AGQ Options History — June 2013

In June 2013, AGQ traded between $15.17 and $23.18. ATM implied volatility averaged 72.4%, placing in the 61.3% IV rank vs the trailing year. The 30-day expected move averaged 19.6%. IV traded above realized volatility by 3.0% (HV 20d: 69.4%). Max pain ranged from $17.00 to $28.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.60.

Notable Days

  • 2013-06-28: Highest Volume — 28,594 contracts
  • 2013-06-20: Largest IV spike — 31.9% change
  • 2013-06-28: Highest IV Rank — 85.7%
  • 2013-06-27: Largest Expected Move — 24.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.94$15.17$23.18$23.18$17.00
Max Pain$22.35$17.00$28.00$28.00$17.00
ATM IV72.4%58.3%87.8%70.8%87.8%
Expected Move19.6%16.7%24.7%18.2%23.3%
HV 20d69.4%53.1%97.7%56.4%97.7%
HV 60d83.6%78.5%94.0%78.6%94.0%
IV Rank61.3%38.9%85.7%58.8%85.7%
IV Percentile89.7%70.2%99.2%91.3%99.2%
Term Structure-4.7%-12.7%-0.8%-3.5%-7.1%
VWIV68.4%60.3%83.0%61.7%82.4%
Skew 25d11.0%7.8%18.9%9.1%18.9%
Skew 10d21.8%16.4%37.2%17.0%37.2%
Call IV 25d64.7%55.4%78.9%60.2%73.4%
Put IV 25d75.7%64.7%93.9%69.3%92.3%
Bid-Ask Spread %16.149.6823.9210.9816.68
Gamma HHI0.090.050.180.080.18
Net GEX175.4K-171.3K916.0K294.2K-35.4K
Net DEX34.2M13.3M49.1M30.8M13.3M
Net VEX-169.4K-208.7K-120.2K-208.7K-175.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.241.130.270.24
Total Volume8,3542,07228,5948,39428,594
Total OI96,856.2568,380117,75493,47386,360

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-06-03$23.18$28.0070.8%18.2%56.4%58.8%61.7%9.1%-3.5%294.2K30.8M-208.7K0.2710.98N/AN/A6,6121,78257,96235,511
2013-06-04$22.80$27.0071.7%18.0%56.5%60.2%65.3%9.8%-2.5%633.3K30.5M-203.4K0.7512.78N/AN/A1,18488862,21836,273
2013-06-05$22.79$27.0080.0%18.5%56.6%73.3%65.5%9.5%-5.4%630.9K30.7M-203.7K0.329.68N/AN/A2,42776762,41836,691
2013-06-06$23.11$27.0066.0%18.2%57.0%51.1%64.2%7.8%-2.8%916.0K27.7M-207.4K0.5010.18N/AN/A3,6931,86463,60236,800
2013-06-07$20.87$23.0080.8%19.8%66.3%74.7%68.9%10.2%-6.9%72.2K43.4M-177.4K0.8117.88N/AN/A6,7935,48765,54037,476
2013-06-10$21.49$22.0071.0%17.8%67.4%59.1%61.1%9.3%-2.5%90.3K38.6M-180.1K0.4221.78N/AN/A4,4921,88861,82937,063
2013-06-11$21.03$22.0078.8%18.6%67.6%71.4%64.7%11.6%-4.3%144.3K39.7M-177.2K0.4622.30N/AN/A2,3811,09864,63338,029
2013-06-12$21.18$22.0066.2%18.0%67.6%51.6%63.1%9.6%-2.7%220.6K38.9M-177.2K0.4219.78N/AN/A1,92480465,36038,399
2013-06-13$21.24$22.0063.8%18.3%63.1%47.8%64.2%10.6%-3.8%312.0K38.9M-174.1K1.1318.55N/AN/A2,7403,10266,30738,562
2013-06-14$21.75$22.0058.3%16.7%63.5%38.9%60.4%9.3%-0.8%74.0K35.2M-179.8K0.6721.00N/AN/A3,4962,32967,14140,710
2013-06-17$21.32$22.0061.5%17.6%61.6%44.0%60.3%8.7%-3.5%47.1K40.4M-171.5K0.5218.98N/AN/A2,9181,50563,73038,414
2013-06-18$20.91$22.0062.6%18.0%55.4%45.9%62.5%9.3%-4.1%16.7K41.8M-169.6K1.0917.01N/AN/A2,9153,18565,86439,384
2013-06-19$20.37$22.0063.2%18.1%53.1%46.8%61.8%8.4%-2.3%-171.3K44.2M-164.9K0.7923.92N/AN/A2,2261,74967,73140,162
2013-06-20$17.13$22.0083.3%23.9%80.0%78.7%83.0%13.0%-12.7%-106.2K49.1M-120.2K0.9213.18N/AN/A13,35712,28667,86639,367
2013-06-21$17.93$21.0072.5%20.8%81.1%61.4%72.5%15.0%-7.9%150.1K44.8M-155.4K1.0313.23N/AN/A4,9305,05675,32142,433
2013-06-24$17.14$21.0073.6%21.1%81.8%63.2%73.2%11.0%-4.4%56.2K22.2M-146.0K0.3718.02N/AN/A5,2221,95741,84926,531
2013-06-25$17.07$20.0069.6%20.0%81.8%56.9%70.1%10.7%-2.5%89.8K22.9M-141.7K0.3710.59N/AN/A3,6861,38245,24027,698
2013-06-26$15.32$20.0080.3%23.0%87.6%73.9%80.0%13.6%-4.5%-6.8K25.9M-123.0K0.5312.51N/AN/A7,7924,12847,20628,156
2013-06-27$15.17$18.0086.0%24.7%86.1%82.9%82.6%15.0%-9.9%79.2K24.8M-131.6K0.4413.75N/AN/A5,8612,58051,25030,039
2013-06-28$17.00$17.0087.8%23.3%97.7%85.7%82.4%18.9%-7.1%-35.4K13.3M-175.8K0.2416.68N/AN/A23,0245,57054,94531,415