ETQ Options History — September 2017

In September 2017, ETQ traded between $44.24 and $45.82. ATM implied volatility averaged 9.0%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 1.1% (HV 20d: 10.1%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days.

Notable Days

  • 2017-09-18: Largest IV spike — 42.0% change
  • 2017-09-27: Highest IV Rank — 13.4%
  • 2017-09-08: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.11$44.24$45.82$45.08$44.77
ATM IV9.0%6.5%12.3%10.0%9.2%
Expected Move3.2%1.7%5.7%3.9%3.1%
HV 20d10.1%8.6%12.6%12.2%11.1%
HV 60d10.9%10.4%11.7%11.5%11.0%
IV Rank5.3%0.0%13.4%6.7%6.2%
IV Percentile20.5%0.0%83.3%35.3%17.1%
Term Structure0.5%-4.2%6.9%1.6%-1.2%
Skew 25d0.7%-1.6%2.2%1.0%0.2%
Skew 10d3.0%0.5%7.1%1.1%1.7%
Call IV 25d11.4%10.3%13.6%11.0%11.9%
Put IV 25d12.0%11.3%13.5%12.0%12.1%
Bid-Ask Spread %14.7710.3616.8014.6913.07
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
2017-09-01$45.08$0.0010.0%3.9%12.2%6.7%0.0%1.0%1.6%0000.0014.690000
2017-09-05$44.63$0.009.3%4.7%12.6%5.1%0.0%-0.0%0.0%0000.0010.360000
2017-09-06$44.80$0.009.3%5.0%12.6%5.0%0.0%0.9%0.0%0000.0011.390000
2017-09-07$45.11$0.008.0%5.2%11.4%2.1%0.0%1.4%-0.6%0000.0011.940000
2017-09-08$44.92$0.009.3%5.7%9.9%5.0%0.0%1.4%-0.3%0000.0011.720000
2017-09-11$45.42$0.0011.4%3.5%10.1%9.8%0.0%2.2%0.0%0000.0015.290000
2017-09-12$45.44$0.007.1%2.0%9.4%0.0%0.0%0.4%0.0%0000.0015.320000
2017-09-13$45.22$0.007.3%2.1%9.6%0.5%0.0%2.0%0.0%0000.0016.410000
2017-09-14$45.24$0.008.2%3.4%9.1%2.6%0.0%1.4%4.5%0000.0015.450000
2017-09-15$45.50$0.006.5%1.7%8.8%0.0%0.0%0.2%-0.7%0000.0016.330000
2017-09-18$45.82$0.009.2%2.5%8.9%6.2%0.0%1.0%0.0%0000.0016.800000
2017-09-19$45.74$0.009.0%2.5%9.0%5.8%0.0%0.2%0.0%0000.0015.850000
2017-09-20$45.58$0.008.9%2.6%8.6%5.7%0.0%-0.3%0.0%0000.0016.060000
2017-09-21$45.69$0.009.2%2.7%8.6%6.3%0.0%0.4%-1.2%0000.0016.100000
2017-09-22$45.39$0.008.8%2.0%8.9%5.3%0.0%0.4%6.9%0000.0015.300000
2017-09-25$44.71$0.009.2%2.9%10.3%6.3%0.0%0.9%0.0%0000.0015.050000
2017-09-26$44.59$0.009.3%3.0%10.2%6.4%0.0%-0.1%0.0%0000.0016.220000
2017-09-27$44.29$0.0012.3%3.1%10.4%13.4%0.0%1.7%0.0%0000.0016.170000
2017-09-28$44.24$0.009.3%2.4%10.2%6.6%0.0%-1.6%-4.2%0000.0015.850000
2017-09-29$44.77$0.009.2%3.1%11.1%6.2%0.0%0.2%-1.2%0000.0013.070000