ETQ Options History — May 2017

In May 2017, ETQ traded between $39.93 and $41.70. ATM implied volatility averaged 10.0%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 3.6%. IV traded below realized volatility by 1.7% (HV 20d: 11.7%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 1 of 22 days.

Notable Days

  • 2017-05-26: Largest IV spike — 79.0% change
  • 2017-05-26: Highest IV Rank — 73.6%
  • 2017-05-26: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.93$39.93$41.70$40.28$41.20
ATM IV10.0%7.8%17.9%8.4%10.5%
Expected Move3.6%2.3%6.1%3.6%3.9%
HV 20d11.7%9.0%15.4%9.5%14.7%
HV 60d11.4%10.6%12.6%10.6%12.1%
IV Rank15.8%0.0%73.6%2.1%19.6%
IV Percentile18.1%0.0%98.4%2.4%29.8%
Term Structure-1.5%-3.9%1.6%-2.8%-3.9%
Skew 25d2.1%-0.2%5.0%1.6%3.7%
Skew 10d3.8%0.8%7.0%7.0%7.0%
Call IV 25d12.4%9.8%23.4%11.5%11.4%
Put IV 25d14.4%12.4%28.2%13.1%15.1%
Bid-Ask Spread %20.2311.44114.6914.7815.12
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$40.28$0.008.4%3.6%9.5%2.1%0.0%1.6%0.0%0000.0014.780000
2017-05-02$40.51$0.0010.0%3.8%9.0%14.9%0.0%0.2%0.0%0000.0011.560000
2017-05-03$40.33$0.007.8%3.9%9.2%0.0%0.0%2.6%0.0%0000.0015.000000
2017-05-04$39.93$0.0010.6%4.4%10.0%20.3%0.0%1.0%-2.8%0000.0014.200000
2017-05-05$39.99$0.009.8%4.4%9.9%14.7%0.0%1.2%-1.1%0000.0014.390000
2017-05-08$40.25$0.008.8%5.0%9.7%7.6%0.0%2.4%0.0%0000.0011.580000
2017-05-09$40.69$0.0010.3%5.1%10.3%18.2%0.0%1.9%0.0%0000.0011.440000
2017-05-10$40.86$0.0010.3%5.5%9.9%18.0%0.0%0.7%0.0%0000.0013.860000
2017-05-11$40.95$0.0010.0%2.5%9.7%16.3%0.0%0.7%-2.2%0000.0019.640000
2017-05-12$41.19$0.009.7%2.5%9.8%13.5%0.0%1.1%-2.0%0000.0019.820000
2017-05-15$41.55$0.009.8%2.7%10.0%14.8%0.0%0.2%0.0%0000.0015.790000
2017-05-16$41.63$0.0010.0%2.8%9.5%16.2%0.0%0.0%0.0%0000.0016.280000
2017-05-17$41.20$0.008.3%2.4%10.4%4.0%0.0%2.3%0.0%0000.0018.460000
2017-05-18$40.24$0.008.0%2.3%13.8%1.6%0.0%-0.2%1.6%0000.0015.380000
2017-05-19$41.06$0.0010.0%2.9%15.4%15.6%0.0%1.1%-1.0%0000.0020.140000
2017-05-22$41.22$0.009.2%2.5%14.7%10.1%0.0%4.9%0.0%0000.0017.260000
2017-05-23$41.20$0.0010.3%3.0%14.4%18.4%0.0%3.3%0.0%0000.0014.110000
2017-05-24$41.33$0.0010.3%2.5%14.4%17.9%0.0%2.2%0.0%0000.0017.400000
2017-05-25$41.62$0.0010.0%3.4%14.4%16.2%0.0%5.0%-0.9%0000.0018.970000
2017-05-26$41.70$0.0017.9%6.1%14.4%73.6%0.0%4.8%-3.9%0000.00114.690000
2017-05-30$41.52$0.009.8%3.7%14.4%14.3%0.0%4.6%0.0%0000.0015.270000
2017-05-31$41.20$0.0010.5%3.9%14.7%19.6%0.0%3.7%0.0%0000.0015.120000