CQP Options History — May 2015

In May 2015, CQP traded between $31.90 and $33.48. ATM implied volatility averaged 21.9%, placing in the 3.0% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 7.5% (HV 20d: 14.4%). Max pain ranged from $31.00 to $31.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 2.33.

Notable Days

2015-05-15: Highest Volume — 3,216 contracts
2015-05-11: Largest IV spike — 14.8% change
2015-05-12: Highest IV Rank — 6.8%
2015-05-06: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.61	$31.90	$33.48	$32.11	$33.14
Max Pain	$31.00	$31.00	$31.00	$31.00	$31.00
ATM IV	21.9%	19.7%	25.6%	22.4%	22.8%
Expected Move	6.3%	5.7%	6.8%	6.4%	6.5%
HV 20d	14.4%	10.8%	16.1%	16.1%	14.2%
HV 60d	15.3%	14.6%	15.8%	15.7%	15.1%
IV Rank	3.0%	0.7%	6.8%	3.6%	3.7%
IV Percentile	16.6%	1.6%	41.7%	17.5%	24.6%
Term Structure	0.8%	-0.8%	2.2%	0.6%	0.0%
VWIV	22.2%	18.9%	25.7%	23.2%	25.7%
Skew 25d	4.1%	2.4%	5.7%	3.5%	4.7%
Skew 10d	12.9%	3.0%	19.7%	9.8%	14.2%
Call IV 25d	20.5%	17.7%	22.8%	21.2%	21.2%
Put IV 25d	24.7%	21.3%	27.1%	24.6%	25.9%
Bid-Ask Spread %	92.45	88.98	96.35	96.35	91.06
Gamma HHI	0.32	0.21	0.63	0.35	0.21
Net GEX	641.5K	400.8K	1.2M	613.2K	494.8K
Net DEX	-1.2M	-5.6M	2.9M	-5.0M	2.8M
Net VEX	-23.2K	-25.8K	-20.8K	-25.8K	-22.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.33	0.00	6.50	1.11	0.82
Total Volume	1,369.25	26	3,216	1,059	2,099
Total OI	8,114.45	7,084	9,409	7,084	9,128

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
2015-05-01	$32.11	$31.00	22.4%	6.4%	16.1%	3.6%	23.2%	3.5%	0.6%	613.2K	-5.0M	-25.8K	1.11	96.35	502	557	4,764	2,320
2015-05-04	$32.17	$31.00	22.5%	6.7%	16.0%	3.7%	22.0%	4.8%	1.0%	702.1K	-5.4M	-25.2K	0.11	90.20	47	5	4,766	2,351
2015-05-05	$32.08	$31.00	22.8%	6.8%	15.8%	4.0%	23.8%	4.4%	0.5%	694.8K	-5.3M	-25.1K	1.54	89.09	356	547	4,835	2,351
2015-05-06	$31.90	$31.00	21.1%	6.8%	15.7%	2.3%	23.7%	3.5%	0.7%	699.9K	-4.8M	-24.7K	1.58	92.26	353	556	4,871	2,366
2015-05-07	$31.99	$31.00	21.0%	6.5%	14.9%	2.3%	23.4%	4.1%	1.7%	724.5K	-4.5M	-24.1K	1.74	91.14	341	593	4,877	2,377
2015-05-08	$31.90	$31.00	21.1%	6.6%	14.9%	2.3%	22.7%	4.1%	0.5%	757.0K	-4.4M	-23.6K	0.00	93.30	26	0	4,831	2,342
2015-05-11	$32.04	$31.00	24.2%	6.5%	14.9%	5.4%	21.9%	5.3%	0.5%	843.2K	-4.9M	-22.6K	3.23	92.53	64	207	4,852	2,342
2015-05-12	$32.23	$31.00	25.6%	6.6%	14.9%	6.8%	21.4%	3.0%	0.4%	923.5K	-5.6M	-22.4K	1.67	95.30	398	665	4,942	2,363
2015-05-13	$31.93	$31.00	22.4%	6.4%	11.2%	3.6%	22.3%	4.6%	0.7%	935.5K	-4.7M	-22.0K	6.11	95.57	435	2,658	4,955	2,369
2015-05-14	$31.98	$31.00	21.8%	6.3%	10.8%	3.1%	21.7%	5.0%	1.2%	1.2M	1.8M	-22.2K	6.50	94.48	407	2,644	4,966	4,417
2015-05-15	$32.80	$31.00	19.7%	5.7%	12.9%	0.7%	20.5%	4.0%	1.4%	400.8K	-836.9K	-20.8K	4.59	93.44	575	2,641	4,981	4,428
2015-05-18	$33.40	$31.00	20.0%	5.7%	14.1%	0.9%	18.9%	4.2%	1.0%	409.5K	480.1K	-21.2K	0.25	91.63	582	144	3,669	3,857
2015-05-19	$33.48	$31.00	20.5%	5.9%	14.0%	1.5%	20.2%	2.4%	1.9%	495.2K	275.6K	-22.2K	4.64	92.41	155	719	4,072	3,941
2015-05-20	$33.11	$31.00	21.1%	6.1%	14.5%	2.1%	22.2%	3.5%	1.1%	453.1K	2.9M	-23.8K	2.66	94.31	379	1,007	4,175	4,646
2015-05-21	$33.11	$31.00	20.1%	5.8%	14.5%	1.1%	21.6%	3.7%	2.2%	465.4K	2.9M	-23.7K	2.82	88.98	351	991	4,242	4,650
2015-05-22	$33.05	$31.00	20.3%	5.8%	14.5%	1.2%	20.6%	4.8%	1.0%	477.3K	2.7M	-23.7K	2.17	92.18	447	972	4,265	4,661
2015-05-26	$33.26	$31.00	23.0%	6.6%	14.5%	3.9%	22.5%	5.7%	-0.8%	499.4K	2.5M	-23.3K	2.06	90.50	468	966	4,397	4,679
2015-05-27	$33.23	$31.00	22.4%	6.4%	14.6%	3.4%	22.1%	3.3%	0.3%	531.2K	2.6M	-22.5K	2.20	91.16	437	963	4,441	4,676
2015-05-28	$33.34	$31.00	22.7%	6.5%	14.6%	3.6%	23.1%	3.6%	0.3%	529.3K	2.2M	-22.5K	0.80	93.04	1,181	947	4,457	4,667
2015-05-29	$33.14	$31.00	22.8%	6.5%	14.2%	3.7%	25.7%	4.7%	0.0%	494.8K	2.8M	-22.8K	0.82	91.06	1,152	947	4,451	4,677