AGQ Options History — June 2014

In June 2014, AGQ traded between $56.99 and $71.76. ATM implied volatility averaged 37.0%, placing in the 6.5% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 6.7% (HV 20d: 30.3%). Max pain ranged from $62.00 to $62.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.32.

Notable Days

  • 2014-06-19: Highest Volume — 9,157 contracts
  • 2014-06-19: Largest IV spike — 29.0% change
  • 2014-06-19: Highest IV Rank — 20.4%
  • 2014-06-30: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.05$56.99$71.76$56.99$71.76
Max Pain$62.00$62.00$62.00$62.00$62.00
ATM IV37.0%30.8%43.2%41.5%40.6%
Expected Move12.4%11.5%13.0%12.8%13.0%
HV 20d30.3%24.5%39.7%28.6%33.0%
HV 60d29.5%26.4%32.2%30.9%31.7%
IV Rank6.5%0.0%20.4%4.4%16.2%
IV Percentile2.5%0.0%9.5%2.4%8.3%
Term Structure0.2%-4.9%3.6%-0.6%-4.9%
VWIV44.7%40.7%48.1%48.1%47.2%
Skew 25d-0.6%-3.2%1.5%1.5%-0.7%
Skew 10d-2.2%-8.6%2.0%0.7%-5.8%
Call IV 25d38.4%33.0%44.2%41.7%42.1%
Put IV 25d37.8%32.6%43.2%43.2%41.4%
Bid-Ask Spread %18.9912.1941.2614.0820.45
Gamma HHI0.100.060.240.060.10
Net GEX1.5M-135.6K2.8M-135.6K1.7M
Net DEX-32.4M-78.9M13.6M13.6M-56.9M
Net VEX-184.9K-250.6K-132.7K-132.7K-224.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.090.870.360.24
Total Volume2,968.9051,0029,1572,5772,722
Total OI27,645.76221,65436,16521,65424,270

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$56.99$62.0041.5%12.8%28.6%4.4%48.1%1.5%-0.6%-135.6K13.6M-132.7K0.3614.08N/AN/A1,88868911,60010,054
2014-06-03$57.43$62.0039.6%12.7%28.5%0.7%44.2%0.6%0.4%122.6K9.3M-138.1K0.0912.96N/AN/A2,04617713,22910,486
2014-06-04$57.18$62.0039.3%12.5%28.4%0.2%44.4%0.4%-0.6%1.1M3.3M-141.2K0.5313.96N/AN/A65334915,08610,592
2014-06-05$58.44$62.0039.3%12.6%28.4%0.2%45.1%1.3%0.2%1.2M-6.1M-145.6K0.0919.09N/AN/A6,16557515,47010,913
2014-06-06$58.48$62.0038.0%12.5%28.1%0.0%44.0%0.9%-1.8%2.2M-14.3M-149.9K0.1714.77N/AN/A2,55542919,12311,071
2014-06-09$58.77$62.0036.0%12.4%28.1%0.0%45.2%-0.8%-0.1%1.8M-4.4M-143.7K0.2617.19N/AN/A1,72445215,4949,917
2014-06-10$59.74$62.0033.5%12.3%24.5%0.0%44.4%-0.2%0.2%2.2M-13.8M-153.9K0.4615.83N/AN/A2,9751,38016,60510,192
2014-06-11$59.64$62.0030.8%12.0%24.5%0.0%44.6%-0.3%0.6%2.8M-18.8M-177.2K0.1714.35N/AN/A1,79330219,21611,416
2014-06-12$61.67$62.0032.8%11.7%26.2%3.4%43.3%-0.7%3.6%2.4M-36.7M-169.4K0.0916.42N/AN/A4,16036019,55511,503
2014-06-13$62.63$62.0032.5%11.7%24.7%2.8%40.7%0.2%2.7%2.1M-39.8M-179.4K0.2641.26N/AN/A1,81147619,58211,647
2014-06-16$62.15$62.0034.4%11.8%24.5%5.9%41.5%-0.3%0.8%1.8M-24.9M-180.8K0.3419.74N/AN/A2,51284717,63011,088
2014-06-17$62.71$62.0034.1%11.5%24.7%5.5%40.9%-0.2%1.0%2.2M-26.5M-180.9K0.2912.19N/AN/A1,26836418,49611,802
2014-06-18$63.50$62.0033.5%11.8%25.0%4.4%42.2%-1.9%2.1%2.8M-38.6M-179.2K0.1828.47N/AN/A3,12857119,45912,035
2014-06-19$69.43$62.0043.2%12.6%39.7%20.4%45.9%-3.2%-1.6%1.1M-68.5M-177.8K0.2224.25N/AN/A7,4791,67818,87012,307
2014-06-20$70.03$62.0039.5%12.4%39.7%14.2%46.5%-2.3%-2.1%1.5M-78.9M-225.8K0.2421.55N/AN/A2,64664622,90313,262
2014-06-23$70.30$62.0036.7%12.4%39.4%9.7%45.7%-1.6%3.3%1.1M-52.0M-223.6K0.7720.58N/AN/A1,14988715,2198,144
2014-06-24$70.47$62.0038.0%12.6%36.0%11.9%44.3%-3.0%1.8%1.1M-55.0M-234.3K0.8718.42N/AN/A93281015,9828,697
2014-06-25$71.13$62.0038.1%12.9%35.5%12.0%46.6%-0.4%-0.4%1.2M-58.0M-236.5K0.4014.52N/AN/A87235216,5349,090
2014-06-26$71.55$62.0038.1%12.5%35.4%12.1%46.8%-1.9%-1.4%1.4M-57.5M-237.1K0.2723.83N/AN/A94125116,5529,273
2014-06-27$70.96$62.0038.2%12.8%33.5%12.1%47.7%-0.4%0.8%-81.1K-55.9M-250.6K0.4414.87N/AN/A92540816,8179,380
2014-06-30$71.76$62.0040.6%13.0%33.0%16.2%47.2%-0.7%-4.9%1.7M-56.9M-224.5K0.2420.45N/AN/A2,19952316,1888,082