AGEN Options History — March 2015

In March 2015, AGEN traded between $91.85 and $108.93. ATM implied volatility averaged 59.1%, placing in the 15.2% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded above realized volatility by 1.9% (HV 20d: 57.2%). Max pain ranged from $78.51 to $98.14. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.20.

Notable Days

  • 2015-03-30: Highest Volume — 168 contracts
  • 2015-03-11: Largest IV spike — 57.4% change
  • 2015-03-11: Highest IV Rank — 28.1%
  • 2015-03-05: Largest Expected Move — 22.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$101.76$91.85$108.93$95.78$100.29
Max Pain$93.67$78.51$98.14$98.14$98.14
ATM IV59.1%35.3%75.8%50.2%62.3%
Expected Move18.2%14.4%22.1%14.4%17.9%
HV 20d57.2%53.9%60.2%58.9%58.3%
HV 60d88.2%84.2%91.2%90.8%86.6%
IV Rank15.2%0.0%28.1%4.6%18.8%
IV Percentile10.0%0.0%35.3%1.6%11.5%
Term Structure11.7%-6.6%24.9%24.9%8.2%
VWIV63.5%50.4%76.5%51.8%62.6%
Skew 25d-1.9%-18.6%16.4%-14.9%-10.4%
Skew 10d-0.7%-27.6%28.7%-27.6%-18.0%
Call IV 25d63.8%49.2%76.8%66.5%71.2%
Put IV 25d61.9%51.6%77.5%51.6%60.8%
Bid-Ask Spread %60.3918.16102.7457.6397.54
Gamma HHI0.390.310.530.320.42
Net GEX25.0K-5.1K36.0K14.9K-5.1K
Net DEX-1.7M-2.5M-918.2K-1.1M-918.2K
Net VEX-6.8K-7.4K-5.7K-7.2K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.008.143.038.14
Total Volume35.636416884160
Total OI493.773398558479540

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$95.78$98.1450.2%14.4%58.9%4.6%51.8%-14.9%24.9%14.9K-1.1M-7.2K3.0357.632163374105
2015-03-03$95.19$98.1457.0%16.4%56.9%9.6%57.0%3.8%16.2%15.6K-1.1M-7.0K0.6226.761711377107
2015-03-04$99.90$98.1452.6%15.1%57.7%6.3%50.4%-5.1%17.3%16.5K-1.3M-7.1K0.4354.304821372107
2015-03-05$104.02$98.1451.4%22.1%58.7%5.5%64.7%8.9%-6.6%22.8K-1.9M-7.1K0.5351.90189400116
2015-03-06$100.29$98.1444.2%18.1%59.2%0.1%65.4%-8.7%11.2%23.2K-1.6M-7.3K0.5543.00169401117
2015-03-09$100.10$98.1435.3%17.9%58.8%0.0%0.0%-18.6%19.2%20.0K-1.5M-7.1K0.9527.0522402116
2015-03-10$102.45$98.1448.2%21.1%58.6%8.9%73.7%1.6%3.7%25.3K-1.6M-6.9K4.0755.0926402115
2015-03-11$105.99$98.1475.8%21.7%56.4%28.1%65.8%14.2%1.5%27.7K-2.1M-6.8K0.0018.16260402115
2015-03-12$108.93$78.5164.6%18.5%55.0%20.4%76.5%16.1%8.2%36.0K-2.4M-7.4K0.0553.04261420115
2015-03-13$106.38$78.5167.6%19.4%55.6%22.4%64.0%-0.2%10.1%31.9K-2.4M-7.2K0.3641.0693433115
2015-03-16$105.20$78.5170.0%20.1%55.8%24.0%71.6%-10.1%2.3%30.9K-2.3M-6.9K0.0037.1990432118
2015-03-17$106.18$78.5163.3%18.2%55.2%19.4%63.0%-10.4%13.4%31.2K-2.4M-7.0K0.0345.2350436118
2015-03-18$103.83$78.5171.8%20.6%55.9%25.3%65.8%-4.0%10.4%29.6K-2.0M-6.8K0.2084.8992436118
2015-03-19$108.93$98.1467.5%19.4%58.3%22.4%70.5%16.4%3.8%29.5K-2.5M-6.6K0.2230.78215431120
2015-03-20$105.99$98.1461.8%17.7%59.3%18.4%66.3%-4.8%13.3%29.6K-2.5M-6.7K0.0187.65260437121
2015-03-23$101.28$98.1458.8%16.8%56.3%16.3%57.7%-8.9%19.7%29.9K-1.6M-6.3K0.6394.203234553
2015-03-24$103.04$98.1469.4%19.9%55.9%23.7%71.3%-8.4%15.9%29.4K-1.6M-6.5K0.0186.574034655
2015-03-25$96.17$98.1459.7%17.1%60.2%16.9%58.6%7.9%11.2%27.6K-1.4M-6.1K0.2444.9918434655
2015-03-26$91.85$98.1460.5%17.4%53.9%17.5%60.7%-1.4%12.0%25.5K-1.1M-5.7K0.4291.63241035261
2015-03-27$95.98$98.1456.5%16.2%55.6%14.8%0.0%1.9%17.6%26.8K-1.1M-5.8K0.16102.743135460
2015-03-30$100.88$98.1451.3%14.7%58.3%11.2%52.0%-6.1%24.4%31.0K-1.4M-6.2K5.7497.132514335662
2015-03-31$100.29$98.1462.3%17.9%58.3%18.8%62.6%-10.4%8.2%-5.1K-918.2K-7.1K8.1497.5418142357183