CQP Options History — February 2014

In February 2014, CQP traded between $27.62 and $29.70. ATM implied volatility averaged 29.6%, placing in the 63.5% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 9.7% (HV 20d: 19.9%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.70.

Notable Days

2014-02-24: Highest Volume — 780 contracts
2014-02-11: Largest IV drop — 10.6% change
2014-02-03: Highest IV Rank — 76.1%
2014-02-03: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.65	$27.62	$29.70	$27.75	$28.44
Max Pain	$29.58	$28.00	$30.00	$28.00	$30.00
ATM IV	29.6%	26.4%	32.7%	32.7%	30.1%
Expected Move	8.5%	7.6%	9.4%	9.4%	8.6%
HV 20d	19.9%	18.6%	21.9%	19.9%	18.7%
HV 60d	25.5%	24.9%	27.5%	27.5%	25.0%
IV Rank	63.5%	50.6%	76.1%	76.1%	65.4%
IV Percentile	51.5%	23.8%	84.9%	84.9%	57.1%
Term Structure	0.4%	-1.5%	1.9%	-0.1%	-1.5%
VWIV	29.9%	26.2%	32.7%	31.6%	26.4%
Skew 25d	4.1%	1.7%	5.8%	2.9%	4.1%
Skew 10d	9.0%	-9.0%	15.1%	-9.0%	7.3%
Call IV 25d	28.1%	25.5%	31.6%	30.9%	26.0%
Put IV 25d	32.2%	30.0%	34.1%	33.9%	30.1%
Bid-Ask Spread %	79.13	70.07	87.74	86.75	87.74
Gamma HHI	0.31	0.12	0.56	0.36	0.12
Net GEX	699.6K	-5.8K	1.7M	642.1K	-5.8K
Net DEX	-5.8M	-17.1M	2.8M	-2.0M	2.8M
Net VEX	-52.8K	-64.9K	-40.1K	-64.9K	-40.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.10	2.24	0.89	0.10
Total Volume	240.105	68	780	193	108
Total OI	20,386.526	15,219	22,392	21,633	16,021

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
2014-02-03	$27.75	$28.00	32.7%	9.4%	19.9%	76.1%	31.6%	2.9%	-0.1%	642.1K	-2.0M	-64.9K	0.89	86.75	102	91	12,842	8,791
2014-02-04	$27.90	$28.00	30.5%	8.8%	20.0%	67.3%	31.5%	2.4%	1.6%	699.7K	-2.3M	-62.7K	0.80	85.75	142	113	12,868	8,822
2014-02-05	$27.62	$28.00	31.2%	8.9%	19.9%	70.0%	31.8%	1.7%	1.5%	653.9K	-1.3M	-63.0K	2.24	86.80	21	47	12,870	8,884
2014-02-06	$28.34	$28.00	30.8%	8.8%	21.9%	68.3%	30.5%	5.2%	1.0%	811.6K	-5.6M	-64.0K	0.15	82.46	214	33	12,893	8,914
2014-02-07	$28.36	$30.00	30.1%	8.8%	21.8%	65.7%	29.6%	3.7%	-0.1%	888.4K	-5.5M	-62.2K	0.24	71.83	152	37	12,971	8,917
2014-02-10	$28.30	$30.00	31.8%	9.1%	20.4%	72.2%	32.7%	5.1%	-0.7%	934.9K	-5.8M	-59.9K	0.68	70.07	50	34	13,006	8,925
2014-02-11	$28.52	$30.00	28.4%	8.5%	19.6%	58.6%	30.9%	4.7%	0.5%	1.0M	-6.7M	-58.2K	1.12	75.68	123	138	13,023	8,933
2014-02-12	$28.67	$30.00	28.2%	8.5%	19.5%	57.8%	31.3%	4.3%	0.7%	1.0M	-8.8M	-58.4K	0.25	75.99	83	21	13,088	9,036
2014-02-13	$29.21	$30.00	30.0%	8.6%	19.4%	65.2%	29.1%	3.9%	0.0%	993.3K	-12.5M	-56.2K	0.21	76.52	226	47	13,130	9,053
2014-02-14	$29.57	$30.00	28.4%	8.1%	19.6%	58.7%	30.2%	4.4%	0.8%	871.2K	-15.4M	-55.8K	0.42	73.28	224	93	13,129	9,069
2014-02-18	$29.70	$30.00	29.5%	8.5%	19.6%	63.3%	30.3%	4.3%	0.2%	513.5K	-17.1M	-49.3K	1.05	75.96	127	133	13,231	9,059
2014-02-19	$29.04	$30.00	30.3%	8.7%	19.8%	66.5%	32.2%	4.7%	0.3%	1.1M	-13.6M	-50.4K	1.63	79.33	108	176	13,298	9,074
2014-02-20	$28.82	$30.00	31.1%	8.9%	20.0%	69.3%	32.2%	5.1%	-0.4%	1.7M	-11.4M	-46.2K	0.70	76.32	229	161	13,129	9,092
2014-02-21	$28.59	$30.00	28.6%	8.2%	20.2%	59.5%	29.0%	4.0%	1.9%	1.3M	-11.7M	-44.1K	1.06	78.69	174	184	13,202	9,190
2014-02-24	$28.90	$30.00	28.3%	8.1%	20.3%	58.4%	27.1%	4.4%	1.1%	29.3K	1.7M	-41.8K	0.23	79.28	632	148	7,209	8,010
2014-02-25	$29.07	$30.00	26.4%	7.6%	19.0%	50.6%	26.2%	4.2%	1.2%	54.4K	1.4M	-41.6K	0.30	80.24	56	17	7,688	8,104
2014-02-26	$29.05	$30.00	27.8%	8.0%	18.6%	56.1%	27.9%	5.8%	-0.2%	92.1K	1.2M	-43.6K	0.64	79.48	121	78	7,737	8,121
2014-02-27	$28.55	$30.00	28.1%	8.0%	19.4%	57.3%	28.2%	2.7%	-0.5%	35.5K	2.2M	-41.4K	0.55	81.22	77	42	7,837	8,178
2014-02-28	$28.44	$30.00	30.1%	8.6%	18.7%	65.4%	26.4%	4.1%	-1.5%	-5.8K	2.8M	-40.1K	0.10	87.74	98	10	7,813	8,208