AGQ Options History — December 2013

In December 2013, AGQ traded between $15.33 and $17.44. ATM implied volatility averaged 55.4%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded below realized volatility by 2.4% (HV 20d: 57.9%). Max pain ranged from $16.00 to $20.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2013-12-02: Highest Volume — 13,816 contracts
  • 2013-12-12: Largest IV spike — 7.7% change
  • 2013-12-17: Highest IV Rank — 43.5%
  • 2013-12-19: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.14$15.33$17.44$15.44$15.76
Max Pain$18.57$16.00$20.00$20.00$16.00
ATM IV55.4%50.3%61.1%58.4%56.5%
Expected Move16.5%16.2%17.0%16.9%16.5%
HV 20d57.9%44.3%64.3%44.3%57.2%
HV 60d53.9%49.1%61.2%60.6%50.2%
IV Rank34.5%26.4%43.5%39.3%36.2%
IV Percentile38.4%23.8%53.2%46.8%40.1%
Term Structure0.4%-2.7%2.2%-0.1%-2.7%
VWIV58.1%56.5%59.9%58.6%58.6%
Skew 25d3.5%-0.1%7.0%6.1%6.0%
Skew 10d8.1%-1.4%18.9%9.5%5.6%
Call IV 25d55.7%48.6%61.2%56.8%56.8%
Put IV 25d59.2%53.8%63.7%62.9%62.8%
Bid-Ask Spread %11.497.5314.557.5313.16
Gamma HHI0.090.060.220.080.07
Net GEX473.9K-157.9K1.1M-10.5K522.1K
Net DEX17.7M-1.4M32.8M30.2M11.7M
Net VEX-227.5K-268.2K-202.9K-202.9K-208.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.071.301.300.44
Total Volume6,349.1431,28413,81613,8167,233
Total OI139,857.286117,664154,074133,477121,724

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$15.44$20.0058.4%16.9%44.3%39.3%58.6%6.1%-0.1%-10.5K30.2M-202.9K1.307.53N/AN/A6,0197,79789,93043,547
2013-12-03$15.33$20.0057.1%16.4%44.3%37.2%57.0%6.6%0.1%-157.9K32.8M-207.4K0.6211.41N/AN/A3,6212,25592,65548,494
2013-12-04$16.31$20.0055.9%16.2%51.3%35.2%57.4%1.8%0.7%165.2K23.1M-240.3K0.3213.12N/AN/A6,7722,15294,81850,033
2013-12-05$15.78$19.0057.0%16.6%51.5%37.0%57.6%4.8%0.4%185.9K26.7M-224.2K1.2912.91N/AN/A2,7923,60899,18750,382
2013-12-06$15.92$19.0053.8%16.3%52.0%31.9%57.1%2.3%0.8%142.2K26.9M-231.5K0.3812.16N/AN/A3,6151,356100,94453,076
2013-12-09$16.54$18.0052.9%16.4%54.8%30.5%57.1%2.2%1.3%350.9K18.7M-243.8K0.1510.99N/AN/A5,60784993,51247,618
2013-12-10$17.44$18.0054.4%16.3%58.9%32.8%57.9%3.2%1.4%748.6K5.1M-268.2K0.3311.32N/AN/A5,3741,78097,53247,943
2013-12-11$17.26$20.0054.3%16.3%55.2%32.7%57.6%-0.1%2.1%827.5K7.0M-267.1K0.5511.81N/AN/A1,8801,03999,74048,854
2013-12-12$15.95$20.0058.5%16.7%61.3%39.3%59.9%2.5%0.5%558.7K23.7M-230.5K0.4310.05N/AN/A3,1731,377100,25649,501
2013-12-13$16.19$20.0056.2%16.8%60.7%35.6%59.3%3.6%-0.6%242.6K19.2M-235.5K0.2010.08N/AN/A5,2891,080102,03650,042
2013-12-16$16.63$20.0060.2%16.7%61.8%42.1%59.2%2.5%-1.0%425.2K17.6M-247.7K0.3912.46N/AN/A7,4162,92796,28548,115
2013-12-17$16.50$20.0061.1%16.7%60.8%43.5%59.7%1.5%-2.2%578.6K17.8M-245.0K1.0410.97N/AN/A2,3142,404100,60949,491
2013-12-18$16.40$20.0057.1%16.6%60.8%37.1%58.5%3.8%-0.0%585.3K20.7M-236.6K0.4614.55N/AN/A3,5651,650101,70349,880
2013-12-19$15.38$18.0057.6%17.0%62.5%38.0%59.5%1.6%-0.3%158.3K29.8M-205.6K0.8211.13N/AN/A4,3393,576101,21348,880
2013-12-20$15.61$18.0055.1%16.5%62.6%34.0%57.8%1.0%0.2%665.0K27.6M-207.5K0.3310.57N/AN/A5,0351,655103,12450,950
2013-12-23$15.76$16.0052.8%16.3%62.6%30.2%57.9%5.4%0.4%645.9K11.7M-209.5K0.1412.35N/AN/A5,18670183,00034,664
2013-12-24$15.84$17.0051.3%16.4%62.3%27.9%59.0%7.0%1.2%993.5K9.5M-211.8K0.569.08N/AN/A82346186,51835,189
2013-12-26$16.27$17.0050.9%16.2%62.9%27.4%56.5%1.6%1.9%1.1M4.3M-219.2K0.2912.65N/AN/A2,80780587,02835,395
2013-12-27$16.71$17.0050.3%16.3%63.4%26.4%56.7%5.9%2.2%581.5K-1.4M-225.6K0.0711.89N/AN/A9,02364387,98935,657
2013-12-30$16.01$17.0052.5%16.2%64.3%29.9%58.2%3.4%1.5%635.1K9.9M-208.9K0.8511.18N/AN/A1,8051,52984,67834,811
2013-12-31$15.76$16.0056.5%16.5%57.2%36.2%58.6%6.0%-2.7%522.1K11.7M-208.8K0.4413.16N/AN/A5,0312,20285,67636,048