AGEN Options History — October 2015

In October 2015, AGEN traded between $86.95 and $99.12. ATM implied volatility averaged 70.7%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 20.6%. IV traded below realized volatility by 7.2% (HV 20d: 77.9%). Max pain ranged from $98.14 to $157.02. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.52.

Notable Days

  • 2015-10-27: Highest Volume — 235 contracts
  • 2015-10-27: Largest IV spike — 35.5% change
  • 2015-10-27: Highest IV Rank — 58.2%
  • 2015-10-27: Largest Expected Move — 26.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$94.00$86.95$99.12$86.95$89.30
Max Pain$149.88$98.14$157.02$98.14$137.39
ATM IV70.7%57.8%91.0%74.2%82.5%
Expected Move20.6%16.6%26.1%21.3%23.6%
HV 20d77.9%50.9%89.7%82.0%50.9%
HV 60d65.0%61.3%67.7%61.3%67.2%
IV Rank33.8%23.6%58.2%33.7%49.3%
IV Percentile42.1%6.7%88.1%58.3%81.7%
Term Structure6.6%-9.0%60.6%-5.6%20.4%
VWIV70.1%57.3%94.2%73.8%77.2%
Skew 25d6.6%-27.8%71.7%-20.8%19.9%
Skew 10d19.5%-19.5%75.4%7.7%37.3%
Call IV 25d67.8%40.9%88.7%76.6%63.8%
Put IV 25d74.4%51.3%159.3%55.7%83.7%
Bid-Ask Spread %38.7719.40111.0632.0037.31
Gamma HHI0.330.170.640.200.64
Net GEX19.3K1.3K52.2K4.5K51.0K
Net DEX2.4M1.3M3.1M2.9M1.4M
Net VEX-6.3K-8.5K-4.9K-4.9K-8.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.000.960.750.49
Total Volume104.727252357983
Total OI1,161.0911,0671,3501,0871,350

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$86.95$98.1474.2%21.3%82.0%33.7%73.8%-20.8%-5.6%4.5K2.9M-4.9K0.7532.004534639448
2015-10-02$94.41$98.1466.8%19.1%89.7%27.2%70.4%-5.2%0.9%1.4K3.1M-5.6K0.7535.974534641461
2015-10-05$95.19$157.0266.5%21.5%89.5%27.0%66.5%-2.4%-4.2%1.3K3.0M-5.9K0.0025.96250642461
2015-10-06$94.80$157.0276.2%23.0%87.6%35.4%73.4%1.0%2.8%2.8K3.0M-6.4K0.6328.026239659461
2015-10-07$94.41$157.0265.7%22.1%84.7%26.3%64.0%8.4%-2.7%1.9K2.9M-6.4K0.6928.025840661466
2015-10-08$93.82$157.0270.1%19.3%83.5%30.1%69.2%3.8%4.1%4.7K3.0M-5.9K0.4424.865926686469
2015-10-09$93.42$157.0264.7%21.5%83.4%25.4%69.5%8.3%-7.8%2.8K2.9M-6.4K0.4426.645926686470
2015-10-12$93.03$157.0284.9%22.3%83.2%42.9%57.3%28.8%-9.0%2.4K2.8M-6.3K0.4660.435927692472
2015-10-13$89.50$157.0276.9%22.4%83.1%36.0%63.3%32.0%-5.0%11.7K2.9M-5.6K0.5222.195529693469
2015-10-14$90.87$157.0270.5%20.2%84.0%30.5%63.9%25.6%2.6%11.8K3.0M-5.3K0.5734.155029693471
2015-10-15$99.12$157.0267.5%19.3%85.1%27.9%68.6%32.0%14.6%14.8K2.7M-6.1K0.6334.548554695471
2015-10-16$99.12$157.0262.5%17.9%82.5%28.4%60.8%-0.0%11.8%19.1K2.3M-6.1K0.4630.0411854724448
2015-10-19$97.35$157.0259.4%17.0%80.8%25.3%58.5%-26.9%60.6%19.3K2.5M-5.7K0.6819.407349652415
2015-10-20$92.05$157.0257.8%16.6%82.4%23.6%67.9%-9.6%-3.0%25.8K2.0M-5.7K0.74101.967354676415
2015-10-21$92.64$157.0272.3%20.7%82.6%38.7%69.7%13.4%-3.6%20.3K2.4M-5.6K0.9629.425755676415
2015-10-22$98.14$157.0261.5%17.6%85.8%27.4%69.5%8.8%8.8%26.5K2.4M-5.9K0.5034.435930690415
2015-10-23$98.92$157.0267.6%19.4%70.1%33.8%72.4%-22.0%-5.9%26.9K2.2M-6.5K0.2423.8212630692415
2015-10-26$98.14$157.0267.1%19.2%60.9%33.3%65.9%-12.6%7.1%42.2K1.9M-7.1K0.5423.644625769415
2015-10-27$93.23$157.0291.0%26.1%62.1%58.2%89.9%-27.8%11.5%32.5K1.7M-7.2K0.1753.3320233774416
2015-10-28$92.44$157.0269.3%19.9%60.3%35.5%94.2%71.7%29.8%48.8K1.3M-8.5K0.38111.067227910421
2015-10-29$91.07$137.3980.1%23.0%58.7%46.8%76.7%18.8%17.6%52.2K1.3M-8.5K0.3835.767127927423
2015-10-30$89.30$137.3982.5%23.6%50.9%49.3%77.2%19.9%20.4%51.0K1.4M-8.1K0.4937.315627927423