	79.34	715	365	8,688	11,594
2013-02-12	$23.25	$23.00	29.1%	8.3%	14.2%	26.5%	30.4%	4.8%	-0.9%	114.1K	-778.0K	-55.8K	0.74	81.02	183	136	9,176	11,749
2013-02-13	$23.61	$23.00	26.1%	7.5%	15.2%	19.6%	28.4%	5.1%	0.9%	364.3K	-2.7M	-53.4K	0.63	81.15	136	85	9,194	11,705
2013-02-14	$23.45	$23.00	28.8%	8.3%	15.4%	25.9%	30.6%	5.6%	-0.6%	168.1K	-1.9M	-53.0K	0.82	79.91	137	113	9,235	11,582
2013-02-15	$23.33	$23.00	29.0%	8.3%	15.4%	26.4%	26.7%	6.7%	-1.7%	29.3K	-1.4M	-53.4K	0.14	84.56	133	19	9,178	11,623
2013-02-19	$23.20	$23.00	30.9%	8.8%	15.4%	30.6%	30.2%	7.6%	-4.2%	102.1K	-1.0M	-51.2K	0.87	82.76	189	165	6,965	11,071
2013-02-20	$23.07	$23.00	29.1%	8.3%	15.3%	26.6%	28.6%	5.0%	-2.8%	81.3K	-376.4K	-51.4K	0.07	82.37	357	24	7,113	11,164
2013-02-21	$22.48	$23.00	29.9%	8.6%	17.3%	28.4%	28.6%	4.5%	-0.5%	-123.0K	2.7M	-47.9K	1.44	81.09	215	309	6,984	11,167
2013-02-22	$22.62	$23.00	26.7%	7.7%	17.4%	21.1%	26.7%	4.1%	0.4%	-56.1K	1.9M	-47.0K	0.82	87.31	124	102	7,026	11,293
2013-02-25	$22.98	$23.00	27.4%	7.9%	18.6%	22.8%	25.5%	4.1%	0.2%	97.1K	184.2K	-47.4K	0.20	82.49	662	135	7,038	11,309
2013-02-26	$24.00	$23.00	25.7%	7.4%	24.7%	18.7%	25.7%	5.7%	-0.3%	406.0K	-4.3M	-47.6K	0.36	82.75	380	138	7,592	11,423
2013-02-27	$24.02	$23.00	23.5%	6.7%	24.7%	13.7%	24.2%	4.3%	2.2%	445.1K	-5.0M	-48.2K	0.28	82.19	170	47	7,806	11,491
2013-02-28	$24.00	$23.00	23.1%	6.6%	21.8%	12.8%	25.5%	10.4%	2.7%	496.8K	-5.1M	-47.1K	0.81	81.35	64	52	7,948	11,478