ETQ Options History — November 2017

In November 2017, ETQ traded between $45.62 and $47.79. ATM implied volatility averaged 9.3%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 3.1%. IV traded below realized volatility by 1.3% (HV 20d: 10.5%). Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 3 of 21 days.

Notable Days

  • 2017-11-27: Largest IV spike — 44.5% change
  • 2017-11-27: Highest IV Rank — 14.6%
  • 2017-11-08: Largest Expected Move — 4.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.72$45.62$47.79$46.65$46.28
ATM IV9.3%6.5%12.8%9.0%12.4%
Expected Move3.1%2.1%4.8%3.5%3.0%
HV 20d10.5%8.7%13.7%9.6%13.7%
HV 60d10.3%9.6%11.4%10.9%11.4%
IV Rank6.5%0.0%14.6%5.8%13.8%
IV Percentile30.8%0.4%91.7%20.6%91.3%
Term Structure0.4%-3.1%7.2%0.7%-3.1%
Skew 25d2.2%-1.0%8.8%0.5%8.8%
Skew 10d3.4%0.7%6.8%1.5%6.6%
Call IV 25d10.7%8.9%12.3%11.1%9.1%
Put IV 25d12.8%10.4%17.9%11.7%17.9%
Bid-Ask Spread %16.9712.2122.1817.1715.16
Net GEX00000
Net DEX00000
Net VEX00000
Div Yield0.0%0.0%0.0%0.0%0.0%
Total Volume00000
Total OI00000

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$46.65$0.009.0%3.5%9.6%5.8%0.0%0.5%0.0%0000.0017.170000
2017-11-02$46.52$0.006.5%3.5%9.4%0.0%0.0%1.3%0.7%0000.0014.860000
2017-11-03$46.32$0.008.4%3.1%9.1%4.6%0.0%0.7%7.2%0000.0019.230000
2017-11-06$46.74$0.008.8%4.3%9.5%5.4%0.0%-1.0%0.0%0000.0014.970000
2017-11-07$46.61$0.008.8%4.4%8.9%5.5%0.0%-0.2%0.0%0000.0015.170000
2017-11-08$46.70$0.008.9%4.8%8.9%5.6%0.0%-0.7%0.0%0000.0016.040000
2017-11-09$46.38$0.0011.7%3.2%9.2%12.1%0.0%0.6%-1.5%0000.0022.180000
2017-11-10$46.30$0.009.0%3.4%8.7%5.8%0.0%0.6%5.5%0000.0018.940000
2017-11-13$46.15$0.007.7%2.2%8.8%2.9%0.0%-0.6%0.0%0000.0018.940000
2017-11-14$45.93$0.008.7%2.5%8.7%5.3%0.0%0.7%0.0%0000.0019.090000
2017-11-15$45.62$0.008.9%2.5%8.9%5.6%0.0%-0.8%0.0%0000.0021.810000
2017-11-16$46.54$0.007.3%2.1%10.9%2.0%0.0%0.1%-2.6%0000.0015.400000
2017-11-17$46.86$0.008.9%2.6%11.0%5.6%0.0%0.5%-1.2%0000.0019.890000
2017-11-20$46.95$0.0012.1%2.6%10.8%12.9%0.0%5.5%0.0%0000.0017.110000
2017-11-21$47.76$0.008.9%2.8%12.1%5.7%0.0%4.9%0.0%0000.0016.020000
2017-11-22$47.79$0.008.9%2.9%11.8%5.7%0.0%4.3%-0.8%0000.0015.230000
2017-11-24$47.68$0.008.9%3.0%11.9%5.5%0.0%5.3%-0.7%0000.0015.610000
2017-11-27$47.14$0.0012.8%3.1%12.8%14.6%0.0%7.3%0.0%0000.0012.210000
2017-11-28$47.35$0.008.9%2.4%12.8%5.5%0.0%2.6%0.0%0000.0015.920000
2017-11-29$46.76$0.009.1%3.6%13.6%6.2%0.0%5.3%0.0%0000.0015.370000
2017-11-30$46.28$0.0012.4%3.0%13.7%13.8%0.0%8.8%-3.1%0000.0015.160000