AGQ Options History — July 2014

In July 2014, AGQ traded between $66.59 and $73.86. ATM implied volatility averaged 39.1%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded above realized volatility by 4.2% (HV 20d: 34.9%). Max pain ranged from $62.00 to $66.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.86.

Notable Days

  • 2014-07-24: Highest Volume — 5,862 contracts
  • 2014-07-07: Largest IV spike — 15.4% change
  • 2014-07-28: Highest IV Rank — 17.3%
  • 2014-07-02: Largest Expected Move — 13.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.16$66.59$73.86$71.23$66.59
Max Pain$62.76$62.00$66.00$62.00$62.00
ATM IV39.1%34.8%41.3%40.2%38.0%
Expected Move12.5%12.0%13.1%13.0%12.1%
HV 20d34.9%29.6%41.6%33.7%36.7%
HV 60d33.0%30.7%35.3%31.8%34.5%
IV Rank13.7%6.6%17.3%15.4%11.8%
IV Percentile8.1%2.8%16.7%7.9%4.0%
Term Structure0.1%-5.5%9.2%0.5%-0.4%
VWIV45.1%42.1%49.2%46.8%42.1%
Skew 25d-1.6%-5.2%3.2%-1.9%-2.4%
Skew 10d-4.2%-13.7%1.3%-9.2%-7.8%
Call IV 25d41.8%39.2%45.0%44.2%41.8%
Put IV 25d40.1%38.5%44.8%42.3%39.4%
Bid-Ask Spread %25.2510.9943.1819.7615.53
Gamma HHI0.080.050.110.080.07
Net GEX1.5M316.4K2.8M2.2M367.7K
Net DEX-44.9M-74.1M-19.8M-58.2M-19.8M
Net VEX-257.0K-286.4K-238.1K-266.4K-243.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.164.200.300.41
Total Volume1,836.6822885,8624,429824
Total OI29,623.77326,00432,61726,65531,441

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-07-01$71.23$62.0040.2%13.0%33.7%15.4%46.8%-1.9%0.5%2.2M-58.2M-266.4K0.3019.76N/AN/A3,4001,02917,8338,822
2014-07-02$72.03$62.0039.4%13.1%33.2%14.2%44.8%-2.6%-4.6%2.8M-68.3M-286.4K0.6928.78N/AN/A67947020,5979,509
2014-07-03$71.78$62.0034.8%12.9%33.4%6.6%43.0%0.6%9.2%2.0M-64.1M-275.8K0.3836.30N/AN/A75228820,9149,907
2014-07-07$70.90$62.0040.1%12.8%34.2%15.4%43.7%-3.5%0.7%1.5M-53.8M-263.3K0.6732.17N/AN/A74449818,8509,202
2014-07-08$71.21$62.0039.2%12.6%34.2%13.8%0.0%-2.7%-0.4%1.6M-57.1M-265.9K0.2238.04N/AN/A79217119,3139,657
2014-07-09$71.74$62.0040.3%12.6%34.1%15.7%45.7%0.1%-5.5%1.8M-59.5M-267.4K0.1838.71N/AN/A77714019,8019,721
2014-07-10$73.46$62.0040.2%12.4%34.2%15.5%46.4%-1.7%-4.6%2.2M-74.1M-269.4K0.5137.88N/AN/A1,05453819,9609,699
2014-07-11$73.86$62.0039.5%12.5%33.2%14.3%45.3%-3.3%-0.4%2.5M-73.8M-258.7K0.4316.23N/AN/A92939620,1289,967
2014-07-14$70.35$62.0040.2%12.7%38.9%15.4%45.7%-1.9%0.7%1.5M-46.3M-258.1K1.8416.29N/AN/A1,0992,01918,9709,258
2014-07-15$68.94$62.0038.0%12.8%39.7%11.9%49.2%-4.2%8.9%569.9K-34.9M-262.2K0.1636.43N/AN/A3,39655219,44910,962
2014-07-16$69.02$62.0038.3%12.8%39.7%12.4%48.3%-0.6%0.1%316.4K-35.5M-266.1K0.6013.30N/AN/A75945520,55411,371
2014-07-17$71.85$62.0039.6%12.9%41.6%14.5%46.5%-3.9%0.8%1.5M-50.8M-253.6K0.3114.64N/AN/A2,74083818,96711,368
2014-07-18$69.81$62.0038.0%12.9%29.7%11.9%44.6%-1.7%1.0%800.1K-36.7M-252.0K0.7520.47N/AN/A55141520,76111,372
2014-07-21$70.36$0.0038.7%12.5%29.7%13.1%42.3%-1.1%0.1%1.8M-41.7M-247.4K0.6343.18N/AN/A97561317,9268,078
2014-07-22$70.39$66.0038.5%12.4%29.6%12.8%0.0%-0.8%0.1%2.1M-42.6M-247.4K0.8216.65N/AN/A50541418,7408,615
2014-07-23$70.25$66.0038.3%12.2%29.6%12.4%43.3%-2.5%-1.7%2.1M-41.9M-246.8K0.2010.99N/AN/A4268519,0698,867
2014-07-24$66.62$66.0040.7%12.0%34.8%16.3%43.4%3.2%1.0%1.2M-21.4M-238.1K4.2030.81N/AN/A1,1274,73519,1058,906
2014-07-25$68.82$66.0039.9%12.0%36.9%15.0%43.5%-5.2%-0.1%1.1M-26.7M-238.8K1.7724.70N/AN/A8231,46019,66112,956
2014-07-28$68.23$62.0041.3%12.2%37.0%17.3%47.4%-0.9%-2.5%847.7K-25.5M-244.5K0.3222.10N/AN/A1,74855818,17411,063
2014-07-29$68.12$62.0039.1%12.1%36.6%13.7%42.7%0.3%-2.5%1.1M-28.2M-254.1K1.5615.05N/AN/A13521019,61911,343
2014-07-30$67.93$62.0038.0%12.4%36.6%11.9%46.6%0.4%2.0%1.1M-26.8M-248.6K1.8827.59N/AN/A10018819,72311,525
2014-07-31$66.59$62.0038.0%12.1%36.7%11.8%42.1%-2.4%-0.4%367.7K-19.8M-243.5K0.4115.53N/AN/A58623819,75311,688