ETQ Options History — July 2016 In July 2016, ETQ traded between $33.60 and $36.10. ATM implied volatility averaged 11.4%, placing in the 1.9% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 14.7% (HV 20d: 26.1%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 2 of 20 days.
Notable Days 2016-07-01 : Highest Volume — 1 contracts2016-07-12 : Largest IV drop — 18.5% change2016-07-11 : Highest IV Rank — 2.8%2016-07-07 : Largest Expected Move — 7.1%Monthly Statistics Metric Avg Min Max Open Close Price $35.28 $33.60 $36.10 $34.65 $36.10 ATM IV 11.4% 10.0% 12.3% 12.0% 10.5% Expected Move 4.1% 2.4% 7.1% 5.1% 3.7% HV 20d 26.1% 14.6% 30.6% 29.7% 14.6% HV 60d 182.6% 20.4% 290.4% 290.2% 20.4% IV Rank 1.9% 0.4% 2.8% 2.4% 0.9% IV Percentile 8.9% 0.5% 14.7% 10.8% 3.5% Term Structure -0.0% -2.4% 10.1% -1.9% -1.6% Skew 25d 0.9% -1.3% 2.9% 0.1% 1.7% Skew 10d 2.7% 0.7% 5.0% 1.8% 3.0% Call IV 25d 15.0% 14.0% 16.8% 16.1% 14.0% Put IV 25d 15.9% 15.0% 17.8% 16.2% 15.7% Bid-Ask Spread % 16.17 10.53 21.40 13.50 13.00 Gamma HHI 1.00 1.00 1.00 1.00 1.00 Net GEX -0 -2 0 0 0 Net DEX 0 0 4 0 0 Net VEX 0 0 0 0 0 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0.75 0 1 1 0 Total OI 0.75 0 1 1 0
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 2016-07-01 $34.65 $0.00 12.0% 5.1% 29.7% 2.4% 0.0% 0.1% -1.9% 0 0 0 0.00 13.50 0 1 0 1 2016-07-05 $34.03 $0.00 11.6% 6.2% 30.1% 2.1% 0.0% 1.7% 0.0% 0 0 0 0.00 12.97 0 1 0 1 2016-07-06 $33.60 $0.00 11.6% 6.4% 30.2% 2.1% 0.0% -1.3% 0.0% 0 0 0 0.00 13.86 0 1 0 1 2016-07-07 $33.83 $0.00 12.1% 7.1% 30.2% 2.5% 0.0% 2.9% 2.9% 0 0 0 0.00 10.75 0 1 0 1 2016-07-08 $34.36 $0.00 11.5% 6.7% 30.6% 1.9% 0.0% 0.4% 10.1% -2 4 0 0.00 10.53 0 1 0 1 2016-07-11 $34.86 $0.00 12.3% 3.4% 29.9% 2.8% 0.0% -1.3% 0.0% 0 0 0 0.00 19.17 0 1 0 1 2016-07-12 $35.33 $0.00 10.0% 2.4% 29.5% 0.4% 0.0% 1.5% 0.0% 0 0 0 0.00 18.84 0 1 0 1 2016-07-13 $35.20 $0.00 11.0% 3.2% 29.2% 1.4% 0.0% 0.5% 0.0% 0 0 0 0.00 18.85 0 1 0 1 2016-07-14 $35.76 $0.00 11.6% 3.0% 29.3% 2.0% 0.0% 1.7% -2.0% 0 0 0 0.00 17.68 0 1 0 1 2016-07-15 $35.66 $0.00 11.7% 3.1% 28.6% 2.2% 0.0% 0.3% -1.9% 0 0 0 0.00 21.40 0 1 0 1 2016-07-18 $35.81 $0.00 11.3% 3.1% 28.5% 1.7% 0.0% 0.8% 0.0% 0 0 0 0.00 17.72 0 1 0 1 2016-07-19 $35.63 $0.00 11.7% 3.3% 27.6% 2.2% 0.0% 0.5% 0.0% 0 0 0 0.00 14.54 0 1 0 1 2016-07-20 $35.78 $0.00 11.4% 3.3% 27.6% 1.9% 0.0% 1.5% 0.0% 0 0 0 0.00 19.43 0 1 0 1 2016-07-21 $35.77 $0.00 11.6% 3.4% 27.6% 2.1% 0.0% 2.3% -1.8% 0 0 0 0.00 15.45 0 1 0 1 2016-07-22 $35.85 $0.00 11.5% 3.4% 27.4% 1.9% 0.0% 0.8% -2.4% 0 0 0 0.00 19.91 0 1 0 1 2016-07-25 $35.66 $0.00 11.7% 3.7% 21.6% 2.2% 0.0% 0.6% 0.0% 0 0 0 0.00 14.77 0 0 0 0 2016-07-26 $35.85 $0.00 11.3% 3.7% 18.6% 1.7% 0.0% 1.4% 0.0% 0 0 0 0.00 18.89 0 0 0 0 2016-07-27 $35.95 $0.00 11.2% 3.8% 16.8% 1.7% 0.0% 1.5% 0.0% 0 0 0 0.00 19.94 0 0 0 0 2016-07-28 $35.89 $0.00 11.2% 3.9% 14.8% 1.6% 0.0% 1.1% -1.6% 0 0 0 0.00 12.27 0 0 0 0 2016-07-29 $36.10 $0.00 10.5% 3.7% 14.6% 0.9% 0.0% 1.7% -1.6% 0 0 0 0.00 13.00 0 0 0 0
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