ETQ Options History — August 2016

In August 2016, ETQ traded between $35.82 and $37.88. ATM implied volatility averaged 10.5%, placing in the 1.7% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 0.1% (HV 20d: 10.6%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days.

Notable Days

  • 2016-08-08: Largest IV spike — 30.7% change
  • 2016-08-08: Highest IV Rank — 2.8%
  • 2016-08-10: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.93$35.82$37.88$36.21$36.60
ATM IV10.5%8.7%11.9%9.7%11.2%
Expected Move4.2%2.4%6.0%4.2%4.4%
HV 20d10.6%8.7%14.2%14.2%11.3%
HV 60d20.0%19.7%20.5%20.4%20.0%
IV Rank1.7%0.0%2.8%0.1%2.7%
IV Percentile6.9%0.0%17.6%0.4%13.5%
Term Structure2.0%-5.4%9.0%-3.5%-1.4%
Skew 25d1.5%-0.5%3.3%2.6%0.4%
Skew 10d3.9%1.3%9.7%6.3%1.8%
Call IV 25d13.9%12.6%15.4%13.5%15.2%
Put IV 25d15.4%14.5%17.0%16.1%15.6%
Bid-Ask Spread %17.6912.5225.8313.3121.73
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$36.21$0.009.7%4.2%14.2%0.1%0.0%2.6%0.0%0000.0013.310000
2016-08-02$35.85$0.0011.9%4.5%12.9%2.4%0.0%-0.2%0.0%0000.0017.040000
2016-08-03$35.82$0.0011.4%4.6%11.6%1.9%0.0%-0.5%0.0%0000.0012.520000
2016-08-04$36.18$0.0010.3%4.4%11.8%0.7%0.0%1.4%-3.5%0000.0012.910000
2016-08-05$36.51$0.008.7%4.6%11.1%0.0%0.0%1.5%-5.4%0000.0014.690000
2016-08-08$36.89$0.0011.3%5.5%10.7%2.8%0.0%1.3%0.0%0000.0014.420000
2016-08-09$37.18$0.0010.2%5.6%10.1%1.6%0.0%2.3%0.0%0000.0015.180000
2016-08-10$37.18$0.008.9%6.0%9.9%0.3%0.0%3.1%0.0%0000.0015.030000
2016-08-11$37.48$0.009.7%4.2%8.8%1.0%0.0%1.8%8.0%0000.0018.140000
2016-08-12$37.48$0.0010.8%4.0%8.7%2.3%0.0%1.2%9.0%0000.0025.080000
2016-08-15$37.88$0.0010.7%2.9%9.1%2.2%0.0%2.0%0.0%0000.0018.470000
2016-08-16$37.67$0.0011.1%3.1%9.2%2.5%0.0%0.3%0.0%0000.0013.950000
2016-08-19$37.45$0.0011.1%2.4%9.7%2.5%0.0%1.6%8.2%0000.0019.680000
2016-08-22$37.11$0.009.5%3.2%10.5%0.9%0.0%1.8%0.0%0000.0025.830000
2016-08-23$37.22$0.009.3%3.5%10.5%0.7%0.0%1.8%0.0%0000.0021.030000
2016-08-25$37.01$0.0010.7%3.7%10.5%2.1%0.0%1.5%-1.2%0000.0020.940000
2016-08-26$37.03$0.0011.3%4.0%10.4%2.7%0.0%3.3%-1.4%0000.0020.910000
2016-08-29$36.91$0.0010.7%4.3%10.6%2.1%0.0%0.2%0.0%0000.0016.810000
2016-08-30$37.02$0.0010.7%4.3%10.5%2.2%0.0%1.7%0.0%0000.0016.190000
2016-08-31$36.60$0.0011.2%4.4%11.3%2.7%0.0%0.4%0.0%0000.0021.730000