CQP Options History — November 2014

In November 2014, CQP traded between $29.08 and $31.90. ATM implied volatility averaged 30.1%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 1.7% (HV 20d: 28.5%). Max pain ranged from $29.00 to $29.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 1.14.

Notable Days

2014-11-18: Highest Volume — 1,865 contracts
2014-11-28: Largest IV spike — 27.3% change
2014-11-28: Highest IV Rank — 17.3%
2014-11-05: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.95	$29.08	$31.90	$31.90	$29.08
Max Pain	$29.00	$29.00	$29.00	$29.00	$29.00
ATM IV	30.1%	26.8%	36.3%	31.3%	36.3%
Expected Move	9.0%	8.6%	9.3%	8.9%	9.1%
HV 20d	28.5%	16.3%	46.1%	46.0%	28.0%
HV 60d	27.9%	27.2%	31.0%	27.8%	31.0%
IV Rank	11.2%	7.9%	17.3%	12.4%	17.3%
IV Percentile	73.9%	50.8%	96.4%	83.3%	96.4%
Term Structure	0.6%	-2.8%	3.3%	-2.1%	-2.8%
VWIV	32.6%	27.8%	34.0%	33.9%	32.4%
Skew 25d	5.0%	-0.3%	8.8%	5.1%	-0.3%
Skew 10d	11.0%	0.8%	22.4%	22.4%	0.8%
Call IV 25d	28.6%	25.6%	36.1%	27.9%	36.1%
Put IV 25d	33.6%	30.2%	36.8%	33.0%	35.8%
Bid-Ask Spread %	71.54	58.37	78.68	69.98	77.64
Gamma HHI	0.21	0.16	0.25	0.23	0.20
Net GEX	696.2K	325.2K	976.7K	949.7K	368.9K
Net DEX	-6.2M	-11.3M	294.6K	-11.3M	-803.0K
Net VEX	-53.1K	-68.2K	-40.2K	-68.2K	-40.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.14	0.27	2.14	1.62	1.06
Total Volume	1,063.737	93	1,865	1,146	144
Total OI	18,191.316	16,786	19,376	18,018	17,452

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
2014-11-03	$31.90	$29.00	31.3%	8.9%	46.0%	12.4%	33.9%	5.1%	-2.1%	949.7K	-11.3M	-68.2K	1.62	69.98	437	709	12,916	5,102
2014-11-04	$31.49	$29.00	32.2%	9.1%	46.0%	13.2%	33.2%	5.2%	-1.7%	819.7K	-9.2M	-65.1K	1.78	70.38	478	852	12,951	5,084
2014-11-05	$31.68	$29.00	31.1%	9.3%	46.1%	12.2%	33.5%	6.9%	-0.6%	893.8K	-10.6M	-66.8K	1.81	72.55	426	770	13,034	5,165
2014-11-06	$31.90	$29.00	30.1%	9.2%	46.0%	11.1%	34.0%	8.8%	-1.1%	942.6K	-10.8M	-64.6K	1.62	67.80	415	674	13,039	5,159
2014-11-07	$31.89	$29.00	27.3%	9.0%	44.5%	8.4%	33.3%	4.9%	2.5%	976.7K	-10.6M	-62.7K	1.59	58.37	427	681	13,064	5,158
2014-11-10	$31.80	$29.00	29.0%	8.9%	37.0%	10.1%	33.7%	4.0%	0.6%	936.8K	-10.2M	-59.0K	1.01	68.08	709	715	13,104	5,179
2014-11-11	$31.74	$29.00	27.2%	8.7%	33.1%	8.3%	33.0%	5.7%	1.5%	962.9K	-10.1M	-56.2K	1.03	70.55	694	712	12,998	4,835
2014-11-12	$31.71	$29.00	26.8%	8.6%	28.5%	7.9%	32.7%	6.5%	1.8%	966.5K	-9.7M	-57.9K	1.14	68.08	624	714	13,303	5,224
2014-11-13	$31.44	$29.00	29.9%	9.0%	25.8%	11.0%	32.5%	3.2%	2.4%	880.4K	-8.9M	-57.5K	2.14	71.76	339	724	13,303	5,234
2014-11-14	$31.25	$29.00	29.0%	9.0%	16.3%	10.1%	33.3%	3.9%	3.3%	793.4K	-7.5M	-53.6K	0.27	76.10	73	20	13,314	5,240
2014-11-17	$31.07	$29.00	29.1%	8.6%	16.3%	10.2%	32.2%	3.7%	2.3%	679.2K	-6.2M	-49.2K	1.96	72.17	363	710	13,311	5,241
2014-11-18	$30.27	$29.00	32.2%	9.1%	18.5%	13.2%	33.8%	7.8%	0.0%	441.8K	-1.8M	-45.0K	0.92	66.69	972	893	13,332	5,333
2014-11-19	$29.68	$29.00	32.1%	9.2%	17.3%	13.2%	31.5%	4.6%	0.8%	345.7K	-237.9K	-46.8K	0.60	78.68	101	61	13,872	5,504
2014-11-20	$29.76	$29.00	30.6%	9.0%	17.0%	11.6%	33.5%	4.7%	1.0%	325.2K	294.6K	-44.0K	0.86	71.89	924	794	13,546	5,463
2014-11-21	$30.44	$29.00	29.8%	8.9%	19.0%	10.9%	33.2%	6.7%	2.1%	437.4K	-2.0M	-44.7K	0.79	73.52	923	727	13,564	5,468
2014-11-24	$30.20	$29.00	29.9%	9.0%	18.5%	11.0%	27.8%	3.9%	1.1%	433.1K	-1.8M	-40.5K	0.42	77.61	325	135	12,095	4,691
2014-11-25	$29.98	$29.00	29.8%	8.9%	17.4%	10.9%	31.8%	6.1%	0.5%	408.9K	-1.4M	-40.4K	0.63	73.26	1,002	630	12,269	4,798
2014-11-26	$30.79	$29.00	28.5%	8.8%	19.9%	9.6%	30.7%	3.9%	-0.9%	665.4K	-4.6M	-46.6K	0.46	74.21	215	99	12,476	4,814
2014-11-28	$29.08	$29.00	36.3%	9.1%	28.0%	17.3%	32.4%	-0.3%	-2.8%	368.9K	-803.0K	-40.2K	1.06	77.64	70	74	12,612	4,840