CQP Options History — November 2013

In November 2013, CQP traded between $28.42 and $30.54. ATM implied volatility averaged 30.8%, placing in the 57.1% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 1.3% (HV 20d: 32.1%). Max pain ranged from $29.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.89.

Notable Days

2013-11-19: Highest Volume — 2,317 contracts
2013-11-08: Largest IV drop — 21.4% change
2013-11-15: Highest IV Rank — 69.2%
2013-11-07: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.27	$28.42	$30.54	$29.97	$29.72
Max Pain	$29.05	$29.00	$30.00	$30.00	$29.00
ATM IV	30.8%	27.5%	36.3%	33.3%	29.1%
Expected Move	8.9%	8.0%	9.9%	9.6%	8.4%
HV 20d	32.1%	28.5%	37.8%	31.2%	30.4%
HV 60d	26.2%	23.4%	27.2%	23.4%	26.9%
IV Rank	57.1%	38.4%	69.2%	54.7%	61.7%
IV Percentile	70.3%	43.3%	96.8%	88.5%	59.1%
Term Structure	-0.2%	-2.6%	2.1%	-1.7%	-0.3%
VWIV	31.3%	28.2%	34.6%	32.5%	29.3%
Skew 25d	3.2%	1.1%	6.1%	4.5%	3.0%
Skew 10d	7.5%	-1.3%	24.7%	8.2%	10.3%
Call IV 25d	30.1%	27.5%	33.2%	29.2%	27.5%
Put IV 25d	33.4%	29.4%	37.7%	33.7%	30.5%
Bid-Ask Spread %	71.12	59.35	89.63	89.63	59.35
Gamma HHI	0.27	0.24	0.30	0.25	0.28
Net GEX	1.2M	921.9K	1.8M	1.1M	1.8M
Net DEX	-12.6M	-21.5M	-6.3M	-19.2M	-16.7M
Net VEX	-90.3K	-103.0K	-82.0K	-103.0K	-85.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.89	0.22	1.90	1.56	0.28
Total Volume	454.2	61	2,317	261	368
Total OI	27,256.1	25,172	28,985	26,055	28,985

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
2013-11-01	$29.97	$30.00	33.3%	9.6%	31.2%	54.7%	32.5%	4.5%	-1.7%	1.1M	-19.2M	-103.0K	1.56	89.63	102	159	16,803	9,252
2013-11-04	$30.51	$29.00	34.1%	9.6%	30.6%	56.8%	33.8%	2.6%	-2.6%	1.1M	-21.1M	-99.8K	1.41	76.05	129	182	16,789	9,319
2013-11-05	$30.19	$29.00	34.0%	9.8%	30.7%	56.6%	34.6%	4.6%	-2.0%	1.1M	-18.7M	-99.9K	1.90	74.17	21	40	16,858	9,421
2013-11-06	$30.54	$29.00	33.1%	9.7%	30.7%	54.2%	33.2%	3.6%	-2.5%	1.2M	-21.5M	-97.2K	0.30	76.83	313	95	16,866	9,433
2013-11-07	$29.02	$29.00	36.3%	9.9%	36.4%	62.9%	34.1%	4.8%	-2.3%	921.9K	-10.9M	-96.3K	0.52	67.67	462	242	17,072	9,500
2013-11-08	$29.73	$29.00	28.5%	9.2%	37.0%	41.1%	32.7%	6.1%	-1.8%	1.2M	-16.7M	-98.2K	0.25	73.10	367	91	17,296	9,568
2013-11-11	$29.29	$29.00	31.9%	9.3%	37.6%	50.8%	32.3%	4.0%	-0.9%	1.1M	-12.1M	-90.6K	1.00	71.68	74	74	17,498	9,591
2013-11-12	$29.00	$29.00	30.9%	9.2%	37.8%	47.9%	33.0%	3.3%	0.3%	1.0M	-10.8M	-91.4K	1.83	71.81	58	106	17,512	9,629
2013-11-13	$28.71	$29.00	27.5%	8.6%	37.2%	38.4%	30.3%	3.4%	1.5%	959.6K	-7.9M	-86.5K	0.22	72.09	452	98	17,518	9,663
2013-11-14	$29.28	$29.00	30.6%	8.8%	33.7%	47.1%	30.2%	4.0%	-0.0%	1.2M	-12.6M	-88.9K	0.85	68.18	274	233	17,464	9,379
2013-11-15	$29.30	$29.00	31.0%	8.9%	32.9%	69.2%	31.3%	3.4%	0.3%	1.2M	-12.5M	-89.4K	0.64	69.83	146	93	17,647	9,541
2013-11-18	$29.30	$29.00	29.9%	8.6%	29.5%	64.5%	31.2%	4.3%	2.1%	1.3M	-13.2M	-85.0K	0.78	68.49	617	479	16,392	8,780
2013-11-19	$28.88	$29.00	29.9%	8.6%	29.5%	64.7%	30.3%	2.1%	0.8%	1.2M	-10.9M	-86.1K	1.08	72.76	1,113	1,204	16,855	9,221
2013-11-20	$28.45	$29.00	30.4%	8.7%	29.6%	66.6%	30.4%	2.5%	1.2%	1.1M	-6.6M	-88.4K	0.89	72.17	93	83	17,950	10,330
2013-11-21	$28.42	$29.00	30.0%	8.6%	29.4%	65.3%	29.1%	2.9%	0.8%	1.1M	-6.3M	-86.6K	0.55	68.77	119	66	17,977	10,399
2013-11-22	$28.63	$29.00	28.6%	8.2%	29.7%	59.4%	29.3%	1.7%	0.3%	1.2M	-6.8M	-86.7K	0.82	70.66	280	231	18,063	10,448
2013-11-25	$28.92	$29.00	29.1%	8.4%	30.0%	61.7%	29.7%	1.1%	0.4%	1.3M	-8.8M	-82.0K	0.65	67.67	78	51	18,089	10,541
2013-11-26	$28.61	$29.00	29.1%	8.4%	28.5%	61.6%	30.1%	1.2%	0.8%	1.3M	-8.0M	-82.8K	1.51	65.10	37	56	18,138	10,566
2013-11-27	$29.01	$29.00	27.8%	8.0%	29.2%	56.2%	28.2%	1.7%	0.7%	1.6M	-10.1M	-82.9K	0.83	66.47	217	181	18,162	10,607
2013-11-29	$29.72	$29.00	29.1%	8.4%	30.4%	61.7%	29.3%	3.0%	-0.3%	1.8M	-16.7M	-85.3K	0.28	59.35	287	81	18,261	10,724