ETQ Options History — August 2017

In August 2017, ETQ traded between $42.91 and $44.93. ATM implied volatility averaged 9.5%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 3.5%. IV traded below realized volatility by 1.4% (HV 20d: 10.9%). Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 0 of 23 days.

Notable Days

  • 2017-08-23: Largest IV spike — 77.2% change
  • 2017-08-10: Highest IV Rank — 14.8%
  • 2017-08-31: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.01$42.91$44.93$43.96$44.82
ATM IV9.5%7.1%13.7%9.5%9.2%
Expected Move3.5%2.1%7.6%3.7%7.6%
HV 20d10.9%9.2%12.3%10.0%12.2%
HV 60d11.8%11.2%12.9%12.2%11.5%
IV Rank5.1%0.0%14.8%5.0%4.9%
IV Percentile22.6%0.0%86.1%17.1%16.3%
Term Structure-1.9%-5.0%-0.9%-1.4%-1.1%
Skew 25d0.9%-1.0%5.2%1.2%0.7%
Skew 10d2.6%0.3%8.4%2.2%1.8%
Call IV 25d11.6%10.6%13.0%10.9%11.6%
Put IV 25d12.5%11.5%16.4%12.1%12.3%
Bid-Ask Spread %14.626.1920.0514.096.19
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
2017-08-01$43.96$0.009.5%3.7%10.0%5.0%0.0%1.2%0.0%0000.0014.090000
2017-08-02$43.90$0.009.4%3.8%9.6%4.8%0.0%1.2%0.0%0000.0013.590000
2017-08-03$43.69$0.009.7%3.9%9.5%5.3%0.0%-0.3%-1.4%0000.0014.200000
2017-08-04$43.84$0.009.3%4.1%9.4%4.4%0.0%1.0%-4.3%0000.0014.730000
2017-08-07$44.19$0.008.6%4.4%9.4%2.8%0.0%1.1%0.0%0000.0011.460000
2017-08-08$44.40$0.007.8%4.7%9.2%0.9%0.0%1.5%0.0%0000.0010.870000
2017-08-09$43.76$0.009.3%5.1%9.2%4.5%0.0%0.4%0.0%0000.0015.000000
2017-08-10$43.10$0.0013.7%2.4%10.7%14.8%0.0%5.2%-5.0%0000.0020.050000
2017-08-11$42.91$0.009.3%2.4%10.0%4.5%0.0%0.7%-0.9%0000.0019.780000
2017-08-14$43.44$0.0011.7%3.6%10.9%10.1%0.0%2.2%0.0%0000.0015.570000
2017-08-15$43.33$0.007.6%2.1%11.0%0.6%0.0%0.2%0.0%0000.0015.690000
2017-08-16$43.79$0.009.5%2.7%11.0%5.0%0.0%0.5%0.0%0000.0012.820000
2017-08-17$43.54$0.009.3%2.7%11.2%4.6%0.0%1.0%-1.1%0000.0017.690000
2017-08-18$43.57$0.009.0%2.7%11.2%3.9%0.0%-1.0%-1.3%0000.0015.790000
2017-08-21$43.79$0.009.2%3.0%11.3%4.2%0.0%0.5%0.0%0000.0016.290000
2017-08-22$44.27$0.007.1%2.3%11.9%0.0%0.0%0.5%0.0%0000.0016.170000
2017-08-23$44.43$0.0012.7%2.2%11.9%12.9%0.0%1.5%0.0%0000.0016.930000
2017-08-24$44.67$0.009.4%3.2%12.1%5.3%0.0%-0.2%-1.1%0000.0016.220000
2017-08-25$44.93$0.009.1%3.2%12.0%4.6%0.0%1.5%-0.9%0000.0012.890000
2017-08-28$44.74$0.009.3%3.5%12.2%5.0%0.0%1.0%0.0%0000.0013.380000
2017-08-29$44.52$0.008.8%3.4%12.3%4.0%0.0%-0.5%0.0%0000.0013.340000
2017-08-30$44.70$0.009.4%3.7%12.3%5.3%0.0%-0.0%0.0%0000.0013.410000
2017-08-31$44.82$0.009.2%7.6%12.2%4.9%0.0%0.7%-1.1%0000.006.190000