ETQ Options History — October 2016

In October 2016, ETQ traded between $36.64 and $37.77. ATM implied volatility averaged 11.7%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 2.4% (HV 20d: 14.2%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days.

Notable Days

  • 2016-10-04: Largest IV spike — 60.9% change
  • 2016-10-18: Highest IV Rank — 9.0%
  • 2016-10-12: Largest Expected Move — 5.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.38$36.64$37.77$37.57$37.15
ATM IV11.7%8.8%16.6%9.2%8.9%
Expected Move4.0%2.8%5.8%3.8%3.3%
HV 20d14.2%11.0%18.7%18.7%11.5%
HV 60d14.2%13.8%14.7%14.7%14.5%
IV Rank4.0%0.9%9.0%1.4%1.2%
IV Percentile21.2%1.2%47.2%2.0%2.0%
Term Structure-0.5%-3.6%3.8%-0.7%3.8%
Skew 25d1.1%-1.8%2.5%-0.1%0.6%
Skew 10d5.2%0.1%12.0%9.2%6.7%
Call IV 25d14.9%13.5%17.0%15.4%15.5%
Put IV 25d16.0%14.6%17.7%15.2%16.1%
Bid-Ask Spread %17.9512.4922.7320.3716.74
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
2016-10-03$37.57$0.009.2%3.8%18.7%1.4%0.0%-0.1%0.0%0000.0020.370000
2016-10-04$37.48$0.0014.9%3.5%17.4%7.2%0.0%2.5%0.0%0000.0020.600000
2016-10-05$37.71$0.0010.7%4.4%17.5%2.9%0.0%0.9%0.0%0000.0020.950000
2016-10-06$37.73$0.0010.5%4.5%17.5%2.7%0.0%0.4%-0.7%0000.0021.430000
2016-10-07$37.68$0.0010.7%4.7%14.7%2.8%0.0%1.2%-2.0%0000.0022.730000
2016-10-11$37.24$0.0014.4%5.3%14.7%6.7%0.0%1.6%0.0%0000.0012.490000
2016-10-12$37.13$0.008.8%5.8%13.7%0.9%0.0%0.7%0.0%0000.0013.110000
2016-10-13$36.64$0.0011.1%2.8%14.6%3.3%0.0%-1.8%-3.1%0000.0017.950000
2016-10-14$36.99$0.0012.5%4.2%14.7%4.8%0.0%2.1%3.5%0000.0019.330000
2016-10-17$36.87$0.0011.0%3.0%14.6%3.2%0.0%1.3%0.0%0000.0018.550000
2016-10-18$37.45$0.0016.6%4.8%14.7%9.0%0.0%2.5%0.0%0000.0019.700000
2016-10-19$37.68$0.0011.0%3.2%14.8%3.2%0.0%-0.3%0.0%0000.0016.860000
2016-10-20$37.62$0.0011.0%3.2%14.1%3.2%0.0%0.4%-2.0%0000.0020.510000
2016-10-21$37.48$0.0015.7%4.5%12.3%8.0%0.0%1.2%-3.6%0000.0017.680000
2016-10-24$37.77$0.0010.9%3.5%12.2%3.1%0.0%1.4%0.0%0000.0014.610000
2016-10-25$37.77$0.0010.9%3.5%11.0%3.1%0.0%1.2%0.0%0000.0014.030000
2016-10-26$37.39$0.0015.3%5.2%11.6%7.9%0.0%1.7%0.0%0000.0017.420000
2016-10-27$37.20$0.009.0%3.1%11.3%1.2%0.0%2.4%0.0%0000.0017.250000
2016-10-28$37.01$0.0011.0%3.7%11.4%3.6%0.0%2.1%3.8%0000.0016.770000
2016-10-31$37.15$0.008.9%3.3%11.5%1.2%0.0%0.6%0.0%0000.0016.740000