AGEN Options History — August 2015

In August 2015, AGEN traded between $130.52 and $162.12. ATM implied volatility averaged 72.1%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 20.4%. IV traded above realized volatility by 30.3% (HV 20d: 41.8%). Max pain ranged from $147.20 to $157.02. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 2.60.

Notable Days

  • 2015-08-13: Highest Volume — 310 contracts
  • 2015-08-10: Largest IV spike — 28.6% change
  • 2015-08-25: Highest IV Rank — 40.1%
  • 2015-08-25: Largest Expected Move — 23.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$145.79$130.52$162.12$162.12$139.74
Max Pain$155.61$147.20$157.02$147.20$157.02
ATM IV72.1%61.8%81.7%71.7%79.5%
Expected Move20.4%18.3%23.4%20.5%22.8%
HV 20d41.8%33.0%52.7%43.1%52.1%
HV 60d57.8%54.8%59.9%58.4%54.8%
IV Rank29.5%18.4%40.1%25.2%38.2%
IV Percentile42.5%13.1%69.4%43.3%65.5%
Term Structure-1.4%-10.3%9.9%-3.9%-6.9%
VWIV66.7%56.3%75.9%58.6%66.3%
Skew 25d3.6%-10.7%29.9%-5.5%18.3%
Skew 10d2.5%-29.7%34.7%9.0%31.2%
Call IV 25d70.2%63.2%82.9%65.2%70.7%
Put IV 25d73.8%58.8%93.9%59.8%89.0%
Bid-Ask Spread %71.4724.9598.8265.3349.50
Gamma HHI0.320.200.480.270.24
Net GEX-50.9K-111.0K-9.5K-32.7K-16.3K
Net DEX403.6K-2.8M3.2M-2.8M1.1M
Net VEX-23.2K-28.4K-18.1K-28.4K-19.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.600.047.500.350.86
Total Volume156.195310589
Total OI1,575.6199271,9791,754956

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$162.12$147.2071.7%20.5%43.1%25.2%58.6%-5.5%-3.9%-32.7K-2.8M-28.4K0.3565.3341824930
2015-08-04$158.39$147.2067.6%19.4%42.7%22.4%68.7%-1.3%-2.9%-31.2K-2.4M-27.8K4.3331.5833142823930
2015-08-05$161.53$147.2071.7%20.5%35.3%25.2%72.6%-4.9%0.4%-28.5K-2.7M-28.3K5.0952.2728142819930
2015-08-06$155.84$157.0270.7%18.4%35.4%24.6%64.6%-2.9%2.8%-41.1K-1.5M-26.9K5.8241.2638220819930
2015-08-07$151.32$157.0261.8%20.2%33.0%18.4%70.1%-1.1%-0.6%-83.2K347.5K-26.9K7.2845.14332438111,008
2015-08-10$154.27$157.0279.5%19.4%34.1%30.6%69.0%8.4%9.9%-70.9K-353.2K-27.5K7.5098.82322438121,024
2015-08-11$147.40$157.0278.1%19.6%36.0%29.7%66.7%-3.2%-2.1%-68.1K309.4K-25.9K0.7077.3896812983
2015-08-12$147.60$157.0263.7%18.3%36.1%19.7%64.6%12.5%4.0%-83.8K846.1K-24.3K7.4391.6031232816983
2015-08-13$143.08$157.0267.7%19.4%34.5%28.0%56.3%-10.7%4.2%-77.8K1.3M-23.5K2.4573.1490220816981
2015-08-14$143.28$157.0264.2%18.4%34.5%25.0%64.2%-8.4%0.4%-86.7K2.1M-22.0K2.4391.2070170832983
2015-08-17$151.91$157.0270.6%20.2%42.4%30.5%67.4%3.6%0.8%-84.1K-656.9K-23.6K1.7791.405190876994
2015-08-18$146.42$157.0269.3%19.9%43.1%29.4%63.3%-9.0%-2.6%-92.9K-37.3K-23.5K2.2094.843883896993
2015-08-19$147.40$157.0265.6%18.8%43.1%26.2%68.8%-1.6%2.7%-111.0K94.9K-23.6K0.0438.256538981,016
2015-08-20$139.74$157.0270.2%20.1%45.2%30.2%66.2%-9.3%-4.9%-76.7K1.6M-21.8K0.3381.71164559011,016
2015-08-21$137.78$157.0272.6%20.8%43.6%32.3%65.8%15.8%-0.7%-16.0K3.2M-19.7K0.3493.74140479601,019
2015-08-24$130.52$157.0279.8%22.9%46.3%38.5%68.3%7.8%-10.0%-9.5K1.8M-18.4K0.8891.185347471456
2015-08-25$130.91$157.0281.7%23.4%46.6%40.1%75.9%10.3%-10.3%-11.3K1.8M-18.1K1.0786.984549474469
2015-08-26$135.23$157.0277.2%22.1%49.1%36.2%70.5%15.3%-6.3%-15.6K1.7M-18.9K1.4090.183955468473
2015-08-27$134.84$157.0269.0%19.8%48.4%29.2%63.1%11.1%0.4%-16.3K1.7M-18.9K1.3824.953853471469
2015-08-28$142.30$157.0281.6%23.4%52.7%40.0%70.4%29.9%-4.8%-15.9K1.1M-20.2K0.9090.404742474472
2015-08-31$139.74$157.0279.5%22.8%52.1%38.2%66.3%18.3%-6.9%-16.3K1.1M-19.8K0.8649.504841482474