AGEN Options History — March 2020

In March 2020, AGEN traded between $37.10 and $55.35. ATM implied volatility averaged 116.8%, placing in the 54.7% IV rank vs the trailing year. The 30-day expected move averaged 29.6%. IV traded above realized volatility by 9.6% (HV 20d: 107.2%). Max pain ranged from $39.25 to $58.88. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.57.

Notable Days

  • 2020-03-10: Highest Volume — 59 contracts
  • 2020-03-13: Largest IV spike — 379.9% change
  • 2020-03-09: Highest IV Rank — 100.0%
  • 2020-03-13: Largest Expected Move — 46.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.62$37.10$55.35$51.03$47.30
Max Pain$49.96$39.25$58.88$58.88$58.88
ATM IV116.8%27.4%200.1%104.2%133.3%
Expected Move29.6%7.9%46.6%29.9%38.2%
HV 20d107.2%97.3%121.8%99.1%103.6%
HV 60d76.5%66.2%85.4%66.2%85.2%
IV Rank54.7%0.0%100.0%54.7%61.3%
IV Percentile81.3%0.0%100.0%91.3%96.8%
Term Structure27.5%-103.0%151.5%-16.4%26.2%
VWIV104.9%21.3%159.6%109.7%113.0%
Skew 25d9.8%-138.5%116.5%-9.0%-40.1%
Skew 10d9.9%-61.6%88.6%10.1%-14.4%
Call IV 25d101.7%48.3%170.2%105.5%110.9%
Put IV 25d111.5%1.4%210.4%96.5%70.9%
Bid-Ask Spread %136.7884.46165.7284.46164.33
Gamma HHI0.330.240.380.330.35
Net GEX10.2K2.7K24.0K15.4K6.9K
Net DEX-560.0K-1.3M-130.7K-893.8K-155.3K
Net VEX-4.0K-5.9K-2.4K-5.3K-2.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.005.980.051.57
Total Volume18.04515981
Total OI719.227614833659634

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$51.03$58.88104.2%29.9%99.1%54.7%109.7%-9.0%-16.4%15.4K-893.8K-5.3K0.0584.468060059
2020-03-03$49.07$58.8889.8%25.7%99.4%43.1%157.2%54.5%49.6%15.0K-692.3K-5.0K0.04153.7925160560
2020-03-04$49.85$58.88131.0%37.5%100.0%76.2%150.6%-32.3%-40.0%17.2K-935.1K-5.4K0.02120.6917062761
2020-03-05$48.09$58.88114.7%9.4%100.0%63.1%48.5%76.3%145.9%12.9K-923.6K-5.1K0.95161.09121163461
2020-03-06$48.48$39.25133.9%33.9%100.5%78.6%144.8%-1.4%-42.5%13.3K-990.1K-5.5K0.04159.7542264072
2020-03-09$46.71$39.25197.8%38.8%100.0%100.0%0.0%83.5%-3.3%9.6K-716.5K-4.9K0.13155.8310167673
2020-03-10$55.35$39.25200.1%18.6%119.3%100.0%97.0%116.5%122.9%19.6K-1.3M-5.9K0.10149.7254568174
2020-03-11$53.97$39.2527.4%7.9%119.1%0.0%54.0%-138.5%88.5%24.0K-1.1M-5.8K0.12144.4034470880
2020-03-12$50.83$39.2533.9%9.7%119.5%3.7%66.7%-61.6%-3.7%4.3K-202.5K-2.8K0.65137.6812872681
2020-03-13$49.07$39.25162.7%46.6%119.3%78.3%143.2%109.4%-58.4%5.7K-351.1K-3.2K0.01139.7625073374
2020-03-16$44.75$39.25121.4%34.8%121.8%54.4%58.7%115.2%127.8%9.4K-866.3K-4.6K0.45129.377375374
2020-03-17$42.00$39.25105.5%30.2%118.5%45.2%0.0%-18.1%142.8%9.0K-607.1K-4.4K0.47117.816375274
2020-03-18$41.41$39.25154.9%44.4%104.6%73.9%137.2%-21.6%-103.0%2.7K-167.2K-2.6K0.26111.8212375276
2020-03-19$41.22$39.25102.9%29.5%97.3%43.7%55.7%30.6%127.9%3.1K-215.3K-2.7K0.56123.1211675573
2020-03-20$37.10$58.8887.5%25.1%99.5%34.8%94.7%1.7%-74.3%2.9K-130.7K-2.4K1.00124.248875875
2020-03-23$39.25$58.88114.6%32.9%104.0%50.5%132.8%-1.2%-23.7%7.4K-222.2K-2.9K0.01119.638055460
2020-03-24$42.59$58.8855.4%15.9%104.3%16.2%21.3%-37.7%151.5%8.9K-619.1K-4.2K0.0087.8614055760
2020-03-25$46.91$58.88120.8%34.6%111.7%54.1%159.6%-34.0%-47.6%6.1K-199.0K-2.8K0.02154.9111055860
2020-03-26$47.30$58.88130.0%37.3%107.8%59.4%127.4%-15.8%-24.3%13.2K-499.5K-4.2K0.00150.764056260
2020-03-27$47.11$58.88127.1%36.4%105.1%57.7%0.0%3.3%28.2%6.5K-253.8K-2.9K0.00152.312056560
2020-03-30$46.32$58.88120.1%34.4%104.1%53.7%120.1%35.7%31.2%11.8K-284.5K-3.2K5.98165.7231656660
2020-03-31$47.30$58.88133.3%38.2%103.6%61.3%113.0%-40.1%26.2%6.9K-155.3K-2.6K1.57164.330156866