ETQ Options History — November 2009 In November 2009, ETQ traded between $5.32 and $6.36. ATM implied volatility averaged 77.0%. The 30-day expected move averaged 21.5%. IV traded above realized volatility by 24.1% (HV 20d: 52.9%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2009-11-23 : Highest Volume — 50 contracts2009-11-03 : Largest IV spike — 20.3% change2009-11-06 : Largest Expected Move — 24.5%Monthly Statistics Metric Avg Min Max Open Close Price $6.04 $5.32 $6.36 $5.32 $5.91 Max Pain $5.00 $5.00 $5.00 $5.00 $5.00 ATM IV 77.0% 65.3% 87.8% 65.3% 80.4% Expected Move 21.5% 17.1% 24.5% 18.7% 23.1% HV 20d 52.9% 41.4% 62.0% 62.0% 41.4% Term Structure 13.5% -15.6% 42.6% 19.7% 15.6% Bid-Ask Spread % 111.75 99.34 120.98 120.98 113.39 Gamma HHI 0.71 0.52 0.81 0.75 0.77 Net GEX 374 79 965 145 927 Net DEX -23.6K -54.3K -3.6K -5.6K -42.6K Net VEX -110 -196 -47 -47 -176 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 10.5 0 50 20 30 Total OI 128 64 244 64 244
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 2009-11-02 $5.32 $0.00 65.3% 18.7% 0.0% 0.0% 0.0% 0.0% 19.7% 145 -5.6K -47 0.00 120.98 0 20 54 10 2009-11-03 $5.61 $0.00 78.6% 22.5% 0.0% 0.0% 0.0% 0.0% 4.8% 79 -3.6K -66 0.00 119.26 0 0 54 30 2009-11-04 $5.91 $0.00 82.0% 23.5% 0.0% 0.0% 0.0% 0.0% -15.6% 168 -5.3K -71 0.00 119.26 10 0 54 30 2009-11-05 $6.08 $0.00 72.3% 20.7% 0.0% 0.0% 0.0% 0.0% -5.3% 229 -12.6K -86 0.00 114.39 0 0 64 30 2009-11-06 $5.87 $5.00 78.8% 24.5% 0.0% 0.0% 0.0% 0.0% 5.1% 193 -11.0K -78 0.00 99.34 0 0 64 30 2009-11-09 $5.98 $5.00 83.9% 22.0% 0.0% 0.0% 0.0% 0.0% -2.4% 208 -12.8K -83 0.00 106.17 0 0 64 30 2009-11-10 $6.04 $5.00 80.9% 17.1% 0.0% 0.0% 0.0% 0.0% 36.8% 243 -11.4K -82 0.00 113.34 0 0 64 30 2009-11-11 $5.98 $5.00 87.8% 20.9% 0.0% 0.0% 0.0% 0.0% 8.9% 211 -12.2K -78 0.00 113.93 0 0 64 30 2009-11-12 $6.30 $5.00 79.7% 22.9% 0.0% 0.0% 0.0% 0.0% 7.7% 232 -16.4K -90 0.00 101.69 0 0 64 30 2009-11-13 $6.33 $5.00 76.4% 21.9% 62.0% 0.0% 0.0% 0.0% 10.2% 230 -17.1K -89 0.00 106.08 0 0 64 30 2009-11-16 $6.35 $5.00 77.9% 22.3% 59.9% 0.0% 0.0% 0.0% 11.1% 221 -17.4K -87 0.00 105.75 0 0 64 30 2009-11-17 $6.36 $5.00 71.7% 20.6% 58.0% 0.0% 0.0% 0.0% 42.6% 208 -18.3K -88 0.00 113.59 0 0 64 30 2009-11-18 $6.31 $5.00 82.5% 23.6% 56.4% 0.0% 0.0% 0.0% 17.8% 200 -18.1K -88 0.00 106.19 40 0 64 30 2009-11-19 $6.17 $5.00 69.4% 19.9% 55.5% 0.0% 0.0% 0.0% 22.0% 490 -33.7K -99 0.00 112.54 30 0 104 30 2009-11-20 $6.17 $5.00 68.3% 19.6% 54.0% 0.0% 0.0% 0.0% 23.7% 470 -44.2K -160 0.00 112.59 0 0 134 30 2009-11-23 $6.09 $5.00 74.2% 21.3% 49.9% 0.0% 0.0% 0.0% 27.6% 520 -42.6K -148 0.00 113.34 50 0 134 30 2009-11-24 $6.02 $5.00 74.9% 21.5% 50.1% 0.0% 0.0% 0.0% 4.1% 656 -54.3K -196 0.00 114.64 0 10 184 30 2009-11-25 $6.08 $5.00 75.0% 21.5% 47.5% 0.0% 0.0% 0.0% 24.3% 878 -46.9K -190 0.00 114.44 20 0 184 40 2009-11-27 $5.91 $5.00 80.0% 22.9% 46.7% 0.0% 0.0% 0.0% 12.1% 965 -45.0K -190 0.00 114.16 0 0 204 40 2009-11-30 $5.91 $5.00 80.4% 23.1% 41.4% 0.0% 0.0% 0.0% 15.6% 927 -42.6K -176 0.00 113.39 30 0 204 40
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