AGQ Options History — May 2014

In May 2014, AGQ traded between $57.24 and $63.34. ATM implied volatility averaged 43.2%, placing in the 3.3% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 12.1% (HV 20d: 31.1%). Max pain ranged from $62.00 to $62.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.00.

Notable Days

  • 2014-05-12: Highest Volume — 3,993 contracts
  • 2014-05-27: Largest IV spike — 7.5% change
  • 2014-05-07: Highest IV Rank — 7.7%
  • 2014-05-12: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.67$57.24$63.34$59.15$57.24
Max Pain$62.00$62.00$62.00$62.00$62.00
ATM IV43.2%39.2%46.7%45.6%41.1%
Expected Move13.4%12.8%13.9%13.7%13.0%
HV 20d31.1%24.6%33.4%24.6%32.4%
HV 60d35.9%31.3%40.9%40.2%31.6%
IV Rank3.3%0.0%7.7%5.3%3.6%
IV Percentile2.5%0.0%8.7%3.6%1.6%
Term Structure0.2%-1.4%1.6%-0.3%0.2%
VWIV48.3%45.3%54.2%48.8%47.0%
Skew 25d-0.0%-1.7%2.6%0.2%2.0%
Skew 10d-0.2%-5.5%3.4%-2.8%1.7%
Call IV 25d44.8%40.6%49.0%46.5%41.7%
Put IV 25d44.8%40.8%48.6%46.7%43.7%
Bid-Ask Spread %15.2111.0133.0811.6713.59
Gamma HHI0.070.050.190.080.06
Net GEX224.9K-758.1K1.5M-758.1K47.8K
Net DEX5.7M-8.8M20.1M20.1M17.2M
Net VEX-138.5K-151.0K-130.3K-130.3K-130.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.000.193.471.403.47
Total Volume1,797.7144233,9933,4373,416
Total OI21,040.85716,62723,59321,18823,260

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$59.15$62.0045.6%13.7%24.6%5.3%48.8%0.2%-0.3%-758.1K20.1M-130.3K1.4011.67N/AN/A1,4312,00611,3239,865
2014-05-02$61.54$62.0046.1%13.5%29.0%6.4%49.7%-1.1%0.2%684.7K1.7M-146.8K0.4312.79N/AN/A2,7331,18612,26410,330
2014-05-05$62.10$62.0046.3%13.8%29.0%6.9%48.7%-0.5%0.4%614.8K-1.8M-151.0K0.4413.19N/AN/A95142011,2588,109
2014-05-06$62.21$62.0044.9%13.6%29.0%4.1%49.4%-0.2%0.4%740.3K-1.7M-150.5K0.4511.64N/AN/A29113211,9988,395
2014-05-07$60.53$62.0046.7%13.5%29.8%7.7%0.0%0.9%1.0%483.7K4.4M-142.5K1.7813.13N/AN/A33259112,1738,386
2014-05-08$59.68$62.0044.7%13.1%29.8%3.7%0.0%-0.5%1.6%214.3K9.4M-137.6K0.9029.86N/AN/A79471412,3828,821
2014-05-09$59.60$62.0043.7%13.6%28.9%1.6%47.4%-0.2%1.0%157.1K11.6M-136.9K0.7215.45N/AN/A49936012,8659,326
2014-05-12$62.08$62.0045.9%13.9%33.0%6.1%0.0%-0.7%-0.5%155.1K2.6M-140.6K0.3211.01N/AN/A3,02996410,3508,596
2014-05-13$61.93$62.0044.5%13.8%32.9%3.3%50.4%0.3%-1.4%684.1K480.2K-143.5K0.2312.10N/AN/A56112912,7729,260
2014-05-14$63.34$62.0044.1%13.7%31.2%2.4%48.3%-0.9%-1.3%1.5M-8.8M-148.2K0.3433.08N/AN/A88630413,2429,344
2014-05-15$61.55$62.0044.2%13.5%32.8%2.7%49.3%-1.7%-0.4%610.0K1.0M-139.8K0.4812.51N/AN/A72935213,6489,386
2014-05-16$60.89$62.0041.8%13.3%32.9%0.0%47.0%-1.1%-0.6%138.1K5.3M-134.1K1.2815.32N/AN/A71691314,0139,580
2014-05-19$60.86$62.0041.3%13.3%32.1%0.0%46.3%-0.6%0.8%63.9K6.3M-130.8K1.2811.07N/AN/A1,0621,3639,3217,306
2014-05-20$61.06$62.0041.0%13.1%32.1%0.0%54.2%0.9%0.9%-14.9K6.6M-135.2K0.4115.31N/AN/A1,05442910,2728,467
2014-05-21$60.96$62.0040.5%12.9%32.1%0.0%0.0%2.6%0.6%71.6K4.7M-134.8K2.9914.50N/AN/A22166111,2698,804
2014-05-22$61.67$62.0040.0%13.1%31.3%0.0%46.0%-0.8%1.4%410.5K876.4K-138.3K0.8816.83N/AN/A64456911,3419,375
2014-05-23$61.23$62.0039.2%13.2%31.3%0.0%0.0%0.1%0.9%271.2K3.3M-134.8K0.1914.00N/AN/A2,26542111,7029,767
2014-05-27$59.03$62.0042.2%13.2%33.4%5.6%49.0%-0.0%0.5%-71.3K10.1M-132.1K2.1111.27N/AN/A7811,64711,2898,375
2014-05-28$58.61$62.0041.8%13.0%33.4%4.9%45.3%0.7%0.4%-524.2K12.7M-136.6K0.5516.31N/AN/A51828511,9219,650
2014-05-29$58.75$62.0042.0%12.8%31.5%5.4%45.4%0.3%-1.2%-730.1K12.9M-133.9K0.3914.79N/AN/A1,00039312,2529,801
2014-05-30$57.24$62.0041.1%13.0%32.4%3.6%47.0%2.0%0.2%47.8K17.2M-130.6K3.4713.59N/AN/A7652,65113,18110,079