ETQ Options History — December 2016

In December 2016, ETQ traded between $34.03 and $36.28. ATM implied volatility averaged 12.0%, placing in the 6.6% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded below realized volatility by 3.4% (HV 20d: 15.4%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 1 of 21 days.

Notable Days

  • 2016-12-28: Largest IV spike — 33.0% change
  • 2016-12-16: Highest IV Rank — 12.7%
  • 2016-12-09: Largest Expected Move — 6.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.26$34.03$36.28$35.24$35.07
ATM IV12.0%9.0%15.7%12.2%11.5%
Expected Move4.2%3.0%6.9%4.0%4.0%
HV 20d15.4%11.7%22.6%22.6%14.4%
HV 60d16.7%16.1%17.6%17.6%16.7%
IV Rank6.6%1.7%12.7%6.9%5.9%
IV Percentile37.4%3.2%57.9%40.1%32.9%
Term Structure-2.4%-8.1%4.9%-2.5%-8.1%
Skew 25d4.8%0.3%11.6%6.5%0.7%
Skew 10d5.2%0.9%12.2%7.2%2.0%
Call IV 25d13.6%11.7%16.1%13.4%16.1%
Put IV 25d18.3%16.1%24.1%19.9%16.8%
Bid-Ask Spread %15.779.9620.5518.7420.55
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
2016-12-01$35.24$0.0012.2%4.0%22.6%6.9%0.0%6.5%-2.5%0000.0018.740000
2016-12-02$35.17$0.0012.2%4.6%22.6%6.9%0.0%7.6%-1.0%0000.0012.100000
2016-12-05$35.35$0.0011.9%4.9%22.5%6.5%0.0%3.4%0.0%0000.0013.020000
2016-12-06$35.52$0.0011.5%5.7%20.0%5.8%0.0%6.6%0.0%0000.009.960000
2016-12-07$35.98$0.0012.1%6.0%20.4%6.7%0.0%3.7%0.0%0000.0013.850000
2016-12-08$36.24$0.0011.2%5.7%18.3%5.3%0.0%6.2%-1.5%0000.0010.520000
2016-12-09$36.20$0.0011.9%6.9%15.4%6.4%0.0%4.9%-2.3%0000.0010.350000
2016-12-12$35.95$0.0012.0%3.4%11.7%6.7%0.0%5.3%0.0%0000.0018.890000
2016-12-13$36.28$0.0011.2%3.1%11.7%5.4%0.0%6.2%0.0%0000.0018.270000
2016-12-14$35.76$0.0011.9%3.4%12.1%6.5%0.0%10.1%0.0%0000.0018.330000
2016-12-15$35.30$0.0012.3%3.5%12.9%7.1%0.0%3.9%0.0%0000.0018.810000
2016-12-16$35.18$0.0015.7%3.1%12.8%12.7%0.0%11.6%-4.7%0000.0017.980000
2016-12-19$35.06$0.0012.4%3.5%12.8%7.4%0.0%5.8%0.0%0000.0015.130000
2016-12-20$35.02$0.0014.1%4.0%12.6%10.1%0.0%8.5%0.0%0000.0017.000000
2016-12-21$34.57$0.0011.9%3.4%12.6%6.5%0.0%1.4%0.0%0000.0015.010000
2016-12-22$34.03$0.0011.5%3.4%13.4%5.8%0.0%2.4%-2.1%0000.0019.460000
2016-12-23$34.19$0.0011.7%3.6%13.3%6.1%0.0%0.3%-4.5%0000.0015.410000
2016-12-27$34.43$0.009.0%3.0%13.4%1.7%0.0%1.0%0.0%0000.0015.870000
2016-12-28$34.68$0.0011.9%4.0%13.7%6.5%0.0%2.2%0.0%0000.0016.350000
2016-12-29$35.18$0.0011.8%5.4%14.7%6.2%0.0%1.4%4.9%0000.0015.640000
2016-12-30$35.07$0.0011.5%4.0%14.4%5.9%0.0%0.7%-8.1%0000.0020.550000