ETQ Options History — September 2016

In September 2016, ETQ traded between $36.13 and $38.15. ATM implied volatility averaged 11.9%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 4.9% (HV 20d: 16.9%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days.

Notable Days

  • 2016-09-16: Largest IV spike — 109.8% change
  • 2016-09-16: Highest IV Rank — 9.0%
  • 2016-09-09: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.23$36.13$38.15$36.62$37.48
ATM IV11.9%7.9%16.6%11.2%16.2%
Expected Move4.2%2.0%7.0%4.6%5.3%
HV 20d16.9%11.3%20.1%11.3%19.7%
HV 60d18.8%15.2%20.3%19.8%15.2%
IV Rank3.9%0.0%9.0%2.6%8.5%
IV Percentile18.4%0.0%41.7%13.1%41.7%
Term Structure-0.9%-7.2%8.5%-2.0%-1.8%
Skew 25d1.3%-3.0%4.7%-0.6%2.4%
Skew 10d5.7%-1.1%12.2%1.4%8.9%
Call IV 25d14.6%12.3%16.7%15.6%14.5%
Put IV 25d16.0%13.7%19.1%15.0%16.9%
Bid-Ask Spread %23.3118.2929.7522.3319.96
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$36.62$0.0011.2%4.6%11.3%2.6%0.0%-0.6%-2.0%0000.0022.330000
2016-09-02$37.30$0.0011.0%4.2%12.2%2.4%0.0%1.5%8.5%0000.0018.670000
2016-09-06$38.01$0.0010.1%5.4%13.6%1.5%0.0%0.4%0.0%0000.0019.340000
2016-09-07$38.10$0.008.6%5.8%13.3%0.0%0.0%2.5%0.0%0000.0019.690000
2016-09-08$38.04$0.0010.7%6.3%13.1%2.2%0.0%2.1%-1.5%0000.0020.120000
2016-09-09$37.06$0.0011.2%7.0%16.1%2.7%0.0%2.2%-0.1%0000.0018.290000
2016-09-12$36.66$0.0010.9%3.0%16.3%2.4%0.0%-3.0%0.0%0000.0026.850000
2016-09-13$36.13$0.0012.1%3.1%17.0%3.7%0.0%2.1%0.0%0000.0029.750000
2016-09-14$36.30$0.0016.3%4.7%16.8%8.0%0.0%2.8%0.0%0000.0029.620000
2016-09-15$36.58$0.007.9%2.0%17.1%0.0%0.0%-1.1%-1.3%0000.0025.190000
2016-09-16$36.41$0.0016.6%4.5%16.6%9.0%0.0%1.9%-1.5%0000.0026.350000
2016-09-19$36.96$0.0010.9%3.0%17.6%3.1%0.0%1.9%0.0%0000.0026.260000
2016-09-20$36.94$0.0010.8%3.0%17.5%3.0%0.0%1.3%0.0%0000.0027.440000
2016-09-21$37.43$0.0015.0%4.3%17.8%7.3%0.0%-0.1%0.0%0000.0025.140000
2016-09-22$38.15$0.0014.5%4.5%19.0%6.8%0.0%4.7%-7.2%0000.0024.950000
2016-09-23$37.77$0.0011.1%3.3%19.3%3.2%0.0%2.1%-1.2%0000.0019.910000
2016-09-26$37.25$0.008.9%2.9%20.0%1.0%0.0%1.9%0.0%0000.0023.700000
2016-09-27$37.40$0.0015.4%4.7%20.0%7.7%0.0%1.7%0.0%0000.0020.580000
2016-09-28$37.69$0.0010.4%3.7%20.1%2.6%0.0%-0.4%0.0%0000.0021.680000
2016-09-29$37.54$0.0010.8%3.6%19.7%2.9%0.0%1.3%-1.3%0000.0023.640000
2016-09-30$37.48$0.0016.2%5.3%19.7%8.5%0.0%2.4%-1.8%0000.0019.960000