AGQ Options History — April 2014

In April 2014, AGQ traded between $59.95 and $65.60. ATM implied volatility averaged 45.5%, placing in the 4.0% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 18.7% (HV 20d: 26.8%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.64.

Notable Days

  • 2014-04-30: Highest Volume — 3,285 contracts
  • 2014-04-30: Largest IV spike — 6.5% change
  • 2014-04-10: Highest IV Rank — 7.4%
  • 2014-04-08: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$63.50$59.95$65.60$64.23$59.95
Max Pain$63.38$60.00$65.00$60.00$63.00
ATM IV45.5%42.9%47.1%46.2%45.7%
Expected Move14.5%13.8%15.1%15.0%14.4%
HV 20d26.8%21.9%37.7%37.0%25.2%
HV 60d210.9%39.8%279.2%279.1%40.2%
IV Rank4.0%0.0%7.4%6.5%5.6%
IV Percentile2.2%0.0%5.6%1.6%4.0%
Term Structure-0.1%-5.9%1.6%1.1%0.1%
VWIV51.2%49.4%53.6%52.5%49.8%
Skew 25d-1.2%-4.2%1.8%-2.1%1.2%
Skew 10d-3.0%-9.2%1.2%-4.3%-1.8%
Call IV 25d47.7%44.3%49.7%49.4%46.1%
Put IV 25d46.5%43.8%49.8%47.3%47.3%
Bid-Ask Spread %12.478.6027.239.1627.23
Gamma HHI0.070.050.130.080.08
Net GEX30.0K-625.1K790.0K70.7K-625.1K
Net DEX7.9M894.6K17.2M9.1M17.2M
Net VEX-138.8K-153.1K-122.1K-139.9K-127.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.151.960.300.49
Total Volume1,348.9524203,2851,1543,285
Total OI18,860.71414,98621,52618,87319,340

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-04-01$64.23$60.0046.2%15.0%37.0%6.5%52.5%-2.1%1.1%70.7K9.1M-139.9K0.309.16N/AN/A88526910,7768,097
2014-04-02$65.11$60.0045.7%14.9%37.7%5.6%52.7%-4.2%0.5%380.6K4.2M-150.7K0.269.44N/AN/A79020611,5018,257
2014-04-03$64.33$60.0045.6%14.6%35.4%5.4%51.8%-2.1%0.4%182.0K7.8M-144.6K0.4810.53N/AN/A66431912,0658,354
2014-04-04$64.90$60.0045.2%14.8%31.0%4.7%51.8%-3.5%-5.9%-240.7K3.4M-148.2K0.3321.49N/AN/A1,22740612,6038,613
2014-04-07$64.56$60.0045.3%14.8%31.0%5.0%51.5%-1.1%0.8%211.8K5.6M-143.9K0.259.75N/AN/A8152039,9727,696
2014-04-08$65.46$60.0045.0%15.1%31.7%4.3%53.5%-2.6%0.4%506.1K1.8M-149.2K0.8512.35N/AN/A50342810,6537,872
2014-04-09$64.56$65.0046.1%15.0%25.8%6.3%50.7%-1.3%-0.7%297.0K5.9M-144.3K1.0514.34N/AN/A81585310,9778,190
2014-04-10$65.60$65.0046.6%14.6%27.0%7.4%52.1%-2.0%-0.8%790.0K894.6K-153.1K0.2310.51N/AN/A1,31730311,6058,884
2014-04-11$64.96$65.0046.2%14.6%25.1%6.5%0.0%-2.0%-0.6%622.8K2.7M-150.4K0.1514.99N/AN/A1,09416712,5269,000
2014-04-14$65.23$65.0045.9%14.4%24.4%1.7%50.9%-1.0%1.6%285.1K4.9M-144.6K0.6210.71N/AN/A65740710,4618,079
2014-04-15$62.80$65.0046.9%14.4%25.3%3.7%50.9%-0.5%1.0%-127.7K13.1M-134.4K1.1612.68N/AN/A68980210,9458,399
2014-04-16$63.19$65.0045.7%14.5%25.0%1.5%50.7%-0.1%1.0%-34.0K11.9M-136.1K0.688.60N/AN/A25917511,0338,795
2014-04-17$62.88$65.0044.0%14.3%23.5%0.0%50.3%-0.7%1.0%-155.4K13.8M-131.4K1.9610.42N/AN/A29056711,1838,856
2014-04-21$61.56$65.0046.2%14.3%24.2%4.4%50.6%-0.7%0.0%-336.3K12.3M-122.1K0.618.72N/AN/A1,4238677,7437,243
2014-04-22$61.72$65.0047.1%14.4%22.0%6.4%50.7%1.8%-1.1%-292.0K11.4M-127.9K0.5610.97N/AN/A6403588,6877,963
2014-04-23$61.60$65.0046.9%14.4%21.9%5.8%53.6%-1.5%-0.7%-276.1K10.8M-131.3K0.759.91N/AN/A2401809,1878,246
2014-04-24$63.03$65.0045.1%14.4%22.2%2.3%51.5%0.3%-0.6%-68.9K7.2M-132.6K0.4113.84N/AN/A1,2095019,2428,402
2014-04-25$63.34$65.0043.5%14.1%22.3%0.0%50.2%-3.0%1.0%-40.4K5.4M-133.0K0.4510.78N/AN/A1,27157610,0858,689
2014-04-28$62.52$65.0043.9%14.0%22.6%1.0%49.4%0.4%-0.6%-142.7K7.2M-134.8K1.0311.35N/AN/A8859089,2107,983
2014-04-29$61.94$63.0042.9%13.8%22.8%0.0%49.6%-0.6%-0.0%-376.3K10.0M-135.4K0.7414.19N/AN/A5023739,8738,790
2014-04-30$59.95$63.0045.7%14.4%25.2%5.6%49.8%1.2%0.1%-625.1K17.2M-127.6K0.4927.23N/AN/A2,1991,08610,2799,061