AGEN Options History — December 2016

In December 2016, AGEN traded between $77.72 and $88.52. ATM implied volatility averaged 86.7%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 23.0%. IV traded above realized volatility by 17.8% (HV 20d: 68.9%). Max pain ranged from $78.51 to $98.14. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2016-12-01: Highest Volume — 95 contracts
  • 2016-12-14: Largest IV drop — 36.6% change
  • 2016-12-13: Highest IV Rank — 74.0%
  • 2016-12-02: Largest Expected Move — 27.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$83.70$77.72$88.52$77.72$81.26
Max Pain$96.27$78.51$98.14$78.51$98.14
ATM IV86.7%62.0%134.3%93.2%67.1%
Expected Move23.0%17.8%27.0%26.7%19.2%
HV 20d68.9%55.4%89.2%89.0%55.4%
HV 60d73.4%72.3%75.6%72.6%74.9%
IV Rank32.1%10.5%74.0%37.9%15.0%
IV Percentile66.0%12.3%99.6%92.9%19.4%
Term Structure6.5%-9.8%40.0%-4.6%30.9%
VWIV81.1%68.6%94.8%93.4%83.4%
Skew 25d-8.1%-25.6%6.9%-25.6%-9.4%
Skew 10d-4.2%-40.7%34.6%-22.1%17.0%
Call IV 25d90.0%71.3%109.9%109.9%92.6%
Put IV 25d81.9%71.7%92.8%84.3%83.1%
Bid-Ask Spread %49.2633.9568.2136.8760.24
Gamma HHI0.450.290.640.290.64
Net GEX-8.4K-18.9K1.3K-1.7K-16.6K
Net DEX1.6M879.6K2.6M1.5M2.6M
Net VEX-11.5K-14.5K-7.0K-12.9K-7.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.310.910.910.39
Total Volume50.61942959553
Total OI1,824.6671,7841,8631,8281,787

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$77.72$78.5193.2%26.7%89.0%37.9%93.4%-25.6%-4.6%-1.7K1.5M-12.9K0.9136.8750451,224604
2016-12-02$80.08$78.5194.1%27.0%89.1%38.7%94.8%-16.4%-4.7%6361.3M-13.8K0.4433.9548211,234604
2016-12-05$84.20$98.14105.9%25.3%88.2%49.0%76.2%5.6%0.9%-3.6K1.3M-13.6K0.3638.7343161,240604
2016-12-06$86.75$98.1487.0%24.7%88.3%32.4%68.6%0.4%-1.2%1.3K1.0M-14.5K0.4336.1140171,244604
2016-12-07$82.43$98.14102.7%23.7%89.2%46.2%75.6%1.3%-0.5%-1.1K1.3M-13.7K0.7438.4027201,251604
2016-12-08$84.20$98.1481.4%24.2%75.9%27.5%76.0%0.6%-4.4%-2.5K1.2M-13.0K0.5940.1228161,252608
2016-12-09$84.59$98.14101.7%23.9%72.9%45.3%76.4%-11.7%-4.6%7161.0M-14.0K0.5935.9928161,252608
2016-12-12$84.40$98.14116.9%25.4%70.1%58.7%77.7%-8.0%-6.6%-4.6K1.3M-12.4K0.5834.1929171,252608
2016-12-13$85.38$98.14134.3%24.2%67.4%74.0%78.9%-10.4%2.5%-5.1K1.1M-12.7K0.5740.8129171,253609
2016-12-14$82.83$98.1485.2%24.4%63.1%30.8%76.5%-15.3%-9.8%-7.3K1.5M-11.7K0.5637.8628161,254609
2016-12-15$84.79$98.1476.3%21.9%63.9%23.0%79.2%-18.2%9.6%-9.1K1.6M-11.5K0.5239.6529151,253606
2016-12-16$88.52$98.1478.6%22.5%58.1%25.0%77.2%-3.6%2.3%-9.2K879.6K-12.8K0.5648.8127151,253605
2016-12-19$85.77$98.1486.9%24.9%58.0%32.3%86.3%-1.4%10.0%-8.2K1.1M-12.1K0.4368.1135151,206578
2016-12-20$86.16$98.1477.0%22.1%58.0%23.7%78.7%-8.4%-9.2%-11.6K1.6M-11.1K0.5161.1329151,209578
2016-12-21$83.02$98.1474.3%21.3%57.5%21.3%85.8%-14.4%15.9%-14.2K1.7M-10.3K0.5255.0528151,209578
2016-12-22$79.49$98.1474.1%21.2%58.0%21.1%85.4%-11.2%3.3%-13.3K2.1M-9.1K0.4162.2335141,210578
2016-12-23$86.36$98.1462.0%17.8%66.0%10.5%71.1%6.9%23.7%-18.7K1.9M-9.8K0.4468.2134151,208581
2016-12-27$85.38$98.1475.9%21.8%60.7%22.7%90.3%-10.7%7.6%-18.9K1.8M-9.3K0.3266.3034111,206581
2016-12-28$82.83$98.1476.9%22.1%60.3%23.6%90.5%-14.4%35.6%-17.6K2.1M-8.7K0.3166.4336111,206581
2016-12-29$81.65$98.1468.4%19.6%57.6%16.1%81.9%-6.0%40.0%-16.6K2.6M-7.4K0.3265.1735111,206581
2016-12-30$81.26$98.1467.1%19.2%55.4%15.0%83.4%-9.4%30.9%-16.6K2.6M-7.0K0.3960.2438151,206581