CQP Options History — January 2015

In January 2015, CQP traded between $29.31 and $32.50. ATM implied volatility averaged 36.2%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded below realized volatility by 2.4% (HV 20d: 38.7%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.25.

Notable Days

2015-01-26: Highest Volume — 1,799 contracts
2015-01-12: Largest IV spike — 22.8% change
2015-01-13: Highest IV Rank — 24.9%
2015-01-06: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.17	$29.31	$32.50	$32.50	$31.64
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	36.2%	31.0%	44.0%	35.7%	31.7%
Expected Move	10.3%	9.1%	11.1%	9.7%	9.1%
HV 20d	38.7%	32.4%	41.5%	36.7%	36.5%
HV 60d	35.7%	33.8%	39.5%	38.1%	34.6%
IV Rank	17.2%	12.0%	24.9%	16.6%	12.7%
IV Percentile	89.0%	77.4%	98.4%	91.7%	77.4%
Term Structure	-0.2%	-2.6%	3.8%	-2.0%	3.4%
VWIV	35.5%	31.2%	38.2%	34.4%	34.5%
Skew 25d	8.9%	2.8%	14.8%	6.2%	13.1%
Skew 10d	15.2%	-0.6%	34.3%	11.5%	15.6%
Call IV 25d	31.6%	23.2%	36.7%	32.3%	27.8%
Put IV 25d	40.5%	34.0%	47.0%	38.5%	40.9%
Bid-Ask Spread %	82.62	66.36	97.32	66.36	94.17
Gamma HHI	0.20	0.12	0.26	0.22	0.26
Net GEX	302.9K	128.1K	478.7K	335.7K	478.7K
Net DEX	-4.8M	-7.9M	-964.4K	-7.1M	-7.9M
Net VEX	-33.4K	-41.1K	-28.2K	-34.4K	-41.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.03	4.23	0.94	0.76
Total Volume	800.55	52	1,799	972	1,411
Total OI	8,026.1	6,775	9,330	7,606	9,330

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
2015-01-02	$32.50	$30.00	35.7%	9.7%	36.7%	16.6%	34.4%	6.2%	-2.0%	335.7K	-7.1M	-34.4K	0.94	66.36	500	472	4,950	2,656
2015-01-05	$31.29	$30.00	39.1%	10.7%	39.6%	20.0%	37.2%	5.5%	-0.0%	282.5K	-5.2M	-33.1K	1.10	75.17	31	34	5,020	2,680
2015-01-06	$30.23	$30.00	38.5%	11.1%	41.1%	19.4%	37.9%	7.8%	-0.0%	233.4K	-3.3M	-31.8K	1.17	75.40	24	28	5,044	2,664
2015-01-07	$30.50	$30.00	38.4%	10.9%	36.7%	19.4%	38.1%	11.1%	-1.9%	258.1K	-3.5M	-31.3K	4.23	81.49	30	127	5,064	2,672
2015-01-08	$31.21	$30.00	31.0%	10.2%	36.5%	12.0%	35.3%	9.2%	-0.3%	331.5K	-4.8M	-32.6K	1.25	76.01	416	518	5,083	2,788
2015-01-09	$31.09	$30.00	34.0%	10.2%	32.4%	15.0%	37.7%	9.1%	-0.4%	317.8K	-4.4M	-32.1K	1.26	77.38	427	540	5,084	2,799
2015-01-12	$29.82	$30.00	41.7%	10.8%	36.5%	22.6%	38.2%	5.1%	-0.2%	221.0K	-2.5M	-29.5K	1.50	76.48	387	581	5,149	2,858
2015-01-13	$29.31	$30.00	44.0%	11.1%	37.1%	24.9%	37.7%	6.6%	-0.6%	128.1K	-964.4K	-28.2K	0.91	76.44	514	470	5,169	2,919
2015-01-14	$30.51	$30.00	35.5%	10.2%	39.4%	16.5%	37.1%	14.2%	1.3%	266.4K	-2.9M	-29.7K	1.02	77.89	438	448	5,096	2,918
2015-01-15	$29.92	$30.00	38.4%	11.0%	39.9%	19.3%	34.5%	9.2%	-0.9%	233.3K	-2.6M	-29.2K	0.81	80.42	568	462	5,111	2,882
2015-01-16	$30.50	$30.00	38.4%	11.0%	39.8%	19.4%	36.2%	7.6%	-2.2%	305.7K	-2.9M	-29.0K	0.38	78.51	414	156	5,257	2,897
2015-01-20	$31.79	$30.00	35.7%	10.2%	41.5%	16.6%	34.4%	12.0%	0.6%	200.4K	-4.0M	-31.6K	0.73	80.16	529	388	4,293	2,482
2015-01-21	$31.85	$30.00	36.9%	10.6%	40.9%	17.8%	33.8%	8.2%	-2.6%	258.8K	-5.1M	-32.9K	0.68	97.32	207	141	4,782	2,563
2015-01-22	$32.28	$30.00	33.7%	9.7%	40.8%	14.7%	34.0%	9.3%	-0.2%	302.9K	-5.7M	-34.0K	1.80	81.55	363	653	4,933	2,609
2015-01-23	$32.18	$30.00	34.5%	9.9%	40.4%	15.5%	34.1%	7.9%	-1.5%	318.2K	-5.8M	-33.5K	1.80	82.33	340	612	4,994	2,623
2015-01-26	$31.98	$30.00	32.8%	9.4%	40.5%	13.8%	31.2%	2.8%	3.3%	321.5K	-5.5M	-32.2K	0.03	92.94	1,755	44	5,006	2,617
2015-01-27	$31.85	$30.00	33.1%	9.5%	40.6%	14.2%	35.5%	14.8%	3.8%	430.6K	-7.5M	-41.0K	0.69	94.88	104	72	6,463	2,644
2015-01-28	$31.43	$30.00	35.2%	10.1%	38.7%	16.2%	34.5%	5.3%	-2.2%	402.6K	-7.2M	-40.5K	1.83	94.08	323	591	6,511	2,674
2015-01-29	$31.44	$30.00	36.4%	10.4%	38.1%	17.4%	33.4%	13.5%	-1.5%	430.2K	-6.8M	-40.0K	2.04	93.30	294	599	6,556	2,682
2015-01-30	$31.64	$30.00	31.7%	9.1%	36.5%	12.7%	34.5%	13.1%	3.4%	478.7K	-7.9M	-41.1K	0.76	94.17	803	608	6,638	2,692