AGEN Options History — October 2016

In October 2016, AGEN traded between $78.12 and $144.26. ATM implied volatility averaged 77.8%, placing in the 24.4% IV rank vs the trailing year. The 30-day expected move averaged 22.5%. IV traded above realized volatility by 32.1% (HV 20d: 45.7%). Max pain ranged from $78.51 to $117.76. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2016-10-27: Highest Volume — 171 contracts
  • 2016-10-25: Largest IV spike — 19.9% change
  • 2016-10-25: Highest IV Rank — 35.5%
  • 2016-10-25: Largest Expected Move — 25.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$119.01$78.12$144.26$141.32$78.12
Max Pain$100.00$78.51$117.76$117.76$78.51
ATM IV77.8%60.6%90.5%74.8%88.5%
Expected Move22.5%17.4%25.9%21.4%25.4%
HV 20d45.7%35.4%72.6%40.8%68.9%
HV 60d48.7%45.7%60.0%46.2%56.8%
IV Rank24.4%9.2%35.5%21.7%33.8%
IV Percentile56.3%9.9%87.3%48.8%82.9%
Term Structure-1.2%-15.7%15.9%-2.6%-14.4%
VWIV79.1%66.7%98.7%79.0%98.7%
Skew 25d-3.7%-15.1%8.6%8.3%-5.3%
Skew 10d-8.7%-35.2%24.1%-13.8%17.9%
Call IV 25d83.8%75.9%96.8%76.7%96.7%
Put IV 25d80.1%61.2%91.4%85.0%91.4%
Bid-Ask Spread %49.4726.8179.1547.4873.81
Gamma HHI0.390.310.440.440.31
Net GEX73.9K8.4K119.1K111.6K8.4K
Net DEX-5.3M-10.0M1.1M-9.0M1.1M
Net VEX-33.8K-41.8K-19.6K-41.8K-19.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.210.410.410.32
Total Volume56.095371713774
Total OI1,898.4761,8572,0221,8652,022

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$141.32$117.7674.8%21.4%40.8%21.7%79.0%8.3%-2.6%111.6K-9.0M-41.8K0.4147.4826111,259606
2016-10-04$142.49$117.7660.6%17.4%40.3%9.2%66.7%-15.0%9.4%109.9K-9.7M-40.8K0.3650.3728101,261607
2016-10-05$144.26$117.7663.8%18.3%40.3%12.1%72.8%-15.1%15.9%109.7K-10.0M-41.1K0.2379.1548111,262607
2016-10-06$140.14$98.1471.0%21.0%41.7%18.4%74.4%-3.8%1.8%115.8K-9.2M-40.3K0.3866.1629111,277609
2016-10-07$139.16$98.1469.8%21.8%37.1%17.3%77.2%-6.9%-3.9%113.3K-9.2M-39.7K0.3556.7630101,280610
2016-10-10$141.90$98.1471.0%22.4%35.4%18.4%79.5%-4.3%-2.5%119.1K-9.4M-38.1K0.3360.5832101,279609
2016-10-11$135.82$98.1475.8%21.2%37.7%22.6%82.0%8.6%6.8%106.6K-8.8M-38.8K0.3055.2335101,280609
2016-10-12$129.34$98.1472.3%20.7%39.2%19.5%74.9%1.9%1.1%98.7K-7.2M-37.4K0.2146.7748101,278609
2016-10-13$125.02$98.1479.8%22.9%40.7%26.1%71.9%0.1%-3.0%88.8K-6.2M-36.1K0.2445.4141101,290609
2016-10-14$117.76$98.1477.7%22.3%44.4%24.3%72.1%-13.7%4.6%76.3K-4.8M-34.2K0.2946.8035101,290611
2016-10-17$115.41$98.1487.2%25.0%44.5%32.7%80.8%-3.7%-15.7%67.8K-4.3M-34.4K0.3158.5837111,294612
2016-10-18$118.94$98.1478.4%22.5%44.7%24.9%77.9%-2.6%-7.4%71.3K-4.9M-35.1K0.3450.0832111,295612
2016-10-19$115.41$98.1481.0%23.2%44.5%27.2%80.0%-7.9%-1.3%67.3K-4.8M-33.8K0.3242.8333111,295613
2016-10-20$115.41$98.1478.4%22.5%44.7%24.9%87.5%-1.8%-9.0%62.6K-4.1M-33.0K0.3449.9730101,292613
2016-10-21$113.05$98.1478.3%22.4%44.6%24.8%72.6%1.3%0.5%60.2K-3.9M-32.1K0.4141.6528121,298613
2016-10-24$110.11$98.1475.5%21.6%43.5%22.3%76.3%0.4%12.1%58.2K-3.6M-30.5K0.2528.0639101,249608
2016-10-25$106.77$98.1490.5%25.9%42.1%35.5%80.4%2.5%-8.0%48.3K-3.1M-30.9K0.3438.3131111,261608
2016-10-26$102.45$98.1484.6%24.3%43.1%30.4%85.2%-11.1%1.0%34.3K-1.9M-29.2K0.3035.5940121,260608
2016-10-27$85.57$98.1485.7%24.6%72.6%31.3%77.4%0.4%-7.6%11.5K361.9K-22.2K0.3726.81125461,269611
2016-10-28$80.86$98.1489.8%25.7%69.9%34.9%93.0%-9.0%-3.8%11.9K792.1K-21.5K0.2338.5998221,348645
2016-10-31$78.12$78.5188.5%25.4%68.9%33.8%98.7%-5.3%-14.4%8.4K1.1M-19.6K0.3273.8156181,376646