ETQ Options History — May 2010 In May 2010, ETQ traded between $7.84 and $8.20. ATM implied volatility averaged 34.9%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 17.2% (HV 20d: 17.7%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.81.
Notable Days 2010-05-26 : Highest Volume — 70 contracts2010-05-05 : Largest IV spike — 46.2% change2010-05-10 : Highest IV Rank — 41.9%2010-05-06 : Largest Expected Move — 12.5%Monthly Statistics Metric Avg Min Max Open Close Price $8.08 $7.84 $8.20 $8.19 $8.10 Max Pain $7.00 $5.00 $7.50 $5.00 $7.50 ATM IV 34.9% 26.0% 52.9% 30.9% 39.5% Expected Move 9.3% 7.5% 12.5% 8.9% 11.3% HV 20d 17.7% 13.5% 19.6% 13.5% 19.1% HV 60d 32.5% 31.6% 33.0% 31.6% 33.0% IV Rank 21.7% 11.7% 41.9% 17.2% 26.8% IV Percentile 34.9% 12.1% 61.9% 26.4% 51.4% Term Structure -4.5% -14.2% 4.4% -7.1% -9.9% Skew 25d 12.2% 7.9% 16.0% 15.0% 7.9% Skew 10d 24.5% 10.1% 37.6% 37.6% 10.1% Call IV 25d 17.1% 13.7% 19.5% 19.5% 15.7% Put IV 25d 29.3% 23.6% 35.5% 34.5% 23.6% Bid-Ask Spread % 110.21 68.71 140.54 71.47 119.68 Gamma HHI 0.73 0.60 0.84 0.76 0.73 Net GEX -2.8K -3.7K -1.6K -3.2K -3.2K Net DEX -94.2K -158.5K -21.2K -133.4K -128.4K Net VEX -875 -1.1K -704 -874 -778 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.81 0.00 4.00 0.00 4.00 Total Volume 18.45 0 70 0 50 Total OI 1,029.3 1,004 1,075 1,075 1,066
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 2010-05-03 $8.19 $5.00 30.9% 8.9% 13.5% 17.2% 0.0% 0.0% -7.1% -3.2K -133.4K -874 0.00 71.47 0 0 478 597 2010-05-04 $8.08 $5.00 29.8% 8.5% 14.3% 15.9% 0.0% 0.0% -7.2% -3.6K -82.9K -980 0.00 68.71 3 0 468 597 2010-05-05 $8.06 $5.00 43.5% 12.5% 14.2% 31.4% 0.0% 0.0% -14.2% -3.1K -54.8K -1.1K 0.00 126.23 0 55 467 597 2010-05-06 $7.84 $5.00 43.6% 12.5% 16.7% 31.4% 0.0% 0.0% -10.0% -3.7K -21.2K -1.0K 0.00 140.54 0 0 467 564 2010-05-07 $7.93 $7.50 37.5% 8.5% 16.6% 24.6% 0.0% 0.0% -2.9% -3.6K -43.8K -979 0.00 117.09 0 40 467 564 2010-05-10 $8.13 $7.50 52.9% 8.7% 19.3% 41.9% 0.0% 0.0% 2.9% -2.8K -99.3K -833 0.00 119.17 0 0 467 538 2010-05-11 $8.20 $7.50 37.5% 8.2% 19.6% 24.6% 0.0% 0.0% -8.4% -2.0K -99.4K -901 0.00 103.50 10 0 467 538 2010-05-12 $8.19 $7.50 39.7% 7.5% 19.4% 27.0% 0.0% 0.0% -3.8% -1.6K -118.8K -891 0.00 98.25 0 0 467 538 2010-05-13 $8.19 $7.50 26.6% 7.6% 19.4% 12.3% 0.0% 0.0% 1.1% -2.6K -119.1K -763 0.00 97.08 0 40 467 538 2010-05-14 $8.18 $7.50 27.1% 7.8% 18.8% 12.9% 0.0% 0.0% -0.9% -2.6K -109.0K -872 0.00 95.97 0 0 467 558 2010-05-17 $8.13 $7.50 29.0% 8.3% 18.1% 15.0% 0.0% 0.0% -0.7% -3.0K -103.7K -836 0.00 115.28 0 0 467 558 2010-05-18 $8.14 $7.50 27.8% 8.0% 17.4% 13.6% 0.0% 0.0% 4.4% -1.9K -101.0K -905 0.00 93.74 0 0 467 558 2010-05-19 $8.07 $7.50 26.0% 7.5% 17.6% 11.7% 0.0% 0.0% -1.9% -2.4K -93.3K -897 0.00 112.12 0 0 467 558 2010-05-20 $7.98 $7.50 29.1% 8.3% 17.9% 15.1% 0.0% 0.0% -3.0% -2.5K -80.2K -911 0.00 115.92 0 40 467 558 2010-05-21 $8.08 $7.50 31.5% 9.0% 18.5% 17.8% 0.0% 0.0% -0.1% -3.0K -95.2K -823 0.00 122.68 0 0 467 550 2010-05-24 $8.06 $7.50 40.0% 11.5% 18.5% 27.4% 0.0% 15.0% -5.6% -2.8K -70.4K -830 0.00 130.28 0 15 454 550 2010-05-25 $7.98 $7.50 36.8% 10.5% 17.9% 23.8% 0.0% 16.0% -8.6% -3.1K -68.2K -874 0.00 121.46 0 0 454 560 2010-05-26 $8.00 $7.50 35.6% 10.2% 17.8% 22.5% 0.0% 0.0% -12.3% -3.0K -104.3K -753 2.50 120.22 20 50 454 560 2010-05-27 $8.16 $7.50 34.1% 9.8% 19.1% 20.8% 0.0% 10.0% -2.0% -3.3K -158.5K -704 2.54 114.80 13 33 464 596 2010-05-28 $8.10 $7.50 39.5% 11.3% 19.1% 26.8% 0.0% 7.9% -9.9% -3.2K -128.4K -778 4.00 119.68 10 40 467 599
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