ETQ Options History — June 2010

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

In June 2010, ETQ traded between $8.07 and $8.40. ATM implied volatility averaged 33.4%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 16.8% (HV 20d: 16.5%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 0 of 15 trading days. Term structure was in contango for 0 of 15 days. Put/call ratio averaged 1.68.

Notable Days

2010-06-09: Highest Volume — 50 contracts
2010-06-10: Largest IV drop — 42.5% change
2010-06-09: Highest IV Rank — 36.5%
2010-06-03: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.26	$8.07	$8.40	$8.12	$8.36
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	33.4%	22.6%	48.1%	35.3%	31.1%
Expected Move	7.9%	5.8%	10.6%	10.1%	8.9%
HV 20d	16.5%	14.7%	19.1%	19.1%	14.7%
HV 60d	28.9%	15.8%	33.6%	33.0%	15.9%
IV Rank	19.9%	7.8%	36.5%	22.1%	17.3%
IV Percentile	31.6%	2.5%	61.3%	39.6%	30.1%
Term Structure	-8.7%	-14.4%	-4.3%	-7.9%	-13.2%
VWIV	22.8%	17.9%	27.8%	17.9%	27.8%
Skew 25d	-1.0%	-6.7%	5.1%	5.1%	-1.9%
Skew 10d	7.0%	1.2%	22.3%	15.5%	15.9%
Call IV 25d	23.3%	10.5%	33.2%	11.4%	33.2%
Put IV 25d	22.3%	13.0%	33.2%	16.5%	31.3%
Bid-Ask Spread %	74.88	24.02	114.61	114.61	85.34
Gamma HHI	0.79	0.61	0.95	0.74	0.64
Net GEX	-3.9K	-5.9K	-2.1K	-3.7K	-2.6K
Net DEX	-165.9K	-189.2K	-126.6K	-144.5K	-171.0K
Net VEX	-674	-762	-528	-733	-762
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.68	0.00	2.40	2.40	0.00
Total Volume	11.8	0	50	20	0
Total OI	1,157.8	1,116	1,182	1,116	1,175

Daily Data (15 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
2010-06-01	$8.12	$7.50	35.3%	10.1%	19.1%	22.1%	0.0%	5.1%	-7.9%	-3.7K	-144.5K	-733	0.00	114.61	0	20	477	639
2010-06-02	$8.23	$7.50	36.2%	10.4%	19.0%	23.1%	0.0%	-5.3%	-9.9%	-4.5K	-176.3K	-568	0.00	94.44	0	0	477	649
2010-06-03	$8.24	$7.50	37.1%	10.6%	19.0%	24.1%	0.0%	2.6%	-10.3%	-4.5K	-180.2K	-528	0.00	93.85	0	20	477	649
2010-06-04	$8.07	$7.50	46.2%	6.1%	17.7%	34.3%	0.0%	-1.1%	-13.9%	-5.5K	-126.6K	-751	2.40	79.67	10	24	477	649
2010-06-07	$8.07	$7.50	39.3%	5.8%	17.3%	26.6%	17.9%	-5.1%	-7.1%	-5.9K	-146.5K	-699	0.00	70.75	0	3	487	673
2010-06-08	$8.16	$7.50	44.2%	6.3%	15.3%	32.1%	0.0%	-6.7%	-6.7%	-4.8K	-158.7K	-680	0.00	72.92	0	0	487	670
2010-06-09	$8.20	$7.50	48.1%	7.8%	15.1%	36.5%	0.0%	-3.0%	-14.4%	-4.6K	-146.2K	-746	2.33	105.48	15	35	487	670
2010-06-10	$8.31	$7.50	27.7%	7.9%	15.8%	13.5%	0.0%	-3.6%	-9.2%	-4.7K	-162.9K	-674	2.00	82.17	10	20	497	675
2010-06-11	$8.28	$7.50	22.6%	6.5%	15.9%	7.8%	0.0%	-0.3%	-4.3%	-3.6K	-172.0K	-680	0.00	65.93	0	0	497	685
2010-06-14	$8.29	$7.50	26.6%	7.6%	15.9%	12.3%	27.8%	0.8%	-10.6%	-3.3K	-166.2K	-707	0.00	24.19	10	0	497	685
2010-06-15	$8.38	$7.50	25.4%	7.3%	16.1%	11.0%	0.0%	0.8%	-5.1%	-3.1K	-184.8K	-632	0.00	71.38	0	0	487	685
2010-06-16	$8.35	$7.50	26.4%	7.6%	16.2%	12.1%	0.0%	0.9%	-6.9%	-3.1K	-179.2K	-637	0.00	69.00	0	0	487	685
2010-06-17	$8.37	$7.50	26.5%	7.6%	15.7%	12.1%	0.0%	-0.1%	-6.3%	-3.0K	-184.3K	-624	0.00	24.02	0	0	487	685
2010-06-18	$8.40	$7.50	28.1%	8.0%	15.0%	14.0%	0.0%	2.5%	-5.1%	-2.1K	-189.2K	-687	0.00	69.44	0	10	487	685
2010-06-21	$8.36	$7.50	31.1%	8.9%	14.7%	17.3%	0.0%	-1.9%	-13.2%	-2.6K	-171.0K	-762	0.00	85.34	0	0	487	688