ETQ Options History — November 2016

In November 2016, ETQ traded between $34.28 and $37.34. ATM implied volatility averaged 14.1%, placing in the 9.5% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 5.2% (HV 20d: 19.3%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days.

Notable Days

  • 2016-11-08: Largest IV spike — 92.5% change
  • 2016-11-25: Highest IV Rank — 20.5%
  • 2016-11-08: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.55$34.28$37.34$36.88$35.56
ATM IV14.1%8.4%20.5%14.8%11.6%
Expected Move4.7%3.1%7.8%4.2%4.5%
HV 20d19.3%11.7%22.7%11.7%22.7%
HV 60d17.1%14.4%18.5%14.4%18.0%
IV Rank9.5%0.8%20.5%8.1%6.0%
IV Percentile39.5%0.4%58.3%46.0%31.7%
Term Structure-1.4%-3.0%0.0%-2.7%-1.4%
Skew 25d3.2%-0.5%10.8%3.9%6.2%
Skew 10d5.9%2.1%11.2%11.2%5.8%
Call IV 25d15.4%12.5%28.6%14.6%12.5%
Put IV 25d18.6%15.3%39.4%18.5%18.7%
Bid-Ask Spread %21.8213.51113.5621.4414.90
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
2016-11-01$36.88$0.0014.8%4.2%11.7%8.1%0.0%3.9%0.0%0000.0021.440000
2016-11-02$36.50$0.0019.0%7.2%12.2%13.1%0.0%2.0%0.0%0000.0019.230000
2016-11-03$36.38$0.0017.3%6.7%11.8%11.3%0.0%3.1%-2.7%0000.0018.760000
2016-11-04$36.04$0.0010.2%4.6%12.1%3.6%0.0%1.2%-3.0%0000.0019.130000
2016-11-07$37.05$0.008.4%4.7%16.1%0.8%0.0%-0.1%0.0%0000.0016.410000
2016-11-08$37.34$0.0016.2%7.8%15.9%13.5%0.0%0.4%0.0%0000.0013.750000
2016-11-09$36.34$0.0016.6%5.7%18.6%14.1%0.0%3.9%0.0%0000.0013.510000
2016-11-10$35.38$0.0017.4%4.5%20.3%15.5%0.0%4.5%-0.6%0000.0021.040000
2016-11-11$34.44$0.0019.6%5.1%21.7%19.0%0.0%-0.5%-0.3%0000.0021.370000
2016-11-14$34.28$0.0017.3%4.9%21.7%15.4%0.0%2.6%0.0%0000.0022.450000
2016-11-15$34.83$0.0010.9%3.1%21.7%4.9%0.0%0.4%0.0%0000.0016.630000
2016-11-16$34.64$0.0011.9%3.4%21.4%6.5%0.0%-0.2%0.0%0000.0020.220000
2016-11-17$34.88$0.0011.9%3.4%21.8%6.5%0.0%3.1%0.0%0000.0016.710000
2016-11-18$34.71$0.0012.0%3.5%21.8%6.6%0.0%2.3%-1.3%0000.0013.800000
2016-11-21$34.91$0.0012.3%3.7%21.6%7.2%0.0%5.3%0.0%0000.0014.650000
2016-11-22$35.33$0.0012.7%5.2%22.3%7.7%0.0%3.7%0.0%0000.0014.500000
2016-11-23$35.01$0.0012.4%3.5%22.3%7.3%0.0%4.9%-2.1%0000.0017.010000
2016-11-25$35.24$0.0020.5%6.6%22.6%20.5%0.0%10.8%-1.4%0000.00113.560000
2016-11-28$35.43$0.0011.4%3.3%22.7%5.6%0.0%4.8%0.0%0000.0015.150000
2016-11-29$35.41$0.0011.6%3.4%22.6%6.0%0.0%4.9%0.0%0000.0014.110000
2016-11-30$35.56$0.0011.6%4.5%22.7%6.0%0.0%6.2%0.0%0000.0014.900000