CQP Options History — November 2015

In November 2015, CQP traded between $25.08 and $28.19. ATM implied volatility averaged 34.8%, placing in the 63.3% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 6.5% (HV 20d: 28.4%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.75.

Notable Days

2015-11-17: Highest Volume — 2,029 contracts
2015-11-09: Largest IV spike — 17.2% change
2015-11-27: Highest IV Rank — 84.7%
2015-11-27: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.44	$25.08	$28.19	$27.74	$25.70
Max Pain	$27.95	$27.00	$29.00	$27.00	$28.00
ATM IV	34.8%	29.8%	40.4%	32.6%	37.3%
Expected Move	9.9%	8.5%	11.6%	9.3%	10.7%
HV 20d	28.4%	25.8%	30.0%	28.6%	26.7%
HV 60d	31.5%	30.8%	32.2%	31.9%	31.0%
IV Rank	63.3%	44.2%	84.7%	54.8%	72.8%
IV Percentile	74.6%	49.6%	95.2%	65.5%	84.9%
Term Structure	-1.0%	-4.1%	3.1%	-0.8%	-0.8%
VWIV	33.7%	28.1%	38.9%	33.1%	38.7%
Skew 25d	6.3%	2.1%	10.6%	6.4%	8.9%
Skew 10d	9.6%	-8.5%	25.8%	19.4%	23.2%
Call IV 25d	31.7%	26.6%	36.3%	30.0%	31.9%
Put IV 25d	38.1%	30.6%	42.0%	36.4%	40.7%
Bid-Ask Spread %	86.02	78.71	98.30	86.60	95.76
Gamma HHI	0.16	0.12	0.21	0.20	0.14
Net GEX	19.8K	-60.7K	132.6K	118.2K	24.0K
Net DEX	1.0M	-1.6M	2.7M	-185.9K	2.0M
Net VEX	-12.0K	-17.6K	-7.2K	-16.8K	-8.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.27	2.53	0.59	2.53
Total Volume	1,199.5	56	2,029	1,620	67
Total OI	6,052.05	4,765	6,680	5,454	5,109

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
2015-11-02	$27.74	$27.00	32.6%	9.3%	28.6%	54.8%	33.1%	6.4%	-0.8%	118.2K	-185.9K	-16.8K	0.59	86.60	1,021	599	3,665	1,789
2015-11-03	$28.01	$27.00	32.1%	9.2%	28.8%	52.9%	33.4%	10.6%	0.1%	130.0K	-1.2M	-16.5K	0.78	91.74	1,025	801	3,978	2,101
2015-11-04	$28.19	$27.00	32.3%	9.3%	28.4%	53.8%	30.7%	6.4%	1.9%	132.6K	-1.6M	-17.6K	0.65	86.66	1,024	662	4,010	2,298
2015-11-05	$27.50	$28.00	35.1%	9.7%	27.8%	64.5%	31.2%	6.1%	-1.7%	84.0K	-517.1K	-16.7K	0.69	83.62	972	675	4,079	2,340
2015-11-06	$27.52	$28.00	30.8%	9.5%	27.8%	48.0%	33.8%	6.3%	-2.1%	59.4K	-207.8K	-15.6K	0.59	83.90	130	77	4,080	2,340
2015-11-09	$26.96	$28.00	36.1%	9.8%	28.5%	68.2%	32.7%	8.7%	-0.2%	31.7K	266.2K	-14.5K	0.27	87.19	44	12	4,204	2,403
2015-11-10	$27.06	$28.00	35.6%	9.7%	27.6%	66.5%	31.8%	8.7%	-2.1%	30.1K	333.0K	-14.1K	0.39	79.47	913	354	4,239	2,415
2015-11-11	$26.90	$28.00	29.8%	8.5%	26.4%	44.2%	28.1%	3.3%	3.1%	23.0K	499.3K	-13.7K	0.39	98.30	897	354	4,262	2,418
2015-11-12	$25.84	$28.00	34.5%	9.9%	28.9%	62.3%	36.3%	7.0%	-0.5%	-29.5K	1.6M	-11.5K	0.78	81.26	824	640	4,230	2,419
2015-11-13	$25.72	$28.00	35.7%	10.2%	27.6%	66.9%	33.7%	3.1%	-0.5%	-35.5K	1.8M	-10.7K	0.54	81.44	1,176	631	4,197	2,119
2015-11-16	$26.38	$29.00	36.4%	10.4%	29.8%	69.5%	36.1%	5.6%	-1.9%	-24.2K	1.9M	-11.8K	1.99	85.69	107	213	4,006	2,109
2015-11-17	$26.09	$28.00	35.0%	10.0%	29.9%	64.2%	33.8%	2.2%	-1.2%	-38.5K	1.6M	-10.9K	0.65	82.68	1,231	798	4,281	2,235
2015-11-18	$25.96	$28.00	35.7%	10.2%	29.4%	66.8%	32.9%	7.8%	-1.7%	-60.4K	2.0M	-10.2K	0.57	84.13	1,288	737	4,281	2,240
2015-11-19	$25.61	$28.00	34.2%	9.8%	29.5%	61.1%	34.3%	2.1%	-0.6%	-60.7K	2.4M	-8.9K	0.58	83.78	1,223	708	4,210	2,242
2015-11-20	$25.08	$28.00	36.1%	10.3%	30.0%	68.2%	33.9%	6.9%	-2.3%	-23.9K	2.7M	-7.9K	0.80	86.06	905	720	4,211	2,240
2015-11-23	$25.10	$29.00	36.3%	10.4%	25.8%	68.8%	32.1%	6.0%	-2.0%	-5.7K	2.5M	-7.2K	0.33	82.84	58	19	3,039	1,726
2015-11-24	$26.00	$28.00	35.1%	10.1%	29.3%	64.6%	35.1%	6.6%	-4.1%	3.6K	1.9M	-9.2K	0.32	78.71	137	44	3,093	1,731
2015-11-25	$25.77	$28.00	35.0%	10.0%	28.3%	64.2%	33.8%	6.0%	0.8%	14.7K	1.1M	-9.2K	0.79	90.10	811	639	3,533	1,758
2015-11-27	$25.57	$28.00	40.4%	11.6%	28.2%	84.7%	38.9%	7.4%	-3.7%	22.2K	1.2M	-9.0K	0.75	90.41	830	624	3,647	1,764
2015-11-30	$25.70	$28.00	37.3%	10.7%	26.7%	72.8%	38.7%	8.9%	-0.8%	24.0K	2.0M	-8.5K	2.53	95.76	19	48	3,345	1,764