AGQ Options History — September 2013

In September 2013, AGQ traded between $19.85 and $25.48. ATM implied volatility averaged 73.7%, placing in the 63.4% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded below realized volatility by 5.5% (HV 20d: 79.2%). Max pain ranged from $21.00 to $24.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.54.

Notable Days

  • 2013-09-20: Highest Volume — 24,544 contracts
  • 2013-09-30: Largest IV spike — 16.5% change
  • 2013-09-04: Highest IV Rank — 91.7%
  • 2013-09-03: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.82$19.85$25.48$25.48$20.05
Max Pain$22.40$21.00$24.00$22.00$21.00
ATM IV73.7%64.7%91.5%86.7%83.5%
Expected Move20.2%18.5%22.7%22.7%19.9%
HV 20d79.2%64.2%95.5%64.2%88.6%
HV 60d78.0%72.9%83.4%77.4%72.9%
IV Rank63.4%49.1%91.7%83.9%79.0%
IV Percentile84.8%69.0%99.2%98.8%96.4%
Term Structure-2.8%-5.1%-0.5%-4.4%-2.6%
VWIV71.6%65.4%79.5%79.5%71.6%
Skew 25d2.4%0.3%4.6%0.9%2.1%
Skew 10d3.8%-1.4%8.5%-1.4%2.0%
Call IV 25d71.5%65.1%80.2%80.2%70.5%
Put IV 25d73.9%68.7%81.2%81.1%72.6%
Bid-Ask Spread %14.589.0322.3611.1314.46
Gamma HHI0.080.060.110.070.06
Net GEX882.6K260.8K1.6M1.3M382.3K
Net DEX-16.4M-62.0M8.5M-62.0M911.1K
Net VEX-387.5K-475.2K-340.8K-475.2K-351.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.191.450.220.53
Total Volume9,5922,70224,54410,4035,655
Total OI132,175.95107,015148,510128,783113,415

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$25.48$22.0086.7%22.7%64.2%83.9%79.5%0.9%-4.4%1.3M-62.0M-475.2K0.2211.13N/AN/A8,5261,87787,07941,704
2013-09-04$23.98$22.0091.5%22.1%69.0%91.7%78.2%1.0%-2.8%1.2M-40.0M-447.6K0.6210.26N/AN/A4,7732,96488,77842,693
2013-09-05$23.32$22.0077.5%22.2%70.7%69.4%78.3%2.8%-3.4%1.0M-31.2M-434.2K0.499.03N/AN/A6,5873,25290,04744,140
2013-09-06$24.53$24.0073.8%20.5%68.2%63.6%72.6%1.6%-3.6%1.5M-51.7M-452.9K0.3911.15N/AN/A6,1312,42092,58345,367
2013-09-09$24.25$24.0073.7%19.2%68.9%63.5%67.7%2.8%-1.6%1.5M-43.8M-429.6K0.3513.87N/AN/A4,5881,61890,77742,662
2013-09-10$22.77$24.0077.2%19.9%68.9%69.0%70.0%3.1%-2.4%1.1M-23.2M-398.9K0.4814.93N/AN/A4,6212,23391,73643,575
2013-09-11$23.10$24.0069.7%19.1%68.9%57.1%66.8%3.9%-1.6%1.3M-27.3M-401.1K0.7812.92N/AN/A1,7611,38292,56144,646
2013-09-12$20.59$24.0072.7%20.8%80.4%61.8%73.9%4.6%-5.1%641.3K5.6M-340.8K0.3515.56N/AN/A14,2584,97192,82045,059
2013-09-13$21.27$24.0071.8%20.6%72.8%60.4%72.8%2.8%-2.9%822.8K-2.8M-363.9K0.8916.25N/AN/A8,8527,87096,98547,028
2013-09-16$20.32$22.0072.3%20.7%73.7%61.2%73.0%2.8%-3.7%626.3K5.1M-352.4K0.2819.31N/AN/A7,0161,96196,05647,412
2013-09-17$20.37$22.0072.8%20.9%73.8%61.9%74.1%2.4%-4.0%696.4K3.4M-358.6K0.8016.82N/AN/A2,3531,87398,71448,317
2013-09-18$22.94$22.0072.2%20.7%86.2%61.0%73.8%0.3%-3.8%1.6M-35.1M-420.6K0.4416.88N/AN/A12,0355,35099,41849,092
2013-09-19$22.77$22.0066.8%19.1%86.2%52.4%67.5%1.5%-2.2%1.6M-31.9M-406.8K0.3222.36N/AN/A8,1902,61098,49048,990
2013-09-20$20.25$22.0069.0%19.8%95.5%55.9%68.9%1.7%-3.2%282.3K8.5M-346.9K1.3015.30N/AN/A10,64813,89698,68449,660
2013-09-23$19.85$21.0069.5%19.9%90.2%56.7%70.6%1.3%-2.6%330.3K1.5M-343.3K1.4514.57N/AN/A4,1566,02171,42135,594
2013-09-24$20.06$22.0069.4%19.9%89.5%56.6%70.3%3.5%-1.0%260.8K1.9M-359.0K0.2012.10N/AN/A4,65294273,45939,426
2013-09-25$20.21$22.0067.3%19.3%89.4%53.4%69.1%2.0%-1.2%547.7K-2.4M-361.6K0.1913.60N/AN/A2,26643676,61839,817
2013-09-26$20.12$21.0064.7%18.5%89.4%49.1%65.4%2.3%-0.5%634.0K-519.1K-348.1K0.3114.23N/AN/A4,0071,25477,77040,092
2013-09-27$20.18$21.0071.7%18.9%89.0%60.3%67.2%4.2%-2.8%346.5K-3.1M-356.5K0.3816.89N/AN/A5,6732,16280,15340,681
2013-09-30$20.05$21.0083.5%19.9%88.6%79.0%71.6%2.1%-2.6%382.3K911.1K-351.3K0.5314.46N/AN/A3,7051,95075,15538,260