AGEN Options History — November 2016

In November 2016, AGEN traded between $73.80 and $116.00. ATM implied volatility averaged 80.3%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 22.4%. IV traded below realized volatility by 9.5% (HV 20d: 89.8%). Max pain ranged from $78.51 to $78.51. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.45.

Notable Days

  • 2016-11-30: Highest Volume — 132 contracts
  • 2016-11-09: Largest IV drop — 23.1% change
  • 2016-11-08: Highest IV Rank — 41.1%
  • 2016-11-30: Largest Expected Move — 27.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$92.21$73.80$116.00$76.15$81.06
Max Pain$78.51$78.51$78.51$78.51$78.51
ATM IV80.3%69.5%96.9%87.7%94.6%
Expected Move22.4%19.9%27.1%25.1%27.1%
HV 20d89.8%66.1%106.6%67.4%87.6%
HV 60d65.7%56.6%72.3%56.9%72.3%
IV Rank26.5%17.1%41.1%33.0%39.1%
IV Percentile60.4%27.4%93.7%82.1%93.7%
Term Structure-0.9%-12.7%8.4%-6.5%-5.3%
VWIV74.9%67.5%97.5%79.2%97.5%
Skew 25d4.9%-10.4%50.0%50.0%-2.2%
Skew 10d22.8%-30.3%77.9%77.2%-2.3%
Call IV 25d77.0%58.1%92.1%69.9%92.1%
Put IV 25d81.8%67.2%119.9%119.9%89.8%
Bid-Ask Spread %35.2616.0370.8470.2237.66
Gamma HHI0.330.310.400.320.32
Net GEX18.2K-4.9K68.6K5.9K-4.9K
Net DEX-379.4K-4.1M1.7M1.4M1.6M
Net VEX-21.1K-27.1K-14.2K-18.2K-14.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.191.450.391.45
Total Volume64.2864013261132
Total OI1,952.9051,8302,0352,0221,848

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$76.15$78.5187.7%25.1%67.4%33.0%79.2%50.0%-6.5%5.9K1.4M-18.2K0.3970.2244171,377645
2016-11-02$75.56$78.5182.6%23.7%66.1%28.6%72.3%33.9%0.9%1.9K1.7M-17.0K0.4770.8436171,377645
2016-11-03$73.80$78.5186.3%24.0%66.1%31.8%81.2%-5.0%-2.3%4.0K1.5M-16.9K0.5328.1528151,377645
2016-11-04$78.51$78.5194.2%21.9%73.7%38.7%76.2%4.0%-3.7%3.7K1.5M-18.1K0.4627.6632141,379646
2016-11-07$80.67$78.5183.2%22.4%74.4%29.1%75.5%7.3%2.5%5.7K1.2M-18.5K0.5216.0327141,385647
2016-11-08$84.00$78.5196.9%23.0%78.0%41.1%74.1%-3.8%-2.4%-1.6K1.2M-18.7K0.6032.0425151,386647
2016-11-09$95.39$78.5174.5%21.4%93.9%21.5%71.9%0.0%-1.9%26.8K-986.1K-26.5K0.5339.0267351,387648
2016-11-10$100.49$78.5172.8%20.9%96.6%20.0%70.9%8.8%2.1%39.2K-1.8M-26.3K0.1924.4698191,380630
2016-11-11$105.20$78.5169.8%20.0%96.8%17.4%72.3%-1.8%8.4%38.3K-2.1M-25.6K0.3230.1763201,357633
2016-11-14$110.11$78.5175.8%21.7%98.3%22.6%71.8%-3.5%-2.1%52.8K-3.3M-27.1K0.4326.8846201,359633
2016-11-15$116.00$78.5176.4%21.9%99.5%23.2%71.6%2.4%-0.7%68.6K-4.1M-26.9K0.3435.1056191,352633
2016-11-16$111.09$78.5175.3%21.6%100.1%22.2%67.5%-8.4%2.4%61.5K-3.8M-26.2K0.4134.1347191,349633
2016-11-17$100.49$78.5176.3%21.9%106.0%23.0%68.8%-10.4%1.0%38.4K-2.0M-24.3K0.4338.4049211,348632
2016-11-18$97.35$78.5174.9%21.5%106.3%21.8%83.4%-7.2%-0.2%18.1K-1.0M-23.0K0.3832.3454211,352635
2016-11-21$95.78$78.5172.3%20.7%106.1%19.6%72.1%8.4%7.2%9.9K-438.9K-21.6K0.3421.1534121,196634
2016-11-22$91.66$78.5169.5%19.9%106.6%17.1%70.9%-0.4%3.5%4.5K113.0K-19.8K0.3623.7533121,202634
2016-11-23$93.82$78.5178.7%22.6%106.4%25.1%71.0%6.3%-4.8%152362.6K-19.5K0.3537.6134121,208634
2016-11-25$95.39$78.5182.8%23.7%83.8%28.8%69.9%27.5%-12.7%3.5K32.3K-19.8K0.3441.0635121,211634
2016-11-28$88.52$78.5183.6%24.0%85.8%29.5%77.3%4.6%-1.8%5.2K174.6K-18.6K0.3233.5237121,212634
2016-11-29$85.38$78.5177.1%22.1%85.9%23.8%78.2%-8.7%-2.8%-498798.1K-16.7K0.3540.3335121,213634
2016-11-30$81.06$78.5194.6%27.1%87.6%39.1%97.5%-2.2%-5.3%-4.9K1.6M-14.2K1.4537.6654781,214634