ETQ Options History — February 2017

In February 2017, ETQ traded between $37.41 and $38.98. ATM implied volatility averaged 11.1%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 2.4% (HV 20d: 8.7%). Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 1 of 19 days.

Notable Days

  • 2017-02-10: Largest IV spike — 93.8% change
  • 2017-02-10: Highest IV Rank — 25.9%
  • 2017-02-10: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.15$37.41$38.98$37.41$38.15
ATM IV11.1%8.3%21.6%8.7%10.1%
Expected Move4.0%2.4%7.7%4.1%4.2%
HV 20d8.7%7.9%9.6%9.1%9.5%
HV 60d12.6%11.1%16.4%16.4%11.6%
IV Rank6.2%0.7%25.9%1.5%4.8%
IV Percentile24.5%0.4%78.6%2.4%10.7%
Term Structure-1.4%-3.0%0.2%-1.3%-0.4%
Skew 25d1.5%-0.1%6.3%1.0%2.8%
Skew 10d3.3%0.9%7.8%4.9%3.1%
Call IV 25d13.9%12.0%27.0%14.4%12.4%
Put IV 25d15.4%13.3%33.3%15.4%15.2%
Bid-Ask Spread %19.3910.28113.2014.7512.02
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-02-01$37.41$0.008.7%4.1%9.1%1.5%0.0%1.0%0.0%0000.0014.750000
2017-02-02$37.50$0.008.3%4.0%9.0%0.8%0.0%0.7%-1.3%0000.0010.540000
2017-02-03$37.73$0.0011.2%4.7%8.6%6.2%0.0%0.1%-3.0%0000.0010.950000
2017-02-06$37.68$0.0011.2%5.3%8.4%6.2%0.0%0.4%0.0%0000.0010.540000
2017-02-07$37.51$0.0010.8%5.2%8.7%5.4%0.0%1.0%0.0%0000.0010.280000
2017-02-08$37.62$0.0011.1%5.8%8.4%5.9%0.0%0.3%0.0%0000.0011.470000
2017-02-09$37.88$0.0011.1%2.8%8.6%6.1%0.0%0.8%-1.9%0000.0018.090000
2017-02-10$38.10$0.0021.6%7.7%8.3%25.9%0.0%6.3%0.2%0000.00113.200000
2017-02-13$38.30$0.0013.0%4.0%8.3%9.6%0.0%2.4%0.0%0000.0015.440000
2017-02-14$38.22$0.008.7%2.4%8.5%1.4%0.0%0.9%0.0%0000.0014.960000
2017-02-15$38.56$0.0010.6%3.0%8.6%5.0%0.0%-0.1%0.0%0000.0016.090000
2017-02-16$38.61$0.0010.8%3.1%8.0%5.4%0.0%1.2%-1.4%0000.0015.590000
2017-02-17$38.28$0.008.5%2.5%8.9%1.1%0.0%2.4%-0.5%0000.0016.330000
2017-02-21$38.69$0.0010.9%3.5%8.8%5.6%0.0%0.1%0.0%0000.0016.780000
2017-02-22$38.81$0.0010.7%3.5%8.0%6.2%0.0%1.2%0.0%0000.0016.580000
2017-02-23$38.98$0.0010.8%3.6%7.9%6.4%0.0%1.6%-2.7%0000.0012.250000
2017-02-24$38.48$0.008.3%2.8%9.5%0.7%0.0%1.7%-0.4%0000.0016.150000
2017-02-27$38.36$0.0013.7%3.7%9.6%12.9%0.0%3.9%0.0%0000.0016.380000
2017-02-28$38.15$0.0010.1%4.2%9.5%4.8%0.0%2.8%0.0%0000.0012.020000