ETQ Options History — July 2017

In July 2017, ETQ traded between $41.10 and $43.83. ATM implied volatility averaged 11.5%, placing in the 16.2% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded below realized volatility by 0.4% (HV 20d: 11.9%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days.

Notable Days

  • 2017-07-24: Largest IV spike — 429.8% change
  • 2017-07-24: Highest IV Rank — 100.0%
  • 2017-07-24: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.85$41.10$43.83$41.63$43.74
ATM IV11.5%7.4%50.0%10.0%9.5%
Expected Move3.9%1.9%15.7%3.7%3.6%
HV 20d11.9%10.0%13.9%12.2%10.0%
HV 60d12.4%12.1%12.8%12.1%12.2%
IV Rank16.2%0.0%100.0%18.0%5.1%
IV Percentile22.6%0.0%100.0%23.4%18.3%
Term Structure-0.9%-1.9%0.4%-0.5%-1.2%
Skew 25d1.2%-0.1%4.8%0.7%1.2%
Skew 10d3.4%0.8%14.6%1.2%3.2%
Call IV 25d14.3%10.6%64.9%12.3%10.8%
Put IV 25d15.5%11.6%69.8%13.0%12.1%
Bid-Ask Spread %23.5610.96200.0014.6214.51
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$41.63$0.0010.0%3.7%12.2%18.0%0.0%0.7%0.0%0000.0014.620000
2017-07-05$41.37$0.0012.8%2.8%12.4%37.8%0.0%0.5%0.0%0000.0011.040000
2017-07-06$41.15$0.009.3%4.0%12.5%12.7%0.0%2.8%-0.5%0000.0013.210000
2017-07-07$41.10$0.009.5%4.2%12.2%14.2%0.0%1.9%-0.6%0000.0013.860000
2017-07-10$41.43$0.009.2%4.3%12.6%12.1%0.0%0.5%0.0%0000.0010.960000
2017-07-11$41.76$0.009.8%5.1%12.2%16.4%0.0%0.6%0.0%0000.0011.870000
2017-07-12$42.57$0.009.5%5.1%13.8%14.5%0.0%-0.1%0.0%0000.0011.040000
2017-07-13$42.80$0.009.7%2.5%13.9%15.8%0.0%1.0%-1.2%0000.0019.120000
2017-07-14$43.30$0.007.4%1.9%12.6%0.0%0.0%0.9%-1.9%0000.0015.340000
2017-07-17$43.19$0.008.9%2.4%12.7%10.6%0.0%1.7%0.0%0000.0015.600000
2017-07-18$43.26$0.007.4%2.1%12.3%0.3%0.0%0.9%0.0%0000.0015.600000
2017-07-19$43.69$0.009.7%2.8%11.3%16.3%0.0%0.6%0.0%0000.0015.860000
2017-07-20$43.67$0.009.7%2.8%11.4%16.0%0.0%0.6%-1.2%0000.0015.920000
2017-07-21$43.57$0.009.4%2.8%11.5%14.4%0.0%0.7%-1.1%0000.0015.990000
2017-07-24$43.72$0.0050.0%15.7%11.5%100.0%0.0%4.8%0.0%0000.00200.000000
2017-07-25$43.72$0.009.6%3.1%11.1%5.3%0.0%2.0%0.0%0000.0017.220000
2017-07-26$43.83$0.009.4%3.1%10.6%4.7%0.0%0.1%0.0%0000.0013.050000
2017-07-27$43.81$0.009.6%3.3%10.6%5.1%0.0%2.0%0.4%0000.0012.910000
2017-07-28$43.65$0.009.6%3.3%10.0%5.1%0.0%-0.1%-1.2%0000.0013.410000
2017-07-31$43.74$0.009.5%3.6%10.0%5.1%0.0%1.2%0.0%0000.0014.510000