AGQ Options History — March 2014

In March 2014, AGQ traded between $63.85 and $75.84. ATM implied volatility averaged 51.9%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 3.6% (HV 20d: 48.3%). Max pain ranged from $60.00 to $62.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2014-03-03: Highest Volume — 5,061 contracts
  • 2014-03-04: Largest IV drop — 5.4% change
  • 2014-03-14: Highest IV Rank — 34.2%
  • 2014-03-14: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.07$63.85$75.84$75.57$64.12
Max Pain$60.48$60.00$62.00$62.00$60.00
ATM IV51.9%49.0%55.3%53.7%49.1%
Expected Move15.5%15.2%15.8%15.3%15.2%
HV 20d48.3%37.4%58.2%50.2%37.4%
HV 60d279.4%279.0%279.8%279.4%279.2%
IV Rank27.7%21.4%34.2%31.8%21.4%
IV Percentile18.0%4.8%36.9%25.8%4.8%
Term Structure0.1%-2.1%1.7%-0.2%0.9%
VWIV54.9%53.7%59.3%53.7%54.3%
Skew 25d-2.1%-3.4%-0.1%-0.5%-1.8%
Skew 10d-4.7%-8.3%-1.8%-3.3%-3.7%
Call IV 25d54.9%51.0%59.3%56.1%52.5%
Put IV 25d52.8%49.4%56.1%55.6%50.8%
Bid-Ask Spread %11.065.7324.5112.468.67
Gamma HHI0.090.050.130.060.10
Net GEX849.7K-323.2K2.8M1.2M32.9K
Net DEX-8.4M-43.7M13.1M-24.1M8.2M
Net VEX-158.8K-183.1K-134.2K-167.8K-135.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.121.240.500.73
Total Volume2,379.819005,0615,0611,664
Total OI24,167.09515,91229,70621,36317,251

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$75.57$62.0053.7%15.3%50.2%31.8%53.7%-0.5%-0.2%1.2M-24.1M-167.8K0.5012.46N/AN/A3,3691,69212,9368,427
2014-03-04$73.75$62.0050.8%15.4%51.6%27.1%54.0%-0.1%0.1%833.0K-13.4M-169.6K0.418.50N/AN/A1,31653815,1729,889
2014-03-05$73.71$62.0050.8%15.6%51.7%27.1%54.8%-1.0%0.7%963.1K-15.9M-173.6K0.407.46N/AN/A68527616,11510,300
2014-03-06$75.84$62.0052.6%15.4%51.2%30.0%54.3%-2.1%0.1%1.6M-29.4M-175.5K0.289.75N/AN/A3,07285216,28110,535
2014-03-07$71.70$62.0051.3%15.5%55.9%27.9%54.4%-1.4%0.6%351.3K-933.2K-164.7K0.477.39N/AN/A2,5121,17518,31310,978
2014-03-10$71.20$60.0051.5%15.4%56.1%28.3%0.0%-1.2%-1.4%986.0K-8.7M-160.4K0.285.73N/AN/A1,54042815,8438,710
2014-03-11$71.13$60.0052.1%15.5%56.1%29.2%54.5%-1.5%-2.1%1.3M-10.2M-163.2K0.7815.25N/AN/A1,3611,06017,0939,002
2014-03-12$74.43$60.0053.8%15.6%57.9%31.8%54.1%-2.9%-2.0%2.3M-33.3M-183.1K0.1212.68N/AN/A3,64143817,9329,708
2014-03-13$73.56$60.0055.0%15.5%58.2%33.8%0.0%-2.1%-1.6%2.5M-33.0M-182.9K0.498.73N/AN/A86942419,2319,900
2014-03-14$75.14$60.0055.3%15.8%57.6%34.2%55.8%-3.2%-1.5%2.8M-43.7M-181.9K0.1824.51N/AN/A3,97370519,66610,040
2014-03-17$73.25$60.0053.8%15.6%48.9%29.8%55.2%-2.2%1.2%1.8M-24.4M-166.1K0.6011.04N/AN/A1,32079415,9468,005
2014-03-18$70.94$60.0054.4%15.8%46.6%30.7%59.3%-2.4%-0.1%1.2M-10.4M-157.6K0.517.73N/AN/A1,07654816,4648,574
2014-03-19$69.43$60.0052.4%15.8%44.6%27.4%55.0%-3.0%1.7%672.6K-3.1M-152.9K0.8823.86N/AN/A1,11598017,0788,778
2014-03-20$67.52$60.0049.9%15.6%43.3%23.3%54.9%-2.4%1.2%-169.6K7.0M-145.3K0.648.22N/AN/A1,47695017,1059,360
2014-03-21$67.52$60.0049.0%15.5%43.3%21.9%54.4%-1.5%1.0%-117.8K7.7M-145.8K1.1310.44N/AN/A68577717,7409,810
2014-03-24$65.35$60.0050.8%15.5%43.0%24.8%55.7%-2.5%1.3%110.6K6.2M-134.2K1.249.73N/AN/A1,5041,8649,6936,219
2014-03-25$65.44$60.0050.9%15.5%43.1%25.0%54.5%-3.1%1.2%15.2K7.3M-148.0K0.608.79N/AN/A56233810,9017,823
2014-03-26$63.85$60.0051.3%15.4%39.2%25.6%55.7%-3.3%1.5%-150.9K12.2M-141.9K0.6211.61N/AN/A1,03364411,3018,018
2014-03-27$63.87$60.0052.3%15.6%39.0%27.4%54.7%-2.3%-0.1%-323.2K13.1M-141.5K0.7510.49N/AN/A72154111,9318,446
2014-03-28$64.25$60.0049.9%15.4%39.3%23.3%54.3%-3.4%0.2%-81.1K12.1M-142.1K1.249.29N/AN/A65180712,2818,714
2014-03-31$64.12$60.0049.1%15.2%37.4%21.4%54.3%-1.8%0.9%32.9K8.2M-135.9K0.738.67N/AN/A9627029,9477,304