ETQ Options History — June 2016 In June 2016, ETQ traded between $32.15 and $34.75. ATM implied volatility averaged 12.5%, placing in the 3.0% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded below realized volatility by 6.6% (HV 20d: 19.1%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days.
Notable Days 2016-06-20 : Highest Volume — 1 contracts2016-06-23 : Largest IV spike — 63.2% change2016-06-23 : Highest IV Rank — 8.4%2016-06-08 : Largest Expected Move — 6.4%Monthly Statistics Metric Avg Min Max Open Close Price $33.62 $32.15 $34.75 $33.04 $34.24 ATM IV 12.5% 10.1% 17.7% 12.9% 16.3% Expected Move 4.4% 2.9% 6.4% 5.0% 3.8% HV 20d 19.1% 13.4% 29.9% 14.3% 29.9% HV 60d 290.1% 289.9% 290.4% 290.1% 290.4% IV Rank 3.0% 0.5% 8.4% 3.4% 7.0% IV Percentile 10.1% 1.4% 22.3% 12.1% 22.3% Term Structure -0.3% -4.1% 5.5% -3.6% -3.3% Skew 25d 3.0% -0.7% 5.2% 3.6% 3.4% Skew 10d 5.5% 2.3% 10.6% 5.5% 10.6% Call IV 25d 15.4% 13.0% 18.0% 14.9% 15.5% Put IV 25d 18.4% 16.3% 20.5% 18.5% 18.8% Bid-Ask Spread % 16.83 10.67 24.95 13.55 12.89 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -2 -29 0 0 -1 Net DEX 4 0 73 0 2 Net VEX 0 0 0 0 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.409 0 1 0 1 Total OI 0.409 0 1 0 1
Daily Data (22 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 2016-06-01 $33.04 $0.00 12.9% 5.0% 14.3% 3.4% 0.0% 3.6% 0.0% 0 0 0 0.00 13.55 0 0 0 0 2016-06-02 $33.23 $0.00 11.6% 4.7% 13.4% 2.1% 0.0% 4.3% -3.6% 0 0 0 0.00 13.73 0 0 0 0 2016-06-03 $33.72 $0.00 12.6% 5.3% 14.2% 3.1% 0.0% 3.3% -1.2% 0 0 0 0.00 13.95 0 0 0 0 2016-06-06 $34.18 $0.00 11.9% 5.6% 14.8% 2.3% 0.0% 4.4% 0.0% 0 0 0 0.00 14.51 0 0 0 0 2016-06-07 $34.53 $0.00 11.7% 5.8% 14.4% 2.2% 0.0% 2.9% 0.0% 0 0 0 0.00 10.67 0 0 0 0 2016-06-08 $34.75 $0.00 12.3% 6.4% 14.1% 2.8% 0.0% 3.9% 0.0% 0 0 0 0.00 11.71 0 0 0 0 2016-06-09 $34.38 $0.00 12.6% 4.7% 14.8% 3.1% 0.0% 3.5% 5.5% 0 0 0 0.00 18.35 0 0 0 0 2016-06-10 $33.67 $0.00 12.5% 3.3% 16.8% 3.0% 0.0% 5.2% -1.3% 0 0 0 0.00 17.24 0 0 0 0 2016-06-13 $33.15 $0.00 11.1% 2.9% 16.8% 1.5% 0.0% 4.3% 0.0% 0 0 0 0.00 19.78 0 0 0 0 2016-06-14 $32.85 $0.00 12.9% 3.6% 17.0% 3.4% 0.0% 4.0% 0.0% 0 0 0 0.00 24.95 0 0 0 0 2016-06-15 $33.35 $0.00 10.8% 3.1% 17.6% 1.2% 0.0% 2.8% 0.0% 0 0 0 0.00 16.19 0 0 0 0 2016-06-16 $32.85 $0.00 12.4% 3.6% 18.4% 2.9% 0.0% 1.4% 2.4% 0 0 0 0.00 16.40 0 0 0 0 2016-06-17 $33.17 $0.00 11.4% 3.5% 17.6% 1.8% 0.0% 3.5% -4.1% 0 0 0 0.00 19.61 0 0 0 0 2016-06-20 $33.97 $0.00 12.4% 4.0% 19.0% 2.8% 0.0% 4.6% 0.0% 0 0 0 0.00 21.60 0 1 0 1 2016-06-21 $34.03 $0.00 12.3% 3.9% 18.9% 2.8% 0.0% 2.3% 0.0% 0 0 0 0.00 16.67 0 1 0 1 2016-06-22 $34.01 $0.00 10.8% 3.8% 18.9% 1.2% 0.0% 1.8% 0.0% 0 0 0 0.00 18.73 0 1 0 1 2016-06-23 $34.45 $0.00 17.7% 5.8% 18.8% 8.4% 0.0% -0.7% -1.7% -2 3 0 0.00 17.83 0 1 0 1 2016-06-24 $32.97 $0.00 10.8% 4.4% 24.9% 1.1% 0.0% 3.9% 4.5% -8 16 0 0.00 20.80 0 1 0 1 2016-06-27 $32.15 $0.00 15.6% 4.1% 26.4% 6.3% 0.0% 1.8% 0.0% -29 73 0 0.00 18.22 0 1 0 1 2016-06-28 $33.04 $0.00 10.1% 4.5% 28.3% 0.5% 0.0% 1.1% 0.0% 0 0 0 0.00 16.10 0 1 0 1 2016-06-29 $33.91 $0.00 11.7% 5.0% 29.8% 2.2% 0.0% 1.1% 0.0% 0 0 0 0.00 16.86 0 1 0 1 2016-06-30 $34.24 $0.00 16.3% 3.8% 29.9% 7.0% 0.0% 3.4% -3.3% -1 2 0 0.00 12.89 0 1 0 1
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