AGEN Options History — August 2016

In August 2016, AGEN traded between $109.13 and $126.59. ATM implied volatility averaged 78.1%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 22.3%. IV traded above realized volatility by 24.4% (HV 20d: 53.7%). Max pain ranged from $58.88 to $117.76. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.68.

Notable Days

  • 2016-08-11: Highest Volume — 662 contracts
  • 2016-08-11: Largest IV spike — 49.3% change
  • 2016-08-18: Highest IV Rank — 37.8%
  • 2016-08-18: Largest Expected Move — 26.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$118.20$109.13$126.59$110.89$121.69
Max Pain$111.79$58.88$117.76$58.88$117.76
ATM IV78.1%52.9%93.1%52.9%76.2%
Expected Move22.3%15.2%26.7%15.2%21.8%
HV 20d53.7%47.8%59.1%47.8%51.5%
HV 60d51.9%48.2%53.1%51.6%52.8%
IV Rank24.6%2.5%37.8%2.5%22.9%
IV Percentile59.6%0.8%92.1%0.8%57.1%
Term Structure-2.1%-22.7%12.0%9.7%0.7%
VWIV83.4%47.6%101.5%70.4%83.4%
Skew 25d-4.4%-21.8%24.2%16.7%-18.4%
Skew 10d-5.9%-42.7%58.7%28.8%-27.4%
Call IV 25d84.2%51.5%108.4%56.1%90.1%
Put IV 25d79.8%46.3%97.1%72.7%71.7%
Bid-Ask Spread %51.6122.8888.2340.5743.96
Gamma HHI0.390.310.520.520.40
Net GEX100.6K55.5K160.4K65.6K135.6K
Net DEX-6.1M-8.0M-4.3M-4.6M-6.7M
Net VEX-31.1K-48.3K-13.7K-14.0K-45.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.082.520.480.08
Total Volume148.56511662106117
Total OI1,608.9577422,3347422,334

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-08-01$110.89$58.8852.9%15.2%47.8%2.5%70.4%16.7%9.7%65.6K-4.6M-14.0K0.4840.57723467171
2016-08-02$109.13$78.5165.3%18.7%48.9%13.4%66.9%6.8%2.1%57.8K-4.3M-14.0K0.8530.23474066291
2016-08-03$113.05$78.5168.0%19.5%48.7%15.7%78.8%24.2%0.8%55.5K-4.6M-14.3K0.8639.12464066196
2016-08-04$110.70$117.7660.2%17.8%48.7%8.9%61.4%4.8%10.8%56.4K-4.6M-14.2K0.8257.59484067696
2016-08-05$121.30$117.7658.4%18.2%56.5%7.3%67.8%6.1%2.6%56.4K-5.4M-13.7K0.6852.52704867696
2016-08-08$120.51$117.7675.1%19.6%56.1%22.0%69.7%8.6%-4.8%58.6K-5.6M-14.2K2.5232.533998688107
2016-08-09$120.31$117.7670.6%18.8%56.0%18.0%68.5%21.6%3.5%56.2K-5.3M-15.4K2.3751.324198690158
2016-08-10$115.80$117.7659.5%17.1%58.1%8.3%47.6%-18.7%12.0%57.7K-5.0M-15.3K1.5042.414973698158
2016-08-11$116.39$117.7688.8%25.5%57.1%34.0%95.5%-5.6%-22.7%58.0K-4.9M-15.5K0.1065.1760062701157
2016-08-12$122.08$117.7690.8%26.0%58.5%35.8%94.8%-7.0%-18.5%106.7K-7.6M-22.1K0.7260.743732681,245159
2016-08-15$120.71$117.7692.1%26.4%59.1%36.9%99.9%-11.4%-11.2%136.6K-8.0M-37.1K0.2971.1273211,538415
2016-08-16$116.78$117.7692.0%26.4%55.7%36.8%101.5%-16.7%-7.4%131.0K-7.2M-36.4K0.7161.581621151,531426
2016-08-17$118.55$117.7689.2%25.6%54.9%34.4%87.1%-16.8%-6.6%131.2K-7.3M-41.9K0.9169.0284771,634530
2016-08-18$117.17$117.7693.1%26.7%55.2%37.8%96.8%-21.8%-13.4%133.2K-7.3M-45.5K0.2959.781231,699607
2016-08-19$117.96$117.7679.3%22.7%55.1%25.7%93.5%-17.7%1.8%113.8K-7.0M-44.9K0.2456.2359141,699608
2016-08-22$118.94$117.7679.1%22.7%54.6%25.5%84.9%-5.8%5.4%119.8K-6.0M-44.1K0.2961.9846131,575547
2016-08-23$119.14$117.7677.6%22.2%54.6%24.2%98.0%-12.9%5.3%125.5K-6.3M-43.5K0.2246.0852111,576550
2016-08-24$114.82$117.7681.9%23.5%57.0%28.0%89.1%-3.3%-3.1%107.9K-5.5M-40.4K0.3247.73831,584550
2016-08-25$117.96$117.7685.2%24.4%49.5%30.9%93.0%1.7%-2.5%109.9K-5.3M-41.0K0.8546.23104881,581553
2016-08-26$121.88$117.7687.1%25.0%49.7%32.5%94.1%-0.7%-5.4%126.9K-6.2M-46.7K0.2288.234191,662629
2016-08-29$126.59$117.7685.7%24.6%50.9%31.3%86.7%-12.9%-12.4%160.4K-7.7M-48.3K0.1440.015481,675630
2016-08-30$126.20$117.7687.3%25.0%50.4%32.7%88.0%-20.7%4.2%153.4K-7.8M-47.9K0.1622.884981,686630
2016-08-31$121.69$117.7676.2%21.8%51.5%22.9%83.4%-18.4%0.7%135.6K-6.7M-45.8K0.0843.9610981,703631