CQP Options History — February 2015

In February 2015, CQP traded between $30.24 and $31.96. ATM implied volatility averaged 31.6%, placing in the 12.7% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded above realized volatility by 9.1% (HV 20d: 22.5%). Max pain ranged from $29.00 to $30.00. 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

2015-02-03: Highest Volume — 1,761 contracts
2015-02-23: Largest IV drop — 11.9% change
2015-02-10: Highest IV Rank — 17.2%
2015-02-17: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.17	$30.24	$31.96	$31.96	$30.59
Max Pain	$29.16	$29.00	$30.00	$30.00	$29.00
ATM IV	31.6%	26.3%	36.3%	32.0%	28.1%
Expected Move	9.0%	7.5%	9.9%	9.2%	8.1%
HV 20d	22.5%	14.0%	36.3%	36.3%	15.4%
HV 60d	34.3%	31.7%	35.1%	34.6%	31.7%
IV Rank	12.7%	7.4%	17.2%	13.0%	9.2%
IV Percentile	73.8%	48.8%	88.1%	78.2%	60.7%
Term Structure	0.6%	-2.3%	2.7%	2.7%	2.3%
VWIV	30.4%	24.4%	35.4%	28.6%	24.4%
Skew 25d	5.5%	0.8%	12.2%	12.2%	7.0%
Skew 10d	8.2%	-4.2%	23.0%	7.5%	11.7%
Call IV 25d	29.3%	22.6%	33.4%	25.1%	25.2%
Put IV 25d	34.8%	30.3%	37.8%	37.3%	32.2%
Bid-Ask Spread %	93.06	85.40	100.69	98.97	97.61
Gamma HHI	0.26	0.22	0.30	0.26	0.27
Net GEX	470.0K	286.0K	625.8K	506.6K	357.8K
Net DEX	-5.7M	-7.9M	-3.0M	-7.7M	-3.7M
Net VEX	-31.2K	-36.5K	-26.2K	-36.4K	-27.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.14	0.15	2.15	0.31	1.08
Total Volume	1,021.211	17	1,761	17	1,198
Total OI	9,171.632	8,008	9,698	8,924	8,819

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
2015-02-02	$31.96	$30.00	32.0%	9.2%	36.3%	13.0%	28.6%	12.2%	2.7%	506.6K	-7.7M	-36.4K	0.31	98.97	13	4	6,222	2,702
2015-02-03	$31.69	$30.00	31.6%	9.1%	33.7%	12.6%	30.1%	3.8%	-1.0%	513.4K	-7.7M	-36.1K	0.54	99.50	1,147	614	6,281	2,706
2015-02-04	$31.32	$30.00	32.0%	9.2%	31.4%	13.1%	32.1%	0.9%	1.6%	503.2K	-6.7M	-36.5K	0.54	100.69	1,140	614	6,641	2,720
2015-02-05	$31.69	$29.00	30.3%	9.3%	31.5%	11.4%	30.8%	7.9%	-0.6%	554.0K	-7.2M	-36.0K	0.91	89.87	601	546	6,650	2,721
2015-02-06	$31.55	$29.00	33.0%	9.3%	30.6%	14.0%	31.1%	6.5%	0.8%	539.2K	-7.2M	-36.0K	0.97	86.35	559	545	6,636	2,729
2015-02-09	$31.74	$29.00	35.4%	9.0%	30.6%	16.3%	33.5%	6.1%	0.8%	577.1K	-7.9M	-34.5K	1.36	85.40	409	555	6,655	2,730
2015-02-10	$31.43	$29.00	36.3%	9.8%	26.5%	17.2%	33.8%	6.1%	-0.2%	547.2K	-7.2M	-34.0K	1.34	88.73	409	550	6,674	2,739
2015-02-11	$31.17	$29.00	33.8%	9.7%	25.8%	14.8%	34.3%	1.7%	-1.0%	517.1K	-6.1M	-32.1K	1.67	90.29	344	573	6,674	2,741
2015-02-12	$31.65	$29.00	32.3%	9.3%	22.4%	13.3%	32.9%	7.1%	0.6%	625.8K	-7.3M	-32.6K	2.13	86.75	275	587	6,736	2,777
2015-02-13	$31.16	$29.00	34.1%	9.8%	21.9%	15.1%	31.6%	8.0%	-1.8%	528.1K	-5.7M	-30.8K	2.15	89.25	274	588	6,732	2,773
2015-02-17	$31.30	$29.00	34.4%	9.9%	21.0%	15.4%	35.4%	4.8%	-2.3%	574.7K	-5.9M	-28.5K	1.92	88.24	386	743	6,730	2,778
2015-02-18	$31.07	$29.00	33.8%	9.7%	14.8%	14.8%	32.2%	0.9%	0.3%	519.8K	-5.3M	-29.6K	1.70	94.70	423	720	6,809	2,816
2015-02-19	$30.96	$29.00	32.2%	9.2%	14.8%	13.2%	33.2%	5.2%	1.8%	439.2K	-4.7M	-27.2K	0.53	93.94	458	244	6,678	2,827
2015-02-20	$30.66	$29.00	29.8%	8.6%	14.0%	10.9%	28.0%	6.8%	1.7%	286.0K	-4.0M	-27.7K	0.15	93.38	213	33	6,693	3,005
2015-02-23	$30.56	$29.00	26.3%	7.5%	14.0%	7.4%	26.6%	4.1%	1.9%	296.6K	-3.4M	-26.4K	0.84	95.12	723	605	5,363	2,645
2015-02-24	$30.81	$29.00	26.8%	7.7%	14.4%	7.9%	26.3%	5.9%	2.4%	361.3K	-4.1M	-27.6K	1.02	96.44	563	577	5,728	2,680
2015-02-25	$30.71	$29.00	28.5%	8.2%	14.4%	9.6%	24.8%	8.6%	0.2%	374.1K	-4.2M	-27.4K	1.21	96.65	489	594	5,962	2,718
2015-02-26	$30.24	$29.00	29.9%	8.6%	14.7%	11.0%	28.0%	0.8%	0.7%	309.2K	-3.0M	-26.2K	1.28	96.33	477	610	6,029	2,742
2015-02-27	$30.59	$29.00	28.1%	8.1%	15.4%	9.2%	24.4%	7.0%	2.3%	357.8K	-3.7M	-27.1K	1.08	97.61	577	621	6,045	2,774