CQP Options History — June 2013

In June 2013, CQP traded between $25.05 and $30.90. ATM implied volatility averaged 32.3%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded below realized volatility by 1.4% (HV 20d: 33.7%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.20.

Notable Days

2013-06-11: Highest Volume — 6,199 contracts
2013-06-05: Largest IV spike — 64.5% change
2013-06-24: Highest IV Rank — 63.7%
2013-06-05: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.09	$25.05	$30.90	$30.90	$29.89
Max Pain	$28.25	$25.00	$30.00	$25.00	$28.00
ATM IV	32.3%	22.2%	36.5%	23.4%	28.1%
Expected Move	9.1%	6.4%	10.5%	6.7%	8.1%
HV 20d	33.7%	19.7%	53.1%	19.7%	53.1%
HV 60d	27.4%	22.1%	35.5%	22.1%	35.5%
IV Rank	47.9%	17.7%	63.7%	20.2%	40.1%
IV Percentile	71.7%	17.1%	90.1%	23.0%	54.4%
Term Structure	-1.4%	-4.6%	3.7%	-0.6%	3.7%
VWIV	32.3%	22.4%	38.0%	22.4%	30.2%
Skew 25d	7.2%	4.7%	15.3%	12.7%	15.3%
Skew 10d	18.3%	10.0%	30.3%	19.0%	18.2%
Call IV 25d	28.0%	13.2%	34.9%	13.2%	16.4%
Put IV 25d	35.2%	25.0%	40.4%	25.9%	31.7%
Bid-Ask Spread %	46.31	15.30	65.63	22.92	38.15
Gamma HHI	0.24	0.12	0.68	0.20	0.23
Net GEX	60.2K	-165.7K	923.6K	34.0K	52.1K
Net DEX	-1.1M	-11.0M	7.8M	-10.9M	-4.2M
Net VEX	-47.6K	-67.3K	-23.4K	-24.0K	-61.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.20	0.00	9.10	0.26	0.63
Total Volume	992.95	60	6,199	722	377
Total OI	16,121.1	10,749	19,308	14,797	13,935

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
2013-06-03	$30.90	$25.00	23.4%	6.7%	19.7%	20.2%	22.4%	12.7%	-0.6%	34.0K	-10.9M	-24.0K	0.26	22.92	575	147	5,155	9,642
2013-06-04	$30.83	$25.00	22.2%	6.4%	19.8%	17.7%	24.4%	7.1%	2.0%	78.2K	-11.0M	-23.4K	0.15	15.93	1,086	166	5,408	9,743
2013-06-05	$29.00	$25.00	36.5%	10.5%	31.1%	47.8%	38.0%	6.5%	-3.8%	91.4K	-5.7M	-33.3K	0.78	18.30	696	544	5,251	9,859
2013-06-06	$29.05	$25.00	36.0%	10.3%	31.0%	46.6%	37.0%	4.9%	-2.4%	118.8K	-6.2M	-35.6K	0.88	37.30	224	198	5,772	10,154
2013-06-07	$28.72	$30.00	33.4%	8.9%	31.3%	41.2%	31.6%	6.9%	-3.3%	99.9K	-5.8M	-35.6K	0.40	52.17	141	57	5,781	10,290
2013-06-10	$28.06	$29.00	36.3%	9.3%	32.4%	54.5%	36.1%	7.1%	-4.4%	144.3K	-3.9M	-31.2K	0.49	48.36	182	89	5,797	10,284
2013-06-11	$28.05	$29.00	35.9%	9.2%	32.3%	58.1%	30.8%	6.6%	-4.4%	161.7K	-3.9M	-29.9K	9.10	52.79	614	5,585	5,870	10,350
2013-06-12	$28.34	$30.00	35.3%	9.6%	32.1%	56.5%	33.5%	6.9%	-4.6%	6.6K	-1.9M	-51.9K	0.00	65.63	60	0	5,889	13,096
2013-06-13	$28.40	$30.00	31.5%	9.0%	31.1%	46.5%	31.7%	6.4%	-1.9%	13.6K	-1.7M	-51.2K	3.27	60.62	637	2,082	5,916	12,096
2013-06-14	$27.95	$29.00	31.3%	9.0%	31.5%	49.2%	33.5%	6.2%	-2.1%	-21.1K	-526.2K	-61.0K	0.85	61.97	152	129	6,494	12,544
2013-06-17	$27.93	$29.00	31.6%	9.0%	31.5%	49.8%	31.7%	6.9%	-2.2%	-15.5K	450.1K	-59.3K	0.23	61.30	343	80	6,506	12,662
2013-06-18	$27.83	$29.00	30.9%	8.9%	31.4%	48.0%	34.2%	6.3%	-1.9%	-27.5K	727.8K	-59.2K	0.87	61.29	71	62	6,626	12,682
2013-06-19	$27.40	$29.00	29.9%	8.6%	31.1%	45.2%	28.4%	6.8%	0.4%	-66.9K	2.3M	-57.3K	1.82	65.27	74	135	6,587	12,714
2013-06-20	$26.29	$29.00	34.8%	10.0%	33.3%	58.9%	34.6%	7.4%	-3.7%	13.1K	5.9M	-54.2K	0.91	62.93	433	394	6,481	12,451
2013-06-21	$26.03	$29.00	33.3%	9.5%	33.0%	54.6%	34.3%	6.2%	-1.6%	923.6K	6.5M	-53.3K	1.29	55.23	126	163	6,705	12,422
2013-06-24	$25.05	$29.00	36.5%	10.5%	33.9%	63.7%	34.6%	7.4%	-0.1%	-165.7K	7.8M	-49.5K	0.21	53.58	572	119	3,505	7,244
2013-06-25	$25.58	$29.00	31.4%	9.0%	34.0%	49.4%	31.9%	6.3%	1.4%	-146.6K	7.0M	-52.1K	0.71	56.56	191	136	3,952	7,317
2013-06-26	$28.21	$29.00	32.5%	9.3%	50.1%	52.4%	33.5%	6.1%	1.2%	-83.0K	2.0M	-60.0K	0.69	15.30	1,608	1,103	4,086	7,406
2013-06-27	$28.30	$28.00	34.2%	9.8%	49.4%	57.3%	33.2%	4.7%	0.8%	-6.1K	233.6K	-67.3K	0.37	20.54	371	137	5,468	8,282
2013-06-28	$29.89	$28.00	28.1%	8.1%	53.1%	40.1%	30.2%	15.3%	3.7%	52.1K	-4.2M	-61.9K	0.63	38.15	231	146	5,601	8,334