AGQ Options History — November 2013

In November 2013, AGQ traded between $16.28 and $20.18. ATM implied volatility averaged 54.0%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 12.7% (HV 20d: 41.3%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2013-11-12: Highest Volume — 13,045 contracts
  • 2013-11-12: Largest IV spike — 9.8% change
  • 2013-11-13: Highest IV Rank — 42.8%
  • 2013-11-11: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.09$16.28$20.18$20.18$16.77
Max Pain$19.95$19.00$20.00$20.00$20.00
ATM IV54.0%48.8%60.7%55.7%49.4%
Expected Move16.0%15.2%16.4%16.0%16.4%
HV 20d41.3%36.0%47.5%47.5%36.0%
HV 60d63.7%59.4%68.8%68.8%59.7%
IV Rank32.2%23.9%42.8%35.0%24.9%
IV Percentile39.2%28.6%52.8%43.3%29.4%
Term Structure0.3%-4.2%2.3%0.3%0.4%
VWIV56.4%53.9%62.7%55.8%57.0%
Skew 25d3.6%1.0%5.6%1.8%3.3%
Skew 10d7.7%2.0%13.3%5.7%12.5%
Call IV 25d54.3%48.5%59.3%56.9%49.2%
Put IV 25d58.0%52.6%63.9%58.6%52.6%
Bid-Ask Spread %11.286.4219.0117.777.98
Gamma HHI0.140.060.460.060.08
Net GEX-46.2K-1.3M539.3K539.3K262.4K
Net DEX17.2M-2.8M34.4M-2.8M20.7M
Net VEX-278.9K-337.4K-223.9K-337.4K-240.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.101.441.310.55
Total Volume6,004.22,54113,0453,7992,541
Total OI133,637.55122,290143,851134,844139,035

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$20.18$20.0055.7%16.0%47.5%35.0%55.8%1.8%0.3%539.3K-2.8M-337.4K1.3117.77N/AN/A1,6482,15191,80243,042
2013-11-04$19.77$19.0055.1%15.8%43.2%34.0%55.7%2.1%1.5%379.5K3.1M-321.7K0.3916.99N/AN/A3,1491,21680,74241,548
2013-11-05$19.87$20.0054.9%15.7%43.3%33.7%62.7%3.8%-1.0%452.3K1.8M-325.5K0.7719.01N/AN/A2,4181,85782,15542,326
2013-11-06$20.03$20.0054.1%15.5%41.3%32.4%54.0%2.1%0.9%500.1K-244.9K-329.7K0.2318.39N/AN/A3,12972283,53443,784
2013-11-07$19.67$20.0055.0%15.8%40.9%33.8%56.9%1.7%1.0%350.6K4.1M-320.1K0.3117.58N/AN/A3,7991,17285,19943,974
2013-11-08$19.45$20.0052.8%15.2%39.7%30.4%53.9%1.0%1.9%-1.3M9.1M-314.6K0.5817.17N/AN/A3,9282,27587,85144,396
2013-11-11$19.26$0.0053.5%16.4%39.9%31.5%57.0%2.5%1.9%362.2K6.9M-308.8K0.739.39N/AN/A3,3392,42484,52341,874
2013-11-12$18.13$20.0058.8%16.1%45.3%39.8%56.8%5.5%0.4%-156.5K20.8M-277.1K1.398.40N/AN/A5,4617,58486,26143,569
2013-11-13$17.75$20.0060.7%16.3%45.7%42.8%57.3%5.6%-4.2%-410.2K25.5M-287.4K0.787.39N/AN/A4,6323,61789,37548,388
2013-11-14$18.21$20.0057.0%15.8%42.7%36.9%54.7%4.9%0.5%-456.1K19.6M-296.9K0.339.56N/AN/A6,3712,07391,27249,088
2013-11-15$18.15$20.0052.9%15.7%42.4%30.5%54.8%1.7%-0.4%-724.4K19.5M-287.1K1.007.06N/AN/A1,9871,99293,79350,058
2013-11-18$17.54$20.0054.6%15.6%41.8%33.2%55.9%3.4%-0.0%107.2K21.7M-261.6K0.796.61N/AN/A4,6103,65685,63742,802
2013-11-19$17.44$20.0053.6%15.8%37.0%31.6%55.7%4.5%-1.1%-51023.6M-260.2K1.367.46N/AN/A2,2082,99388,13545,704
2013-11-20$16.60$20.0057.0%16.3%39.5%37.0%56.8%3.5%-0.0%-127.8K31.2M-233.7K1.4410.31N/AN/A3,9595,68889,58945,774
2013-11-21$16.81$20.0054.1%16.3%39.7%32.4%57.2%5.4%1.6%-482.9K31.9M-246.3K1.197.68N/AN/A2,3742,83391,88349,998
2013-11-22$16.58$20.0051.7%16.3%39.7%28.6%56.7%5.5%0.6%-1.2M34.4M-237.2K0.417.68N/AN/A3,6521,49793,00450,842
2013-11-25$16.85$20.0051.4%16.2%40.9%28.1%56.3%4.3%0.1%210.9K22.0M-240.5K0.106.42N/AN/A6,02261588,38142,683
2013-11-26$16.56$20.0048.8%16.3%40.7%23.9%56.8%4.7%0.4%469.2K23.8M-228.3K0.7514.50N/AN/A1,9361,45891,68842,849
2013-11-27$16.28$20.0049.0%16.3%39.0%24.3%56.8%5.5%2.3%275.0K27.1M-223.9K0.628.35N/AN/A4,3762,72292,37643,817
2013-11-29$16.77$20.0049.4%16.4%36.0%24.9%57.0%3.3%0.4%262.4K20.7M-240.0K0.557.98N/AN/A1,64190094,31344,722