ETQ Options History — March 2017

In March 2017, ETQ traded between $37.59 and $39.93. ATM implied volatility averaged 11.0%, placing in the 7.0% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 1.3% (HV 20d: 12.3%). Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 0 of 23 days.

Notable Days

  • 2017-03-09: Largest IV spike — 53.9% change
  • 2017-03-09: Highest IV Rank — 18.0%
  • 2017-03-09: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.98$37.59$39.93$38.44$39.40
ATM IV11.0%8.2%16.0%14.2%8.2%
Expected Move4.1%2.7%9.1%3.1%3.4%
HV 20d12.3%9.7%14.2%9.7%12.5%
HV 60d11.3%10.5%11.9%11.4%10.6%
IV Rank7.0%0.6%18.0%13.9%0.6%
IV Percentile26.2%0.4%79.4%71.8%0.4%
Term Structure-1.6%-2.4%-1.2%-1.5%-1.9%
Skew 25d1.4%-0.5%3.7%0.9%1.5%
Skew 10d3.3%-0.2%7.3%4.8%7.3%
Call IV 25d13.4%11.9%24.2%14.1%12.8%
Put IV 25d14.8%13.0%25.0%15.0%14.4%
Bid-Ask Spread %18.338.03101.9315.7014.29
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$38.44$0.0014.2%3.1%9.7%13.9%0.0%0.9%0.0%0000.0015.700000
2017-03-02$38.06$0.0010.7%4.6%10.5%6.2%0.0%3.0%-1.5%0000.0012.100000
2017-03-03$38.06$0.0010.2%4.4%10.5%5.0%0.0%1.5%-1.8%0000.0013.320000
2017-03-06$38.16$0.009.8%5.1%10.3%4.3%0.0%1.5%0.0%0000.0013.630000
2017-03-07$38.27$0.008.9%5.5%10.3%2.3%0.0%2.5%0.0%0000.0010.620000
2017-03-08$38.08$0.0010.4%6.0%10.4%5.5%0.0%3.7%0.0%0000.0014.360000
2017-03-09$37.59$0.0016.0%9.1%11.4%18.0%0.0%0.8%-1.2%0000.00101.930000
2017-03-10$37.88$0.0010.9%6.8%11.5%6.6%0.0%0.9%-2.4%0000.008.030000
2017-03-13$38.46$0.0013.2%3.9%12.5%11.7%0.0%1.0%0.0%0000.0016.190000
2017-03-14$38.37$0.0015.3%4.4%12.4%16.4%0.0%3.5%0.0%0000.0015.350000
2017-03-15$38.97$0.0010.0%2.9%13.5%4.5%0.0%-0.5%0.0%0000.0015.470000
2017-03-16$39.55$0.0010.3%2.7%14.2%5.4%0.0%0.9%-1.4%0000.0014.240000
2017-03-17$39.53$0.0010.3%2.7%14.2%5.2%0.0%0.6%-1.2%0000.0014.550000
2017-03-20$39.93$0.0010.3%2.8%14.0%5.8%0.0%1.2%0.0%0000.0019.970000
2017-03-21$39.80$0.0010.7%3.0%13.8%7.0%0.0%3.0%0.0%0000.0015.540000
2017-03-22$39.59$0.0010.3%3.0%13.9%6.0%0.0%-0.2%0.0%0000.0015.830000
2017-03-23$39.69$0.0010.4%3.0%13.9%6.1%0.0%1.7%-1.8%0000.0015.230000
2017-03-24$39.78$0.0010.3%3.1%12.9%6.0%0.0%1.6%-1.3%0000.0015.980000
2017-03-27$39.59$0.0010.3%3.3%13.0%5.8%0.0%-0.4%0.0%0000.0016.260000
2017-03-28$39.81$0.0010.5%3.4%12.8%6.4%0.0%1.4%0.0%0000.0016.370000
2017-03-29$39.78$0.0010.4%3.4%12.7%6.2%0.0%0.9%0.0%0000.0013.330000
2017-03-30$39.74$0.0010.6%3.6%11.9%6.5%0.0%2.2%-1.3%0000.0013.230000
2017-03-31$39.40$0.008.2%3.4%12.5%0.6%0.0%1.5%-1.9%0000.0014.290000