ETQ Options History — April 2016

In April 2016, ETQ traded between $34.34 and $34.71. ATM implied volatility averaged 10.7%, placing in the 0.7% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 490.5% (HV 20d: 501.1%). Net GEX was positive for 0 of 5 trading days. Term structure was in contango for 0 of 5 days.

Notable Days

  • 2016-04-29: Largest IV drop — 19.9% change
  • 2016-04-28: Highest IV Rank — 2.1%
  • 2016-04-28: Largest Expected Move — 4.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.53$34.34$34.71$34.36$34.34
ATM IV10.7%9.7%12.1%10.1%9.7%
Expected Move3.6%3.2%4.1%3.2%3.4%
HV 20d501.1%500.9%501.3%501.3%501.3%
HV 60d289.9%289.9%290.0%289.9%290.0%
IV Rank0.7%0.0%2.1%0.0%0.0%
IV Percentile0.7%0.0%1.8%0.0%0.0%
Term Structure-1.2%-1.9%-0.5%-1.9%-0.5%
Skew 25d1.6%0.6%3.3%1.8%1.3%
Skew 10d5.6%3.2%9.3%9.3%8.0%
Call IV 25d15.8%14.7%16.6%15.8%16.6%
Put IV 25d17.4%15.9%18.0%17.6%17.9%
Bid-Ask Spread %39.0637.0843.9037.0837.50
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (5 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-25$34.36$0.0010.1%3.2%501.3%0.0%0.0%1.8%0.0%0000.0037.080000
2016-04-26$34.57$0.0010.1%3.3%500.9%0.0%0.0%1.1%0.0%0000.0043.900000
2016-04-27$34.71$0.0011.4%3.9%500.9%1.4%0.0%0.6%0.0%0000.0038.860000
2016-04-28$34.69$0.0012.1%4.1%501.2%2.1%0.0%3.3%-1.9%0000.0037.950000
2016-04-29$34.34$0.009.7%3.4%501.3%0.0%0.0%1.3%-0.5%0000.0037.500000