AGEN Options History — December 2015

In December 2015, AGEN traded between $76.35 and $100.49. ATM implied volatility averaged 76.0%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 21.8%. IV traded above realized volatility by 1.9% (HV 20d: 74.0%). Max pain ranged from $78.51 to $98.14. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.75.

Notable Days

  • 2015-12-03: Highest Volume — 113 contracts
  • 2015-12-21: Largest IV spike — 53.3% change
  • 2015-12-21: Highest IV Rank — 74.4%
  • 2015-12-21: Largest Expected Move — 30.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$88.36$76.35$100.49$100.49$89.70
Max Pain$95.46$78.51$98.14$98.14$78.51
ATM IV76.0%55.8%106.4%85.2%55.8%
Expected Move21.8%16.0%30.5%24.4%16.0%
HV 20d74.0%62.2%89.8%62.2%77.4%
HV 60d68.6%63.8%74.5%70.4%64.3%
IV Rank42.5%21.5%74.4%52.2%21.5%
IV Percentile53.7%4.8%96.8%82.5%4.8%
Term Structure-0.9%-40.6%57.9%-6.7%15.4%
VWIV74.1%55.5%89.5%84.0%55.5%
Skew 25d7.0%-36.1%38.5%19.3%-4.4%
Skew 10d20.3%-29.6%88.1%41.2%-4.7%
Call IV 25d71.8%56.1%92.3%80.3%56.1%
Put IV 25d78.8%44.8%119.4%99.5%51.7%
Bid-Ask Spread %51.6423.09127.4431.9439.70
Gamma HHI0.540.310.730.600.73
Net GEX35.7K13.6K67.6K62.0K55.5K
Net DEX-927.3K-2.4M-56.4K-2.4M-1.4M
Net VEX-6.3K-9.1K-4.6K-9.1K-6.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.163.453.450.53
Total Volume60.77361131238
Total OI604.409412701657529

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$100.49$98.1485.2%24.4%62.2%52.2%84.0%19.3%-6.7%62.0K-2.4M-9.1K3.4531.9439548109
2015-12-02$97.94$98.1477.5%22.2%62.8%44.1%77.2%13.8%-0.6%63.4K-2.2M-8.9K0.3430.347626550118
2015-12-03$92.25$98.1462.2%20.7%66.0%28.1%81.5%3.4%-7.3%67.6K-1.5M-8.1K0.2769.628924550118
2015-12-04$91.27$98.1464.0%22.0%65.4%30.0%70.9%-1.7%-7.3%67.6K-1.3M-7.8K0.2432.646415565116
2015-12-07$85.57$98.1496.2%21.2%69.1%63.6%64.6%-15.2%-40.6%41.1K-1.0M-6.8K2.4637.2524565116
2015-12-08$85.38$98.1478.3%23.7%69.1%45.0%79.6%9.6%-9.2%46.7K-633.6K-6.5K0.5430.923619565118
2015-12-09$83.22$98.1482.2%23.6%69.5%49.0%66.3%-3.0%-3.9%39.8K-494.4K-6.0K0.5528.673519567119
2015-12-10$85.97$98.1480.1%23.0%70.5%46.8%78.2%1.2%-12.0%13.6K-166.3K-5.1K0.5336.513719567119
2015-12-11$81.26$98.1478.8%22.6%72.1%45.5%72.3%-11.7%-14.5%36.3K-407.3K-5.7K0.5230.443719569119
2015-12-14$76.35$98.1469.4%19.9%74.0%35.7%74.8%3.9%-4.0%27.0K-298.9K-5.1K0.5499.853720571119
2015-12-15$76.94$98.1461.6%17.7%72.3%27.5%74.7%-36.1%16.7%20.9K-56.4K-4.6K1.1356.743944574120
2015-12-16$89.11$98.1486.2%24.7%89.8%53.2%89.5%5.5%-2.1%16.3K-649.2K-5.9K0.85127.444539584111
2015-12-17$89.30$98.1466.1%18.9%82.2%32.2%71.8%17.8%-1.1%18.3K-560.6K-5.8K0.8534.254236589112
2015-12-18$88.52$98.1469.5%19.9%82.2%35.7%72.5%10.6%28.7%17.1K-638.9K-5.7K0.8285.154234589107
2015-12-21$88.13$98.14106.4%30.5%81.3%74.4%79.7%38.5%-36.5%16.9K-691.3K-5.4K0.3543.55381334171
2015-12-22$86.95$98.1496.6%27.7%81.1%64.1%70.7%18.6%57.9%15.2K-747.9K-5.3K0.47125.13281334371
2015-12-23$88.13$98.1481.4%23.3%75.6%48.2%76.3%14.7%-3.7%17.0K-844.9K-5.6K0.5366.16251334771
2015-12-24$93.82$98.1467.4%19.3%75.6%33.5%75.5%23.3%-10.2%23.1K-944.4K-5.8K0.1730.09751334971
2015-12-28$90.48$98.1460.7%17.4%76.4%26.6%67.6%8.8%4.4%34.5K-1.1M-6.0K0.1623.09831340771
2015-12-29$90.48$78.5158.8%16.9%76.4%24.6%64.6%19.4%9.2%43.1K-1.1M-6.3K0.5736.87241345371
2015-12-30$92.64$78.5186.9%24.9%77.1%53.9%82.3%16.8%7.6%42.8K-1.3M-6.2K0.5639.73241345672
2015-12-31$89.70$78.5155.8%16.0%77.4%21.5%55.5%-4.4%15.4%55.5K-1.4M-6.1K0.5339.70251345772