AGQ Options History — October 2014 In October 2014, AGQ traded between $41.09 and $48.62. ATM implied volatility averaged 53.0%, placing in the 57.6% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 14.7% (HV 20d: 38.3%). Max pain ranged from $55.00 to $58.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.73.
Notable Days 2014-10-31 : Highest Volume — 8,481 contracts2014-10-30 : Largest IV spike — 24.9% change2014-10-31 : Highest IV Rank — 100.0%2014-10-31 : Largest Expected Move — 15.4%Monthly Statistics Metric Avg Min Max Open Close Price $46.68 $41.09 $48.62 $46.86 $41.09 Max Pain $57.57 $55.00 $58.00 $58.00 $55.00 ATM IV 53.0% 43.0% 65.8% 59.9% 65.8% Expected Move 14.2% 13.1% 15.4% 15.0% 15.4% HV 20d 38.3% 32.2% 43.2% 32.4% 43.2% HV 60d 31.1% 28.9% 33.3% 31.2% 33.1% IV Rank 57.6% 36.6% 100.0% 50.5% 100.0% IV Percentile 69.1% 34.5% 100.0% 90.9% 100.0% Term Structure -0.5% -4.6% 8.0% -3.2% -4.0% VWIV 49.9% 45.3% 57.3% 51.5% 56.1% Skew 25d 6.5% 2.0% 15.2% 9.7% 15.2% Skew 10d 14.4% 5.7% 27.9% 19.2% 27.9% Call IV 25d 51.2% 43.3% 61.0% 55.4% 61.0% Put IV 25d 57.7% 48.8% 76.2% 65.1% 76.2% Bid-Ask Spread % 38.43 24.26 67.48 30.84 59.62 Gamma HHI 0.06 0.05 0.13 0.06 0.08 Net GEX 393.2K -326.5K 968.0K 93.6K 166.8K Net DEX -23.0M -46.2M 19.4M 13.9M -21.0M Net VEX -156.2K -189.6K -126.4K -142.5K -126.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.73 0.15 1.00 0.56 1.00 Total Volume 5,658.652 826 8,481 1,878 8,481 Total OI 35,554.043 23,947 43,456 25,324 39,886
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-10-01 $46.86 $58.00 59.9% 15.0% 32.4% 50.5% 51.5% 9.7% -3.2% 93.6K 13.9M -142.5K 0.56 30.84 N/A N/A 1,205 673 15,875 9,449 2014-10-02 $46.34 $58.00 61.0% 14.8% 32.4% 52.5% 52.6% 8.9% -1.0% 11.9K 15.6M -142.2K 0.37 28.33 N/A N/A 830 308 16,698 9,859 2014-10-03 $44.87 $58.00 58.9% 14.7% 32.2% 57.3% 52.0% 8.0% -3.2% -326.5K 19.4M -129.8K 0.47 30.38 N/A N/A 977 456 17,172 10,085 2014-10-06 $47.40 $58.00 51.6% 14.1% 40.2% 49.8% 49.6% 9.8% -1.4% 35.0K 13.6M -138.0K 0.15 28.30 N/A N/A 2,250 345 14,745 9,202 2014-10-07 $46.82 $58.00 53.4% 14.1% 39.8% 54.0% 48.2% 5.2% 1.6% 468.8K 11.3M -138.2K 0.69 29.18 N/A N/A 593 410 16,708 9,340 2014-10-08 $48.05 $58.00 52.6% 13.8% 41.9% 52.2% 49.4% 5.4% -1.7% 865.3K -41.4M -179.4K 0.82 33.58 N/A N/A 4,422 3,611 28,777 14,007 2014-10-09 $47.54 $58.00 54.0% 14.6% 41.2% 55.4% 49.2% 9.0% -1.0% 968.0K -43.5M -189.6K 0.84 29.84 N/A N/A 4,339 3,637 28,954 14,200 2014-10-10 $47.32 $58.00 54.4% 14.7% 41.2% 56.5% 50.9% 7.3% -1.8% 832.6K -40.1M -188.4K 0.82 24.26 N/A N/A 4,419 3,619 29,169 14,287 2014-10-13 $48.09 $58.00 54.4% 14.2% 41.9% 60.8% 50.3% 4.9% -3.1% 285.0K -40.1M -183.5K 0.80 28.96 N/A N/A 4,175 3,335 26,831 13,654 2014-10-14 $47.78 $58.00 53.8% 14.1% 41.8% 61.0% 49.1% 6.4% -0.6% 456.2K -40.5M -184.9K 0.82 30.87 N/A N/A 4,023 3,310 27,626 13,677 2014-10-15 $48.01 $58.00 54.5% 14.6% 41.6% 63.4% 51.1% 7.4% -4.6% 560.3K -43.5M -187.4K 1.00 56.50 N/A N/A 3,517 3,515 27,799 13,759 2014-10-16 $47.79 $58.00 56.8% 14.7% 41.5% 71.1% 52.5% 8.5% 0.5% 329.1K 8.9M -138.8K 0.47 41.32 N/A N/A 561 265 16,086 8,908 2014-10-17 $47.25 $58.00 56.6% 15.1% 34.9% 75.4% 57.3% 5.2% -2.9% 295.6K 10.1M -132.1K 0.55 26.08 N/A N/A 797 441 16,393 8,929 2014-10-20 $47.97 $58.00 52.3% 14.5% 35.4% 64.5% 51.1% 3.6% -0.3% 362.8K -44.0M -171.9K 0.77 30.08 N/A N/A 4,410 3,397 24,734 11,510 2014-10-21 $48.62 $58.00 48.6% 14.1% 35.8% 53.6% 50.4% 3.0% -0.2% 628.2K -46.2M -172.8K 0.87 39.62 N/A N/A 3,885 3,376 26,180 11,896 2014-10-22 $46.41 $58.00 47.9% 13.3% 39.1% 51.4% 46.9% 2.2% 2.1% 502.2K -39.2M -161.1K 0.85 39.37 N/A N/A 4,070 3,442 26,468 11,897 2014-10-23 $46.84 $57.00 47.0% 13.2% 38.9% 48.7% 47.4% 2.0% 1.4% 382.5K -39.0M -156.9K 0.87 39.65 N/A N/A 3,897 3,403 26,750 12,209 2014-10-24 $46.58 $57.00 46.3% 13.6% 38.7% 46.4% 46.8% 7.1% 2.4% 359.4K -39.5M -163.1K 0.88 39.79 N/A N/A 3,856 3,398 26,988 12,272 2014-10-27 $46.45 $57.00 47.1% 13.1% 38.4% 49.1% 47.5% 4.3% -2.3% 376.4K -38.4M -152.8K 0.70 39.62 N/A N/A 4,266 3,000 25,993 11,932 2014-10-28 $46.55 $57.00 46.2% 13.5% 33.7% 46.3% 45.3% 3.8% 1.7% 562.3K -38.2M -138.3K 0.79 50.65 N/A N/A 3,975 3,157 26,501 11,899 2014-10-29 $46.12 $57.00 43.0% 13.4% 33.3% 36.6% 46.1% 5.4% 3.3% 699.3K -40.7M -141.7K 0.80 67.48 N/A N/A 3,944 3,161 26,976 12,073 2014-10-30 $42.82 $56.00 53.6% 13.1% 42.3% 68.7% 46.4% 6.9% 8.0% 129.5K -27.0M -132.6K 0.83 59.64 N/A N/A 3,825 3,173 27,267 12,123 2014-10-31 $41.09 $55.00 65.8% 15.4% 43.2% 100.0% 56.1% 15.2% -4.0% 166.8K -21.0M -126.4K 1.00 59.62 N/A N/A 4,230 4,251 27,424 12,462
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