ETQ Options History — December 2017

In December 2017, ETQ traded between $45.18 and $47.18. ATM implied volatility averaged 9.7%, placing in the 7.5% IV rank vs the trailing year. The 30-day expected move averaged 3.3%. IV traded below realized volatility by 5.6% (HV 20d: 15.3%). Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 0 of 20 days.

Notable Days

  • 2017-12-14: Largest IV spike — 42.1% change
  • 2017-12-15: Highest IV Rank — 15.5%
  • 2017-12-08: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.15$45.18$47.18$45.86$47.18
ATM IV9.7%7.9%13.2%9.4%10.5%
Expected Move3.3%2.3%5.6%3.8%2.9%
HV 20d15.3%13.7%16.7%14.0%14.4%
HV 60d12.3%11.3%12.8%11.5%12.5%
IV Rank7.5%3.2%15.5%6.9%9.3%
IV Percentile42.4%7.5%93.3%40.9%73.0%
Term Structure-3.9%-7.6%-0.6%-1.6%-6.4%
Skew 25d2.4%-9.8%7.7%4.6%3.4%
Skew 10d3.1%-6.4%7.6%3.8%7.6%
Call IV 25d10.9%8.9%24.4%10.6%9.6%
Put IV 25d13.3%10.1%16.5%15.2%13.0%
Bid-Ask Spread %15.9210.2019.7916.3713.70
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
2017-12-01$45.86$0.009.4%3.8%14.0%6.9%0.0%4.6%-1.6%0000.0016.370000
2017-12-04$46.15$0.009.4%4.3%14.1%6.7%0.0%5.1%0.0%0000.0012.680000
2017-12-05$46.03$0.009.4%4.6%13.7%6.9%0.0%4.3%0.0%0000.0013.070000
2017-12-06$45.18$0.009.2%4.4%15.1%6.3%0.0%4.6%0.0%0000.0013.850000
2017-12-07$45.35$0.009.2%4.7%15.2%6.4%0.0%3.0%-1.6%0000.0010.200000
2017-12-08$45.87$0.009.5%5.6%15.7%7.1%0.0%-9.8%-7.3%0000.0011.710000
2017-12-11$46.19$0.0010.7%2.6%15.9%9.7%0.0%4.5%0.0%0000.0018.630000
2017-12-12$45.76$0.009.4%2.6%16.2%6.7%0.0%4.0%0.0%0000.0019.560000
2017-12-13$46.32$0.009.2%2.6%16.7%6.2%0.0%2.6%0.0%0000.0019.790000
2017-12-14$46.23$0.0013.0%2.3%16.5%15.1%0.0%6.5%-7.6%0000.0018.670000
2017-12-15$46.12$0.0013.2%3.4%14.9%15.5%0.0%7.7%-5.2%0000.0019.450000
2017-12-18$46.69$0.009.1%2.5%15.4%6.0%0.0%5.2%0.0%0000.0019.080000
2017-12-19$45.82$0.009.0%2.5%16.7%5.9%0.0%0.7%0.0%0000.0015.700000
2017-12-20$45.90$0.009.0%2.6%15.3%5.9%0.0%0.9%0.0%0000.0016.920000
2017-12-21$46.14$0.007.9%2.3%15.5%3.2%0.0%1.6%-0.6%0000.0015.860000
2017-12-22$46.36$0.008.4%2.6%15.6%4.5%0.0%-2.5%-3.4%0000.0016.880000
2017-12-26$46.39$0.0011.5%3.8%15.2%11.6%0.0%0.9%0.0%0000.0016.720000
2017-12-27$46.54$0.008.5%2.8%15.2%4.7%0.0%-0.3%0.0%0000.0016.800000
2017-12-28$46.93$0.008.6%3.0%14.8%4.9%0.0%1.1%-1.1%0000.0012.750000
2017-12-29$47.18$0.0010.5%2.9%14.4%9.3%0.0%3.4%-6.4%0000.0013.700000