AGQ Options History — November 2014

In November 2014, AGQ traded between $36.69 and $43.38. ATM implied volatility averaged 60.3%, placing in the 69.9% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 4.7% (HV 20d: 55.7%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 1.06.

Notable Days

  • 2014-11-17: Highest Volume — 8,340 contracts
  • 2014-11-28: Largest IV spike — 27.0% change
  • 2014-11-05: Highest IV Rank — 100.0%
  • 2014-11-06: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.07$36.69$43.38$40.89$37.32
Max Pain$51.16$45.00$55.00$55.00$50.00
ATM IV60.3%50.8%74.1%61.4%66.0%
Expected Move15.8%14.8%17.2%15.6%16.6%
HV 20d55.7%37.1%74.3%37.1%74.3%
HV 60d41.6%33.0%52.1%33.1%52.1%
IV Rank69.9%46.3%100.0%87.6%81.1%
IV Percentile91.9%59.1%100.0%99.2%99.2%
Term Structure-0.5%-4.3%2.4%1.7%2.4%
VWIV55.5%51.1%62.8%54.5%54.3%
Skew 25d9.1%3.2%26.5%12.7%10.9%
Skew 10d16.6%6.5%45.0%21.2%9.5%
Call IV 25d57.3%47.1%64.4%59.0%52.6%
Put IV 25d66.4%55.1%81.6%71.7%63.5%
Bid-Ask Spread %53.2743.6481.9947.7081.99
Gamma HHI0.090.040.620.070.05
Net GEX309.0K-1181.2M142.7K-118
Net DEX-14.5M-34.9M18.1M-24.7M18.1M
Net VEX-115.5K-139.6K-65.8K-129.2K-65.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.060.473.800.850.99
Total Volume6,098.7378368,3408,0741,054
Total OI36,885.15822,87244,49538,63924,873

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$40.89$55.0061.4%15.6%37.1%87.6%54.5%12.7%1.7%142.7K-24.7M-129.2K0.8547.70N/AN/A4,3573,71725,80412,835
2014-11-04$40.35$55.0061.3%15.6%37.1%87.2%54.4%9.2%-2.6%329.6K-25.1M-134.6K0.8147.83N/AN/A4,3973,56627,05713,027
2014-11-05$36.69$55.0074.1%16.6%46.4%100.0%56.6%17.2%1.6%113.4K-16.2M-122.6K0.9156.05N/AN/A3,9853,63227,18013,107
2014-11-06$37.50$54.0067.8%17.2%48.0%85.3%62.8%11.8%-0.7%47.0K-17.0M-122.7K0.8351.21N/AN/A4,4253,66527,41013,332
2014-11-07$39.07$54.0062.8%15.9%51.6%73.9%61.0%4.8%0.6%233.8K-22.5M-122.8K0.8545.85N/AN/A4,3963,74628,29313,470
2014-11-10$37.88$54.0060.7%15.6%51.2%69.1%55.5%7.3%-0.4%245.3K-18.9M-112.0K0.8355.61N/AN/A3,9833,28727,11612,715
2014-11-11$38.93$50.0058.2%15.5%53.0%63.2%55.7%6.0%-0.5%220.1K-19.3M-111.6K0.8355.90N/AN/A4,0953,40025,63812,008
2014-11-12$38.50$50.0058.8%15.6%52.7%64.6%57.1%9.3%0.4%380.9K-20.7M-126.3K0.8843.64N/AN/A3,8773,40128,15813,238
2014-11-13$38.13$50.0059.6%15.4%52.7%66.5%58.6%7.6%-4.1%383.8K-20.0M-122.4K1.0654.15N/AN/A3,5503,76028,52813,298
2014-11-14$41.49$50.0060.6%16.1%62.7%68.9%51.1%26.5%-2.1%1.2M8.6M-80.4K0.4765.85N/AN/A2,9021,36017,6099,039
2014-11-17$40.86$50.0060.8%15.6%62.2%69.1%58.5%5.7%0.1%377.3K-28.9M-137.0K0.9151.44N/AN/A4,3593,98128,76014,164
2014-11-18$41.11$50.0059.5%16.1%61.9%66.2%55.8%7.4%1.4%425.2K-30.4M-139.6K0.8945.36N/AN/A4,0563,61829,46115,034
2014-11-19$40.84$50.0061.3%16.2%60.3%70.5%55.9%7.3%-4.3%211.6K9.3M-101.5K1.3851.11N/AN/A48566918,40010,480
2014-11-20$41.27$50.0060.0%16.0%60.3%67.4%52.9%7.0%-2.4%468.2K-30.2M-131.0K0.8751.35N/AN/A4,1343,59829,03215,150
2014-11-21$42.14$50.0055.8%15.6%61.1%57.6%52.7%5.8%0.3%522.8K-34.9M-134.4K0.8855.31N/AN/A4,3893,87729,07215,214
2014-11-24$42.22$50.0054.9%15.4%61.1%55.6%52.6%3.9%0.2%104.2K9.7M-94.5K0.9546.89N/AN/A60257314,9557,917
2014-11-25$43.38$50.0050.8%14.8%62.1%46.3%51.1%3.2%-0.0%211.5K-20.8M-106.8K1.1048.49N/AN/A2,9263,21822,17512,602
2014-11-26$42.78$45.0051.9%15.0%62.2%48.8%53.0%8.5%-0.4%220.6K7.7M-99.1K3.8056.34N/AN/A17466215,9628,705
2014-11-28$37.32$50.0066.0%16.6%74.3%81.1%54.3%10.9%2.4%-11818.1M-65.8K0.9981.99N/AN/A53052416,0498,824