ETQ Options History — October 2017

In October 2017, ETQ traded between $44.91 and $46.69. ATM implied volatility averaged 8.6%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 2.1% (HV 20d: 10.7%). Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 0 of 22 days.

Notable Days

  • 2017-10-17: Largest IV spike — 28.7% change
  • 2017-10-17: Highest IV Rank — 11.3%
  • 2017-10-10: Largest Expected Move — 4.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.96$44.91$46.69$44.91$46.17
ATM IV8.6%7.0%11.4%9.2%7.0%
Expected Move3.1%1.8%4.6%3.5%3.0%
HV 20d10.7%9.0%11.9%11.0%9.0%
HV 60d10.7%10.3%11.0%11.0%10.8%
IV Rank4.9%1.2%11.3%6.3%1.2%
IV Percentile14.4%0.4%74.2%18.3%0.4%
Term Structure-1.7%-3.6%-0.7%-2.7%-3.6%
Skew 25d0.8%-1.3%2.1%1.7%0.5%
Skew 10d2.5%0.1%6.8%2.6%3.8%
Call IV 25d11.1%9.9%12.6%10.6%11.3%
Put IV 25d11.9%11.3%12.7%12.3%11.8%
Bid-Ask Spread %15.5010.5419.2713.1317.51
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
2017-10-02$44.91$0.009.2%3.5%11.0%6.3%0.0%1.7%0.0%0000.0013.130000
2017-10-03$45.38$0.009.3%2.6%10.9%6.4%0.0%-1.3%0.0%0000.0016.780000
2017-10-04$45.54$0.008.9%3.5%10.9%5.6%0.0%0.4%0.0%0000.0014.010000
2017-10-05$45.86$0.009.1%3.8%10.9%6.0%0.0%1.5%-2.7%0000.0013.640000
2017-10-06$45.51$0.008.6%3.7%11.2%5.0%0.0%0.2%-1.1%0000.0014.670000
2017-10-09$45.51$0.008.8%4.2%10.5%5.4%0.0%-0.1%0.0%0000.0010.540000
2017-10-10$46.01$0.008.8%4.6%11.2%5.4%0.0%1.4%0.0%0000.0014.120000
2017-10-11$46.15$0.007.9%4.5%11.0%3.3%0.0%0.9%0.0%0000.0011.250000
2017-10-12$46.29$0.007.1%1.8%11.0%1.5%0.0%2.0%-0.7%0000.0018.580000
2017-10-13$46.66$0.009.0%2.4%11.2%5.9%0.0%0.7%-1.4%0000.0015.740000
2017-10-16$46.69$0.008.8%2.4%11.0%5.5%0.0%1.3%0.0%0000.0015.660000
2017-10-17$46.42$0.0011.4%3.4%11.2%11.3%0.0%1.7%0.0%0000.0015.290000
2017-10-18$46.51$0.008.7%2.5%11.1%5.1%0.0%0.6%0.0%0000.0015.140000
2017-10-19$46.01$0.008.3%2.4%11.9%4.2%0.0%0.8%0.0%0000.0019.270000
2017-10-20$46.26$0.007.0%2.1%11.7%1.3%0.0%1.1%-1.5%0000.0016.830000
2017-10-23$46.01$0.008.7%2.8%10.3%5.3%0.0%1.2%0.0%0000.0016.340000
2017-10-24$45.98$0.007.8%2.3%10.3%3.0%0.0%2.1%0.0%0000.0016.380000
2017-10-25$45.72$0.009.1%3.0%10.2%6.0%0.0%-0.8%0.0%0000.0015.910000
2017-10-26$45.72$0.009.1%3.1%10.1%6.1%0.0%1.8%-1.2%0000.0015.920000
2017-10-27$45.94$0.007.6%3.0%9.5%2.6%0.0%0.4%-3.6%0000.0017.190000
2017-10-30$45.91$0.008.8%3.4%9.5%5.3%0.0%0.6%0.0%0000.0017.170000
2017-10-31$46.17$0.007.0%3.0%9.0%1.2%0.0%0.5%0.0%0000.0017.510000