AGEN Options History — September 2016

In September 2016, AGEN traded between $120.51 and $141.12. ATM implied volatility averaged 79.1%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 22.1%. IV traded above realized volatility by 37.2% (HV 20d: 41.9%). Max pain ranged from $117.76 to $117.76. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.19.

Notable Days

  • 2016-09-13: Highest Volume — 153 contracts
  • 2016-09-12: Largest IV spike — 33.6% change
  • 2016-09-12: Highest IV Rank — 52.8%
  • 2016-09-12: Largest Expected Move — 25.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$131.08$120.51$141.12$121.30$140.73
Max Pain$117.76$117.76$117.76$117.76$117.76
ATM IV79.1%62.0%110.2%85.5%62.0%
Expected Move22.1%17.8%25.5%24.5%17.8%
HV 20d41.9%38.0%50.7%50.7%41.1%
HV 60d49.9%46.2%53.1%52.3%46.3%
IV Rank25.5%10.5%52.8%31.1%10.5%
IV Percentile57.7%13.1%98.4%80.2%13.1%
Term Structure1.6%-9.4%12.4%-2.9%5.4%
VWIV79.0%67.8%88.9%88.9%68.9%
Skew 25d-0.0%-15.2%18.1%-15.2%7.8%
Skew 10d-8.4%-35.4%34.0%-35.4%-8.7%
Call IV 25d78.8%65.7%90.8%90.8%68.7%
Put IV 25d78.8%69.4%89.6%75.6%76.5%
Bid-Ask Spread %66.2139.9487.9139.9451.88
Gamma HHI0.400.350.440.380.43
Net GEX115.8K75.6K178.6K129.6K106.0K
Net DEX-7.6M-9.3M-6.1M-6.5M-9.2M
Net VEX-43.7K-47.2K-40.8K-47.2K-41.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.070.460.070.40
Total Volume90.6193215311436
Total OI2,140.4291,8102,4362,3921,860

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$121.30$117.7685.5%24.5%50.7%31.1%88.9%-15.2%-2.9%129.6K-6.5M-47.2K0.0739.9410681,760632
2016-09-02$120.51$117.7678.7%22.6%39.1%25.1%80.8%-11.2%1.6%135.3K-6.6M-46.2K0.0740.0510481,761632
2016-09-06$123.45$117.7695.8%24.8%39.9%40.2%86.6%2.1%-2.6%150.4K-6.8M-46.1K0.0772.1010981,764632
2016-09-07$123.45$117.7688.3%23.2%39.9%33.6%82.5%-3.6%1.3%148.3K-7.0M-46.5K0.1073.588081,804632
2016-09-08$126.79$117.7681.0%22.2%38.0%27.2%80.7%-0.6%4.0%157.1K-6.7M-45.8K0.1669.8981131,781632
2016-09-09$120.90$117.7682.5%23.9%42.2%28.5%86.0%-9.1%-6.1%135.2K-6.3M-43.6K0.2068.1586171,782630
2016-09-12$125.81$117.76110.2%25.5%41.2%52.8%85.4%5.1%1.4%156.0K-6.6M-43.7K0.1475.6393131,789636
2016-09-13$122.28$117.7685.3%23.9%42.3%30.9%86.9%-4.5%-9.4%126.9K-6.1M-43.3K0.0969.98140131,787636
2016-09-14$127.97$117.7685.0%24.4%43.2%30.7%86.3%-7.9%6.3%178.6K-7.6M-44.1K0.1061.95136141,780636
2016-09-15$129.74$117.7678.6%22.5%43.2%25.0%78.2%-6.7%5.7%75.7K-7.1M-43.5K0.1586.8893141,783635
2016-09-16$132.88$117.7684.5%24.2%43.2%30.3%81.4%-3.1%1.6%75.6K-7.5M-43.2K0.1263.7090101,783635
2016-09-19$133.07$117.7671.8%20.6%43.3%19.1%73.9%-5.4%3.2%86.6K-7.5M-42.6K0.1587.9183131,207603
2016-09-20$137.00$117.7670.9%20.3%44.0%18.3%72.3%6.1%12.4%91.3K-7.9M-43.5K0.1374.8385111,210605
2016-09-21$139.16$117.7674.2%21.3%44.1%21.2%77.6%18.1%-2.8%94.1K-8.2M-42.5K0.0764.9511481,212604
2016-09-22$137.98$117.7671.4%20.5%41.3%18.8%71.5%4.8%-1.3%92.1K-8.7M-44.6K0.0887.8510881,241604
2016-09-23$135.03$117.7668.4%19.6%42.1%16.1%68.3%3.6%5.6%96.2K-8.3M-41.7K0.2757.3437101,241604
2016-09-26$137.98$117.7673.3%21.0%41.4%20.4%71.1%-1.5%3.7%95.3K-8.2M-41.6K0.3063.7433101,246606
2016-09-27$141.12$117.7673.8%21.1%40.2%20.8%82.2%4.7%1.1%101.1K-9.1M-43.0K0.4356.4023101,247606
2016-09-28$139.94$117.7670.5%20.2%40.4%17.9%81.4%12.0%2.1%98.4K-9.3M-42.4K0.4660.9222101,249606
2016-09-29$135.62$117.7669.6%20.0%39.7%17.2%67.8%3.9%3.0%102.6K-8.3M-40.8K0.3562.6928101,250606
2016-09-30$140.73$117.7662.0%17.8%41.1%10.5%68.9%7.8%5.4%106.0K-9.2M-41.3K0.4051.8826101,254606