CQP Options History — January 2016

In January 2016, CQP traded between $20.70 and $25.96. ATM implied volatility averaged 62.7%, placing in the 52.8% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded below realized volatility by 3.6% (HV 20d: 66.3%). Max pain ranged from $24.00 to $27.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.78.

Notable Days

2016-01-29: Highest Volume — 1,744 contracts
2016-01-12: Largest IV spike — 57.5% change
2016-01-12: Highest IV Rank — 100.0%
2016-01-19: Largest Expected Move — 18.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.60	$20.70	$25.96	$25.82	$23.17
Max Pain	$25.00	$24.00	$27.00	$24.00	$24.00
ATM IV	62.7%	50.0%	107.1%	54.9%	63.3%
Expected Move	16.0%	12.9%	18.9%	13.9%	18.2%
HV 20d	66.3%	53.9%	80.0%	80.0%	54.6%
HV 60d	53.3%	50.3%	56.9%	50.6%	56.9%
IV Rank	52.8%	35.7%	100.0%	49.1%	50.8%
IV Percentile	96.8%	91.7%	100.0%	97.6%	97.2%
Term Structure	-4.5%	-15.1%	5.4%	-5.0%	-2.6%
VWIV	51.5%	40.0%	62.5%	44.4%	56.1%
Skew 25d	15.6%	7.2%	23.1%	10.1%	15.1%
Skew 10d	28.5%	10.7%	45.8%	35.3%	37.7%
Call IV 25d	47.1%	38.8%	54.8%	43.1%	54.8%
Put IV 25d	62.7%	49.9%	73.1%	53.3%	69.8%
Bid-Ask Spread %	91.21	78.47	104.64	87.45	92.43
Gamma HHI	0.10	0.09	0.12	0.11	0.10
Net GEX	24.9K	245	63.6K	54.9K	24.8K
Net DEX	81.3K	-980.1K	1.0M	-980.1K	-199.4K
Net VEX	-9.4K	-12.7K	-5.7K	-10.8K	-12.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.50	0.92	0.87	0.78
Total Volume	1,398.421	1,047	1,744	1,310	1,744
Total OI	3,942.316	2,909	4,474	4,111	4,117

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
2016-01-04	$25.82	$24.00	54.9%	13.9%	80.0%	49.1%	44.4%	10.1%	-5.0%	54.9K	-980.1K	-10.8K	0.87	87.45	702	608	2,170	1,941
2016-01-05	$25.85	$24.00	51.2%	13.6%	78.6%	44.3%	42.7%	12.1%	-4.8%	61.4K	-814.3K	-10.2K	0.87	90.14	681	593	2,171	1,955
2016-01-06	$25.96	$25.00	52.8%	12.9%	68.5%	46.3%	41.1%	10.4%	-3.4%	63.6K	-872.8K	-10.3K	0.92	90.85	684	627	2,191	1,969
2016-01-07	$25.39	$27.00	60.6%	13.9%	69.4%	56.8%	41.8%	12.1%	-1.4%	53.9K	-697.8K	-10.3K	0.86	85.41	707	609	2,195	2,026
2016-01-08	$25.37	$27.00	68.3%	13.7%	67.0%	67.0%	40.0%	11.1%	-3.1%	57.0K	-704.0K	-10.2K	0.81	87.69	700	564	2,215	2,031
2016-01-11	$24.13	$27.00	68.0%	13.9%	69.7%	66.7%	46.6%	11.0%	-3.3%	29.1K	186.6K	-8.6K	0.81	99.78	714	575	2,230	2,041
2016-01-12	$23.58	$26.00	107.1%	12.9%	69.2%	100.0%	47.0%	20.8%	5.4%	2.8K	668.9K	-7.8K	0.86	104.64	779	668	2,241	2,062
2016-01-13	$22.82	$26.00	65.3%	18.7%	70.1%	53.0%	59.3%	20.8%	-15.1%	3.3K	525.5K	-8.5K	0.90	93.10	769	690	2,291	2,149
2016-01-14	$23.53	$26.00	50.0%	14.3%	70.4%	35.7%	54.3%	15.4%	-4.6%	12.7K	701.2K	-7.6K	0.88	80.55	762	669	2,314	2,132
2016-01-15	$23.33	$26.00	61.9%	17.7%	70.0%	49.1%	62.1%	7.2%	-11.8%	12.1K	533.7K	-8.3K	0.86	100.23	741	639	2,346	2,128
2016-01-19	$22.25	$25.00	65.8%	18.9%	66.1%	53.6%	50.3%	23.1%	-6.8%	3.8K	708.9K	-6.8K	0.61	92.54	650	397	1,833	1,076
2016-01-20	$20.70	$24.00	61.3%	17.6%	68.7%	48.4%	55.7%	19.8%	-2.7%	245	1.0M	-5.7K	0.54	102.81	760	413	1,988	1,093
2016-01-21	$22.01	$24.00	57.0%	16.3%	65.8%	43.6%	52.2%	17.4%	-4.4%	5.8K	706.2K	-7.5K	0.50	87.19	878	438	2,102	1,125
2016-01-22	$23.30	$24.00	56.3%	16.1%	67.0%	42.9%	52.9%	17.0%	-5.2%	19.1K	132.0K	-9.5K	0.62	78.47	851	531	2,239	1,147
2016-01-25	$22.62	$24.00	63.1%	18.1%	57.5%	50.5%	59.3%	22.4%	-1.0%	16.2K	210.7K	-9.6K	0.61	82.65	869	527	2,321	1,251
2016-01-26	$23.06	$24.00	59.6%	17.1%	57.6%	46.6%	53.2%	15.1%	-1.9%	19.9K	160.0K	-10.2K	0.85	84.80	896	761	2,446	1,271
2016-01-27	$22.93	$24.00	62.4%	17.9%	56.3%	49.7%	62.5%	18.9%	-7.5%	15.3K	210.5K	-11.8K	0.85	104.07	890	757	2,502	1,540
2016-01-28	$22.66	$24.00	62.4%	17.9%	53.9%	49.7%	57.9%	16.7%	-6.4%	17.4K	57.3K	-12.0K	0.78	88.13	972	755	2,516	1,539
2016-01-29	$23.17	$24.00	63.3%	18.2%	54.6%	50.8%	56.1%	15.1%	-2.6%	24.8K	-199.4K	-12.7K	0.78	92.43	978	766	2,565	1,552