CQP Options History — March 2013

In March 2013, CQP traded between $23.90 and $27.37. ATM implied volatility averaged 20.0%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded below realized volatility by 0.3% (HV 20d: 20.3%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.95.

Notable Days

2013-03-27: Highest Volume — 1,377 contracts
2013-03-26: Largest IV drop — 22.5% change
2013-03-12: Highest IV Rank — 15.8%
2013-03-04: Largest Expected Move — 7.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.01	$23.90	$27.37	$24.22	$27.37
Max Pain	$23.55	$23.00	$25.00	$23.00	$25.00
ATM IV	20.0%	13.8%	24.4%	22.7%	14.8%
Expected Move	5.9%	4.0%	7.2%	6.5%	4.2%
HV 20d	20.3%	14.3%	22.6%	21.8%	16.4%
HV 60d	21.1%	19.4%	22.5%	22.5%	20.3%
IV Rank	7.0%	0.0%	15.8%	11.9%	2.0%
IV Percentile	3.4%	0.0%	12.3%	5.6%	0.4%
Term Structure	3.4%	1.1%	10.5%	2.9%	8.2%
VWIV	20.8%	13.9%	24.7%	22.9%	13.9%
Skew 25d	6.2%	2.9%	11.2%	6.4%	3.6%
Skew 10d	10.6%	-0.1%	18.2%	16.6%	0.7%
Call IV 25d	16.5%	8.9%	23.0%	19.3%	8.9%
Put IV 25d	22.8%	12.5%	27.6%	25.7%	12.5%
Bid-Ask Spread %	34.17	11.78	86.29	86.29	70.53
Gamma HHI	0.31	0.20	0.58	0.27	0.20
Net GEX	505.9K	218.6K	875.7K	528.6K	218.6K
Net DEX	-7.1M	-12.7M	-4.4M	-5.9M	-11.0M
Net VEX	-38.4K	-46.4K	-26.4K	-46.4K	-26.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.04	5.59	0.04	0.45
Total Volume	394.95	107	1,377	176	985
Total OI	16,359	11,137	20,421	19,431	13,045

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
2013-03-01	$24.22	$23.00	22.7%	6.5%	21.8%	11.9%	22.9%	6.4%	2.9%	528.6K	-5.9M	-46.4K	0.04	86.29	169	7	7,971	11,460
2013-03-04	$24.05	$23.00	22.8%	7.2%	22.0%	12.2%	24.7%	4.5%	1.2%	583.3K	-5.7M	-45.9K	5.59	65.30	44	246	8,044	11,463
2013-03-05	$23.95	$23.00	23.2%	7.2%	22.0%	13.1%	22.7%	4.8%	1.5%	559.7K	-4.7M	-45.1K	0.28	46.76	367	104	8,045	11,578
2013-03-06	$23.90	$23.00	22.8%	7.0%	22.1%	12.2%	22.5%	8.0%	1.7%	600.8K	-4.9M	-46.1K	1.21	29.68	63	76	8,348	11,603
2013-03-07	$24.24	$23.00	19.9%	6.8%	22.6%	5.5%	24.6%	10.8%	2.1%	771.6K	-6.6M	-44.0K	0.47	22.20	165	77	8,376	11,637
2013-03-08	$24.15	$23.00	20.2%	6.8%	22.5%	6.2%	24.2%	4.5%	1.1%	758.3K	-6.8M	-43.8K	0.75	13.66	61	46	8,503	11,678
2013-03-11	$24.23	$23.00	23.4%	6.8%	22.2%	13.5%	23.9%	4.6%	1.9%	780.6K	-7.3M	-41.1K	0.11	17.19	292	33	8,529	11,672
2013-03-12	$24.45	$23.00	24.4%	6.8%	22.3%	15.8%	22.3%	10.1%	1.5%	792.5K	-8.6M	-40.5K	0.20	21.54	219	44	8,572	11,689
2013-03-13	$24.45	$23.00	22.6%	6.5%	21.7%	11.7%	22.3%	9.3%	3.2%	762.2K	-8.3M	-40.5K	0.10	22.34	169	17	8,582	11,681
2013-03-14	$24.78	$24.00	20.0%	5.7%	21.6%	5.7%	21.5%	11.2%	2.4%	786.2K	-11.0M	-37.6K	0.27	26.28	195	53	8,656	11,646
2013-03-15	$25.09	$23.00	19.9%	5.7%	21.6%	5.5%	19.7%	4.9%	2.7%	875.7K	-12.7M	-36.6K	0.07	16.89	667	45	8,761	11,660
2013-03-18	$25.05	$24.00	19.9%	5.7%	21.4%	5.7%	19.9%	2.9%	3.0%	239.6K	-4.4M	-36.2K	0.65	17.49	186	120	4,804	6,333
2013-03-19	$25.00	$24.00	20.3%	5.8%	21.2%	6.6%	20.8%	4.0%	3.4%	245.8K	-4.4M	-36.8K	1.60	15.53	92	147	4,966	6,416
2013-03-20	$25.20	$24.00	18.7%	5.4%	21.0%	2.8%	20.9%	4.1%	4.5%	255.0K	-4.6M	-36.8K	3.33	17.19	88	293	4,945	6,517
2013-03-21	$25.35	$24.00	19.7%	5.7%	17.7%	5.2%	19.4%	5.7%	3.8%	237.9K	-5.4M	-36.3K	0.19	14.66	146	28	5,018	6,739
2013-03-22	$25.83	$24.00	17.6%	5.1%	18.2%	0.4%	17.8%	6.3%	3.8%	279.6K	-6.3M	-35.5K	0.70	14.97	147	103	5,099	6,752
2013-03-25	$25.77	$24.00	17.8%	5.1%	18.2%	0.9%	19.2%	8.2%	3.2%	294.8K	-6.5M	-33.4K	0.94	11.78	150	141	5,174	6,834
2013-03-26	$26.51	$24.00	13.8%	4.0%	14.4%	0.0%	15.8%	7.0%	10.5%	278.9K	-8.5M	-28.6K	0.44	74.89	512	225	5,162	6,884
2013-03-27	$26.60	$24.00	15.5%	4.4%	14.3%	3.5%	18.0%	3.6%	6.0%	267.6K	-8.9M	-30.8K	1.54	78.17	542	835	5,418	6,920
2013-03-28	$27.37	$25.00	14.8%	4.2%	16.4%	2.0%	13.9%	3.6%	8.2%	218.6K	-11.0M	-26.4K	0.45	70.53	678	307	5,712	7,333