ETQ Options History — May 2016

In May 2016, ETQ traded between $31.83 and $34.24. ATM implied volatility averaged 12.0%, placing in the 2.5% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 351.5% (HV 20d: 363.6%). Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.05.

Notable Days

  • 2016-05-27: Highest Volume — 11 contracts
  • 2016-05-09: Largest IV spike — 31.2% change
  • 2016-05-09: Highest IV Rank — 7.1%
  • 2016-05-11: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.79$31.83$34.24$34.24$33.14
ATM IV12.0%10.2%16.4%10.2%11.9%
Expected Move4.4%2.8%6.9%3.8%4.6%
HV 20d363.6%15.3%503.4%501.4%16.4%
HV 60d290.2%290.0%290.3%290.0%290.2%
IV Rank2.5%0.5%7.1%0.5%2.3%
IV Percentile5.7%1.8%11.3%1.8%6.3%
Term Structure-1.8%-5.3%-0.2%-1.5%-5.3%
Skew 25d2.8%0.7%5.6%1.2%5.1%
Skew 10d6.6%2.8%11.9%8.5%7.2%
Call IV 25d15.7%13.5%17.5%16.1%13.5%
Put IV 25d18.5%16.7%20.0%17.3%18.6%
Bid-Ask Spread %29.2517.6548.8239.3818.08
Gamma HHI1.001.001.001.001.00
Net GEX11302.4K00
Net DEX-3.0K-33.1K000
Net VEX-0-4000
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.050.000.100.000.10
Total Volume101100
Total OI0.95201000

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$34.24$0.0010.2%3.8%501.4%0.5%0.0%1.2%0.0%0000.0039.380000
2016-05-03$33.46$0.0010.2%4.0%502.1%0.6%0.0%0.7%0.0%0000.0048.820000
2016-05-04$32.95$0.0010.5%5.2%502.5%0.9%0.0%4.9%0.0%0000.0029.040000
2016-05-05$32.87$0.0012.6%5.3%502.1%3.1%0.0%2.5%-1.5%0000.0021.840000
2016-05-06$32.80$0.0012.5%5.4%502.1%3.0%0.0%2.0%-3.0%0000.0023.730000
2016-05-09$32.50$0.0016.4%5.5%502.5%7.1%0.0%1.6%0.0%0000.0024.300000
2016-05-10$32.91$0.0012.2%6.4%502.4%2.7%0.0%1.0%0.0%0000.0018.860000
2016-05-11$33.04$0.0012.7%6.9%502.5%3.2%0.0%1.6%0.0%0000.0019.640000
2016-05-12$32.92$0.0012.5%3.3%502.5%3.0%0.0%2.9%-0.6%0000.0028.800000
2016-05-13$32.41$0.0010.6%2.8%502.9%1.0%0.0%3.1%-0.8%0000.0036.940000
2016-05-16$32.68$0.0012.6%3.5%502.9%3.1%0.0%2.2%0.0%0000.0038.300000
2016-05-17$32.53$0.0010.8%3.0%502.9%1.2%0.0%1.4%0.0%0000.0041.350000
2016-05-18$32.31$0.0010.6%3.0%503.1%1.0%0.0%2.4%0.0%0000.0031.760000
2016-05-19$31.83$0.0012.7%3.7%503.4%3.1%0.0%1.1%-0.2%0000.0040.010000
2016-05-20$32.22$0.0010.9%3.2%503.2%1.3%0.0%2.9%-1.3%0000.0032.420000
2016-05-23$32.21$0.0011.8%3.4%15.3%2.3%0.0%5.5%0.0%0000.0025.860000
2016-05-24$32.45$0.0012.3%5.8%15.4%2.7%0.0%4.0%0.0%0000.0021.490000
2016-05-25$32.90$0.0013.2%4.2%16.3%3.7%0.0%4.2%0.0%0000.0022.170000
2016-05-26$33.04$0.0012.9%4.2%16.5%3.4%0.0%3.5%-1.8%2.4K-29.2K-40.0017.65100100
2016-05-27$33.15$0.0012.4%4.3%16.4%2.9%0.0%5.6%-5.3%0-33.1K00.1033.91101100
2016-05-31$33.14$0.0011.9%4.6%16.4%2.3%0.0%5.1%0.0%0000.0018.080000