AGEN Options History — July 2015

In July 2015, AGEN traded between $162.12 and $185.08. ATM implied volatility averaged 71.9%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 20.0%. IV traded above realized volatility by 10.2% (HV 20d: 61.8%). Max pain ranged from $147.20 to $157.02. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.28.

Notable Days

  • 2015-07-27: Highest Volume — 220 contracts
  • 2015-07-15: Largest IV drop — 28.8% change
  • 2015-07-14: Highest IV Rank — 36.6%
  • 2015-07-07: Largest Expected Move — 21.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$174.93$162.12$185.08$171.54$167.22
Max Pain$148.10$147.20$157.02$157.02$147.20
ATM IV71.9%62.7%88.1%71.7%67.9%
Expected Move20.0%18.0%21.5%20.5%19.5%
HV 20d61.8%46.7%74.0%70.9%47.0%
HV 60d62.6%58.0%65.4%62.6%58.0%
IV Rank25.4%19.0%36.6%25.2%22.6%
IV Percentile41.1%15.5%76.2%43.3%27.0%
Term Structure1.4%-6.3%12.6%2.8%-0.7%
VWIV67.6%59.3%74.4%72.7%66.2%
Skew 25d1.6%-7.7%12.2%-5.8%0.2%
Skew 10d4.4%-25.8%30.5%26.9%13.0%
Call IV 25d69.9%61.8%79.0%77.8%70.6%
Put IV 25d71.6%66.7%77.3%72.0%70.7%
Bid-Ask Spread %55.5727.0077.0243.1043.51
Gamma HHI0.290.230.450.260.24
Net GEX90.0K-18.7K270.4K92.9K-4.9K
Net DEX-8.4M-13.0M-2.9M-8.9M-4.0M
Net VEX-27.1K-31.4K-22.6K-29.5K-30.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.134.250.834.25
Total Volume140.3646022060174
Total OI1,699.8641,3511,8561,7021,739

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$171.54$157.0271.7%20.5%70.9%25.2%72.7%-5.8%2.8%92.9K-8.9M-29.5K0.8343.103327993709
2015-07-02$169.38$157.0267.1%19.2%71.1%22.0%65.8%-7.7%1.5%96.7K-8.6M-29.4K0.7049.1637261,000716
2015-07-06$179.20$147.2075.3%21.0%68.2%27.8%67.8%-2.7%5.1%120.8K-10.6M-27.5K0.2159.04114241,007716
2015-07-07$182.34$147.2072.5%21.5%68.3%25.9%74.4%10.6%2.9%157.6K-11.7M-28.7K0.4855.7861291,076717
2015-07-08$169.19$147.2076.3%21.0%73.3%28.5%63.3%-1.7%1.0%134.9K-9.1M-29.3K0.2072.57104201,100721
2015-07-09$173.90$147.2082.3%21.1%74.0%32.6%66.5%0.1%-3.3%150.6K-10.0M-29.0K0.2152.6595201,087724
2015-07-10$179.98$147.2071.2%20.7%72.7%24.9%68.2%3.3%5.1%184.5K-11.3M-27.3K0.5271.8190471,082724
2015-07-13$180.96$147.2082.4%19.2%72.6%32.7%69.0%6.8%3.9%199.1K-11.9M-26.3K0.1367.89130171,086753
2015-07-14$182.53$147.2088.1%19.9%72.4%36.6%68.6%2.1%2.1%270.4K-12.9M-25.1K0.1971.7688171,104752
2015-07-15$179.39$147.2062.7%18.0%72.5%19.0%61.0%-3.4%12.6%250.0K-12.3M-23.8K0.3769.3793341,100752
2015-07-16$183.91$147.2065.5%18.8%73.1%21.0%64.6%4.2%6.2%84.0K-13.0M-23.4K0.5977.02110641,069755
2015-07-17$184.10$147.2069.7%20.0%57.2%23.9%67.1%1.3%0.2%63.9K-12.4M-22.8K0.6153.5192561,027787
2015-07-20$185.08$147.2069.3%19.9%57.2%23.6%59.3%7.3%-0.1%71.8K-8.6M-22.6K0.6272.988452753598
2015-07-21$180.18$147.2072.0%20.6%53.6%25.5%71.0%3.9%-1.1%54.6K-7.8M-23.0K1.7456.154375762629
2015-07-22$181.16$147.2069.0%19.8%50.7%23.4%71.6%10.6%0.5%46.4K-7.5M-24.6K1.3138.063648769686
2015-07-23$175.47$147.2068.2%19.5%51.9%22.8%67.4%6.2%2.9%37.4K-6.6M-24.4K2.0850.3162130770686
2015-07-24$168.01$147.2065.1%18.7%54.4%20.7%62.6%12.2%3.1%20.6K-5.5M-26.1K2.3346.7354125794744
2015-07-27$165.06$147.2070.9%20.3%52.3%24.7%69.7%-3.7%-2.3%-10.6K-3.3M-30.1K2.8727.0057163807890
2015-07-28$163.30$147.2072.7%20.8%52.5%25.9%70.2%-3.7%-2.1%-10.3K-3.3M-31.4K3.0841.7849151823917
2015-07-29$162.12$147.2070.5%20.2%46.7%24.4%70.1%-2.8%-2.4%-18.7K-2.9M-30.2K2.9261.5743126820917
2015-07-30$164.47$147.2072.6%20.8%46.8%25.9%70.1%-1.3%-6.3%-10.9K-3.3M-30.4K2.0340.8362126821915
2015-07-31$167.22$147.2067.9%19.5%47.0%22.6%66.2%0.2%-0.7%-4.9K-4.0M-30.2K4.2543.5133141824915