AGEN Options History — June 2015

In June 2015, AGEN traded between $156.04 and $191.95. ATM implied volatility averaged 66.0%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded above realized volatility by 2.7% (HV 20d: 63.3%). Max pain ranged from $137.39 to $157.02. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.96.

Notable Days

  • 2015-06-18: Highest Volume — 328 contracts
  • 2015-06-09: Largest IV spike — 20.7% change
  • 2015-06-29: Highest IV Rank — 28.8%
  • 2015-06-29: Largest Expected Move — 22.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$171.06$156.04$191.95$157.61$169.38
Max Pain$151.66$137.39$157.02$137.39$157.02
ATM IV66.0%58.1%76.9%68.5%68.3%
Expected Move18.9%17.3%22.0%19.7%19.6%
HV 20d63.3%53.5%76.6%59.9%71.8%
HV 60d59.1%56.1%62.7%57.1%62.7%
IV Rank21.3%15.9%28.8%23.1%22.9%
IV Percentile24.0%8.7%56.0%26.2%30.2%
Term Structure2.5%-9.5%11.4%-2.0%3.0%
VWIV65.1%58.8%73.1%65.9%72.2%
Skew 25d1.0%-9.6%9.7%2.3%5.2%
Skew 10d1.8%-29.3%22.3%5.7%17.8%
Call IV 25d66.6%58.0%72.1%67.4%70.1%
Put IV 25d67.6%61.2%75.2%69.7%75.2%
Bid-Ask Spread %60.2936.5195.6661.5437.29
Gamma HHI0.260.180.320.180.27
Net GEX93.8K48.8K143.2K68.6K87.1K
Net DEX-8.9M-12.8M-5.7M-6.7M-8.3M
Net VEX-24.0K-30.0K-18.9K-21.5K-29.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.353.520.470.42
Total Volume140.136932813582
Total OI1,406.51,1401,6921,1401,692

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$157.61$137.3968.5%19.7%59.9%23.1%65.9%2.3%-2.0%68.6K-6.7M-21.5K0.4761.549243695445
2015-06-02$156.04$137.3965.4%18.8%59.7%20.9%65.4%3.0%6.1%79.6K-6.8M-23.0K0.5095.6663749448
2015-06-03$161.73$137.3966.9%19.2%55.3%21.9%67.7%5.4%-2.9%86.5K-7.5M-21.8K0.4941.4811657749451
2015-06-04$161.14$137.3967.8%19.0%54.7%22.5%60.5%-9.6%6.1%101.8K-7.7M-23.8K2.0657.052653806467
2015-06-05$174.48$137.3961.5%18.6%59.7%18.2%59.5%-1.4%1.2%105.5K-9.6M-22.1K0.4557.498538808467
2015-06-08$176.25$137.3958.1%17.4%59.4%15.9%63.3%-3.2%10.4%112.8K-10.3M-22.1K1.2147.125667826468
2015-06-09$173.31$157.0270.2%18.9%59.5%24.2%61.8%-8.1%3.0%107.0K-9.7M-21.5K1.0967.026268826492
2015-06-10$174.88$157.0260.3%17.3%57.3%17.3%63.6%3.1%9.6%118.3K-10.1M-22.3K1.2873.684760846496
2015-06-11$183.91$157.0260.5%17.3%57.0%17.5%62.2%-9.6%8.7%114.7K-11.5M-21.5K0.9759.295857849496
2015-06-12$186.06$157.0265.6%18.8%57.0%21.0%62.3%-3.1%2.7%120.8K-12.0M-22.4K0.7673.505239865499
2015-06-15$189.40$157.0260.9%17.5%55.7%17.8%60.3%9.7%11.4%143.2K-12.7M-20.0K1.1250.453843886501
2015-06-16$190.19$157.0265.0%18.7%54.8%20.7%58.8%-5.6%4.4%118.8K-12.7M-20.9K0.5573.327843866508
2015-06-17$191.95$157.0263.2%18.1%53.5%19.4%64.1%-0.8%6.0%118.8K-12.8M-18.9K0.6884.877148868510
2015-06-18$169.58$157.0268.5%19.6%73.1%23.1%69.5%7.5%4.8%73.0K-8.7M-22.4K0.5853.48208120868517
2015-06-19$169.77$157.0265.4%18.8%73.2%20.9%69.2%7.2%5.4%97.1K-9.0M-23.8K1.2680.82141178970574
2015-06-22$160.16$157.0264.8%18.6%75.2%20.5%66.8%6.9%-1.3%69.9K-6.2M-25.6K0.3962.4111545828548
2015-06-23$168.79$157.0269.6%20.0%76.6%23.8%69.0%-2.4%-2.8%97.4K-7.7M-25.6K1.8177.99105191876551
2015-06-24$166.24$157.0272.3%20.7%72.1%25.7%68.6%6.0%-8.6%63.7K-7.5M-30.0K3.5256.4050176934712
2015-06-25$165.46$157.0265.7%18.8%71.1%21.1%64.9%-0.2%0.7%66.7K-7.2M-28.8K0.7136.514431936713
2015-06-26$158.39$157.0266.6%19.1%68.5%21.7%62.8%5.9%-2.3%48.8K-5.7M-29.6K0.4437.757533941715
2015-06-29$158.59$157.0276.9%22.0%68.1%28.8%73.1%3.6%-9.5%63.7K-6.1M-30.0K0.3541.236122975706
2015-06-30$169.38$157.0268.3%19.6%71.8%22.9%72.2%5.2%3.0%87.1K-8.3M-29.9K0.4237.295824985707