ETQ Options History — December 2009

Name: ETQ Options Analytics - December 2009
Creator: Options Analysis Suite

In December 2009, ETQ traded between $5.77 and $8.19. ATM implied volatility averaged 81.3%. The 30-day expected move averaged 24.1%. IV traded above realized volatility by 41.3% (HV 20d: 40.0%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.29.

Notable Days

2009-12-29: Highest Volume — 3,414 contracts
2009-12-29: Largest IV drop — 82.8% change
2009-12-07: Largest Expected Move — 32.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.78	$5.77	$8.19	$6.14	$8.10
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	81.3%	15.7%	104.6%	75.5%	35.6%
Expected Move	24.1%	4.5%	32.3%	21.6%	10.2%
HV 20d	40.0%	30.4%	56.6%	41.6%	56.2%
HV 60d	53.5%	53.3%	53.8%	53.8%	53.3%
Term Structure	11.4%	-14.4%	41.6%	31.6%	-14.4%
VWIV	83.3%	32.5%	104.6%	101.0%	47.3%
Bid-Ask Spread %	84.01	60.32	114.67	113.61	60.32
Gamma HHI	0.65	0.53	0.90	0.81	0.89
Net GEX	5.2K	882	30.6K	882	30.6K
Net DEX	-312.7K	-1.4M	-66.6K	-66.6K	-1.4M
Net VEX	-814	-4.5K	-125	-255	-4.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.29	0.00	2.00	0.00	0.54
Total Volume	229.048	0	3,414	120	324
Total OI	854.333	272	3,931	272	3,931

Daily Data (21 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
2009-12-01	$6.14	$5.00	75.5%	21.6%	41.6%	0.0%	0.0%	0.0%	31.6%	882	-66.6K	-255	0.00	113.61	120	0	232	40
2009-12-02	$6.07	$5.00	83.2%	23.8%	38.4%	0.0%	0.0%	0.0%	21.1%	1.2K	-120.5K	-403	0.00	114.67	0	0	352	40
2009-12-03	$5.99	$5.00	85.2%	24.4%	34.3%	0.0%	0.0%	0.0%	19.3%	1.5K	-107.5K	-366	0.00	96.39	0	0	352	40
2009-12-04	$5.93	$5.00	83.5%	25.1%	32.9%	0.0%	0.0%	0.0%	17.0%	1.4K	-100.7K	-335	0.00	83.84	0	0	352	40
2009-12-07	$5.88	$5.00	91.3%	32.3%	30.5%	0.0%	0.0%	0.0%	-6.8%	1.4K	-100.0K	-345	0.00	77.95	40	0	352	40
2009-12-08	$5.77	$5.00	91.8%	31.3%	30.4%	0.0%	0.0%	0.0%	6.3%	1.4K	-110.6K	-380	0.00	71.49	0	0	392	40
2009-12-09	$5.97	$5.00	92.3%	30.0%	32.7%	0.0%	0.0%	0.0%	12.6%	1.6K	-117.4K	-393	0.00	76.79	0	0	392	40
2009-12-10	$6.25	$5.00	87.6%	25.1%	36.4%	0.0%	101.0%	0.0%	41.6%	1.5K	-140.1K	-436	0.67	68.15	30	20	392	40
2009-12-11	$6.35	$5.00	93.6%	26.8%	31.8%	0.0%	95.0%	0.0%	10.1%	1.7K	-151.6K	-458	0.00	80.78	6	0	422	40
2009-12-14	$6.58	$5.00	101.8%	29.2%	34.1%	0.0%	102.1%	0.0%	4.4%	1.8K	-169.6K	-461	0.00	87.38	27	0	428	40
2009-12-15	$6.93	$5.00	104.6%	30.0%	38.5%	0.0%	104.6%	0.0%	0.8%	2.1K	-197.9K	-492	0.00	85.09	40	0	455	40
2009-12-16	$7.05	$5.00	89.2%	25.6%	38.7%	0.0%	86.8%	0.0%	14.4%	2.8K	-213.0K	-516	0.00	87.66	215	0	495	40
2009-12-17	$6.85	$5.00	101.6%	29.1%	40.3%	0.0%	0.0%	0.0%	1.4%	3.4K	-236.6K	-568	0.00	73.11	0	0	616	40
2009-12-18	$7.19	$5.00	91.6%	26.3%	41.9%	0.0%	87.1%	0.0%	9.1%	4.0K	-250.5K	-560	2.00	95.00	10	20	616	40
2009-12-21	$7.35	$5.00	79.3%	22.7%	42.1%	0.0%	75.7%	0.0%	21.2%	4.9K	-265.5K	-558	0.00	98.56	90	0	626	50
2009-12-22	$7.23	$5.00	92.3%	26.4%	42.4%	0.0%	93.0%	0.0%	8.1%	4.8K	-276.7K	-583	0.00	62.39	49	0	686	50
2009-12-23	$7.18	$5.00	92.5%	26.5%	42.1%	0.0%	89.7%	0.0%	12.7%	5.0K	-284.6K	-624	0.16	89.71	61	10	713	50
2009-12-24	$7.25	$5.00	91.1%	26.1%	42.1%	0.0%	85.4%	0.0%	8.6%	5.4K	-290.7K	-652	0.00	102.23	84	0	757	60
2009-12-29	$8.19	$5.00	15.7%	4.5%	56.0%	0.0%	0.0%	0.0%	22.1%	2.5K	-547.4K	-125	0.38	62.27	2,479	935	848	60
2009-12-30	$8.10	$5.00	27.9%	8.0%	56.6%	0.0%	32.5%	0.0%	-1.6%	29.0K	-1.4M	-4.1K	0.59	76.75	157	93	2,807	895
2009-12-31	$8.10	$5.00	35.6%	10.2%	56.2%	0.0%	47.3%	0.0%	-14.4%	30.6K	-1.4M	-4.5K	0.54	60.32	211	113	2,950	981