ETQ Options History — January 2010

Name: ETQ Options Analytics - January 2010
Creator: Options Analysis Suite

In January 2010, ETQ traded between $7.97 and $8.28. ATM implied volatility averaged 37.6%. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 8.2% (HV 20d: 45.8%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.91.

Notable Days

2010-01-19: Highest Volume — 178 contracts
2010-01-07: Largest IV spike — 69.3% change
2010-01-11: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.12	$7.97	$8.28	$8.13	$8.02
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	37.6%	24.2%	64.0%	29.6%	29.8%
Expected Move	10.4%	8.1%	12.5%	11.0%	8.5%
HV 20d	45.8%	10.0%	55.6%	55.6%	10.0%
HV 60d	48.1%	41.6%	52.7%	52.7%	41.6%
Term Structure	-0.6%	-8.8%	9.3%	-8.8%	-4.8%
VWIV	40.6%	37.0%	42.9%	42.9%	37.0%
Bid-Ask Spread %	81.66	73.95	97.41	78.29	97.41
Gamma HHI	0.83	0.77	0.87	0.81	0.86
Net GEX	26.7K	24.9K	29.2K	27.8K	26.3K
Net DEX	-1.3M	-1.6M	-1.0M	-1.5M	-1.1M
Net VEX	-4.7K	-5.1K	-4.3K	-4.7K	-4.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.00	12.50	0.47	0.00
Total Volume	43.316	0	178	172	68
Total OI	4,052.316	3,675	4,326	4,172	3,854

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
2010-01-04	$8.13	$7.50	29.6%	11.0%	55.6%	0.0%	42.9%	0.0%	-8.8%	27.8K	-1.5M	-4.7K	0.47	78.29	117	55	3,111	1,061
2010-01-05	$8.16	$7.50	38.4%	11.3%	54.7%	0.0%	0.0%	0.0%	-4.5%	29.2K	-1.5M	-4.8K	0.13	78.67	31	4	3,141	1,116
2010-01-06	$8.22	$7.50	24.2%	10.3%	54.0%	0.0%	0.0%	0.0%	-0.1%	25.0K	-1.5M	-5.0K	0.00	73.95	20	0	3,172	1,120
2010-01-07	$8.21	$7.50	40.9%	11.9%	53.6%	0.0%	42.0%	0.0%	-5.3%	26.7K	-1.5M	-5.1K	0.38	79.04	13	5	3,192	1,120
2010-01-08	$8.23	$7.50	39.2%	12.0%	52.3%	0.0%	0.0%	0.0%	-2.9%	25.7K	-1.5M	-5.1K	0.00	79.69	22	0	3,196	1,125
2010-01-11	$8.21	$7.50	54.9%	12.5%	52.4%	0.0%	0.0%	0.0%	-4.8%	27.5K	-1.5M	-5.0K	0.00	78.54	15	0	3,205	1,121
2010-01-12	$8.14	$7.50	50.7%	12.3%	51.8%	0.0%	0.0%	0.0%	-4.7%	27.7K	-1.5M	-4.9K	0.00	79.25	30	0	3,201	1,121
2010-01-13	$8.23	$7.50	64.0%	9.8%	51.8%	0.0%	0.0%	0.0%	9.3%	28.5K	-1.5M	-4.8K	0.00	80.97	0	0	3,201	1,121
2010-01-14	$8.28	$7.50	34.8%	10.0%	51.1%	0.0%	0.0%	0.0%	-3.6%	28.7K	-1.6M	-4.7K	0.00	89.00	10	0	3,201	1,121
2010-01-15	$8.23	$7.50	34.7%	9.9%	49.2%	0.0%	0.0%	0.0%	-4.4%	26.0K	-1.5M	-4.8K	0.00	92.42	2	0	3,191	1,121
2010-01-19	$8.22	$7.50	28.2%	8.1%	49.2%	0.0%	0.0%	0.0%	0.9%	26.2K	-1.4M	-4.6K	0.00	95.20	178	0	2,791	1,071
2010-01-20	$8.09	$7.50	32.3%	9.2%	48.1%	0.0%	0.0%	0.0%	7.9%	28.2K	-1.2M	-4.6K	0.00	76.55	0	0	2,791	1,071
2010-01-21	$8.04	$7.50	38.6%	11.1%	45.9%	0.0%	37.0%	0.0%	-4.5%	24.9K	-1.1M	-4.4K	0.13	76.55	39	5	2,613	1,071
2010-01-22	$7.98	$7.50	35.4%	10.1%	45.7%	0.0%	0.0%	0.0%	2.4%	25.4K	-1.1M	-4.4K	12.50	76.72	4	50	2,604	1,071
2010-01-25	$8.00	$7.50	35.6%	10.2%	45.1%	0.0%	0.0%	0.0%	-3.1%	25.9K	-1.0M	-4.4K	0.00	81.46	74	0	2,604	1,121
2010-01-26	$7.97	$7.50	33.3%	9.5%	45.0%	0.0%	0.0%	0.0%	6.6%	26.1K	-1.0M	-4.4K	0.00	78.80	0	0	2,652	1,121
2010-01-27	$7.97	$7.50	34.0%	9.7%	45.0%	0.0%	0.0%	0.0%	6.3%	26.3K	-1.0M	-4.4K	0.00	80.48	0	55	2,652	1,121
2010-01-28	$8.00	$7.50	36.2%	10.4%	10.6%	0.0%	0.0%	0.0%	6.1%	25.1K	-1.0M	-4.4K	0.00	78.54	26	0	2,652	1,176
2010-01-29	$8.02	$7.50	29.8%	8.5%	10.0%	0.0%	0.0%	0.0%	-4.8%	26.3K	-1.1M	-4.3K	0.00	97.41	68	0	2,678	1,176