AGQ Options History — September 2014

In September 2014, AGQ traded between $46.15 and $58.91. ATM implied volatility averaged 40.8%, placing in the 17.3% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 17.4% (HV 20d: 23.3%). Max pain ranged from $58.00 to $65.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2014-09-19: Highest Volume — 4,469 contracts
  • 2014-09-30: Largest IV spike — 25.6% change
  • 2014-09-30: Highest IV Rank — 57.8%
  • 2014-09-30: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.98$46.15$58.91$58.65$46.15
Max Pain$60.95$58.00$65.00$65.00$59.00
ATM IV40.8%31.9%64.1%34.5%64.1%
Expected Move11.6%10.4%14.8%10.9%14.8%
HV 20d23.3%18.0%31.4%23.4%31.4%
HV 60d30.6%26.7%33.3%33.3%31.0%
IV Rank17.3%1.8%57.8%6.2%57.8%
IV Percentile26.2%0.4%94.4%6.3%94.4%
Term Structure-0.0%-5.8%6.3%0.1%-5.8%
VWIV41.3%26.0%54.5%38.7%51.1%
Skew 25d1.1%-3.6%10.1%-3.5%9.6%
Skew 10d2.4%-8.0%28.1%-8.0%16.2%
Call IV 25d41.2%33.7%57.8%36.5%57.8%
Put IV 25d42.3%32.5%67.4%33.0%67.4%
Bid-Ask Spread %35.3317.0770.9021.0534.93
Gamma HHI0.070.040.330.060.05
Net GEX-69.5K-1.1M212.9K39.0K42.2K
Net DEX11.7M4.4M24.1M4.4M15.2M
Net VEX-155.7K-177.1K-134.3K-169.7K-134.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.242.070.960.82
Total Volume1,516.812954,4692,2302,916
Total OI24,85520,55628,08922,59923,425

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$58.65$65.0034.5%10.9%23.4%6.2%38.7%-3.5%0.1%39.0K4.4M-169.7K0.9621.05N/AN/A1,1401,09014,8537,746
2014-09-03$58.91$63.0034.5%10.9%20.0%6.1%0.0%-3.6%-0.4%-385.6K5.0M-175.5K0.3217.07N/AN/A75023815,5068,653
2014-09-04$58.15$63.0034.2%10.9%18.0%5.6%38.4%-2.1%-0.5%-197.7K4.8M-177.1K0.9126.84N/AN/A48043616,2108,758
2014-09-05$58.75$63.0031.9%10.4%18.8%1.8%39.0%-2.9%0.7%88.3K5.5M-173.4K0.6417.34N/AN/A78549916,5859,087
2014-09-08$57.78$63.0033.9%10.4%19.3%5.4%37.0%-3.1%0.3%45.1K6.8M-169.1K0.6518.67N/AN/A90258515,9648,456
2014-09-09$58.11$63.0033.2%10.5%19.3%4.2%26.0%-2.2%4.1%-89.8K7.4M-164.1K0.6024.06N/AN/A62037416,4938,905
2014-09-10$57.48$62.0035.1%10.7%19.4%7.5%36.9%-0.4%-0.7%-15.7K8.5M-169.3K2.0725.21N/AN/A9619916,9809,153
2014-09-11$55.82$62.0035.2%10.7%21.1%7.7%38.8%-1.7%2.6%-438.0K15.8M-160.0K0.5923.97N/AN/A1,02360517,0119,241
2014-09-12$55.44$62.0038.1%10.9%20.5%12.7%38.8%0.2%-0.1%-1.1M17.1M-161.4K0.6919.11N/AN/A71048817,7149,604
2014-09-15$55.63$61.0036.9%11.0%19.1%10.6%38.8%-0.7%-0.9%-95.8K13.6M-162.2K0.3933.67N/AN/A1,31051016,9849,079
2014-09-16$55.74$61.0036.2%11.1%19.0%9.4%38.9%1.0%0.9%212.9K10.5M-168.4K0.9025.79N/AN/A64057418,0989,349
2014-09-17$54.47$61.0037.1%11.1%19.4%11.0%39.1%2.0%-4.1%109.7K14.2M-159.3K1.1741.13N/AN/A27131718,4979,592
2014-09-18$54.53$60.0035.5%10.6%19.4%8.2%38.2%-0.3%-0.0%-34.6K17.0M-152.5K0.8724.82N/AN/A46340218,1339,542
2014-09-19$50.99$61.0044.0%11.3%29.2%22.8%40.4%-3.0%6.3%-127.7K24.1M-134.7K1.0352.20N/AN/A2,1992,27018,4259,575
2014-09-22$50.37$58.0045.9%12.5%29.0%26.2%42.7%1.3%-1.6%-108.1K12.9M-141.0K0.2463.09N/AN/A1,76143012,6747,882
2014-09-23$50.28$58.0044.6%12.2%29.1%24.0%45.0%3.3%-0.4%176.3K11.6M-135.2K1.0070.90N/AN/A33333213,8658,189
2014-09-24$49.71$58.0048.3%12.5%28.8%30.4%45.5%5.3%-1.3%139.8K12.0M-141.9K0.5042.75N/AN/A1,20259614,0968,445
2014-09-25$48.79$59.0051.4%13.4%28.4%35.7%48.2%6.4%1.5%153.5K13.8M-136.6K0.7861.85N/AN/A61848114,6128,627
2014-09-26$49.31$59.0050.7%13.2%28.7%34.6%49.4%10.1%-0.4%10.0K13.0M-144.4K0.4352.23N/AN/A1,18051014,9808,965
2014-09-29$48.61$59.0051.0%13.4%28.7%35.1%54.5%7.6%-0.9%95.8K12.1M-139.2K0.2845.32N/AN/A1,18733113,7488,254
2014-09-30$46.15$59.0064.1%14.8%31.4%57.8%51.1%9.6%-5.8%42.2K15.2M-134.3K0.8234.93N/AN/A1,6031,31314,9048,521