AGQ Options History — January 2015

In January 2015, AGQ traded between $38.30 and $51.84. ATM implied volatility averaged 61.1%, placing in the 64.2% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded below realized volatility by 4.0% (HV 20d: 65.2%). Max pain ranged from $39.00 to $46.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2015-01-30: Highest Volume — 5,816 contracts
  • 2015-01-12: Largest IV spike — 21.2% change
  • 2015-01-29: Highest IV Rank — 83.7%
  • 2015-01-16: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.42$38.30$51.84$38.30$45.46
Max Pain$42.13$39.00$46.00$39.00$46.00
ATM IV61.1%48.9%70.3%56.7%59.5%
Expected Move17.7%16.3%20.1%18.6%19.2%
HV 20d65.2%54.5%75.4%67.8%71.0%
HV 60d69.6%66.0%74.7%66.0%74.7%
IV Rank64.2%38.2%83.7%54.8%60.8%
IV Percentile87.5%52.0%98.8%83.7%82.5%
Term Structure0.2%-11.4%11.1%4.4%-4.8%
VWIV61.4%52.5%69.7%62.2%62.8%
Skew 25d2.2%-12.2%13.6%13.6%5.8%
Skew 10d1.9%-13.5%18.3%18.3%3.1%
Call IV 25d62.9%51.8%81.5%60.5%61.3%
Put IV 25d65.0%56.9%75.2%74.2%67.1%
Bid-Ask Spread %61.4043.9979.7863.3477.08
Gamma HHI0.090.050.170.050.17
Net GEX346.8K-53.1K576.9K57.9K-53.1K
Net DEX-14.4M-30.7M8.5M-12.9M-1.0M
Net VEX-106.0K-130.9K-79.6K-84.1K-116.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.241.260.850.90
Total Volume3,827.153745,8165,6255,816
Total OI22,860.3513,99432,47430,78019,880

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$38.30$39.0056.7%18.6%67.8%54.8%62.2%13.6%4.4%57.9K-12.9M-84.1K0.8563.34N/AN/A3,0402,58519,19411,586
2015-01-05$40.46$39.0062.9%17.4%70.9%67.9%60.1%0.6%-0.2%83.8K8.5M-79.6K0.2443.99N/AN/A1,32232211,9286,937
2015-01-06$42.10$39.0061.0%17.0%72.1%63.9%58.5%11.0%-5.4%320.4K4.5M-87.4K0.3055.02N/AN/A94227913,0937,156
2015-01-07$42.13$40.0057.3%16.4%72.1%56.2%52.5%10.9%-4.4%466.7K3.5M-88.0K0.9946.29N/AN/A18818613,7557,277
2015-01-08$41.02$41.0052.0%16.7%66.5%44.9%58.2%3.4%11.1%482.4K-21.5M-94.8K1.0459.41N/AN/A2,3392,44220,63611,322
2015-01-09$41.51$41.0048.9%16.4%66.6%38.2%57.3%4.5%5.0%157.4K-21.7M-96.7K1.1555.62N/AN/A2,1982,53820,68511,350
2015-01-12$42.24$40.0059.2%16.3%67.1%60.2%56.9%-0.0%-0.3%204.5K-21.6M-95.9K1.2657.81N/AN/A2,1962,77619,54411,131
2015-01-13$44.55$42.0060.3%16.3%70.0%62.4%57.7%5.1%-2.8%390.6K-29.3M-102.8K0.9160.32N/AN/A3,0202,74819,98111,097
2015-01-14$43.81$42.0056.0%17.8%58.9%53.5%61.1%2.8%6.1%508.0K-29.3M-105.3K1.0372.37N/AN/A2,5032,58721,11911,338
2015-01-15$43.71$42.0067.2%18.7%54.5%77.1%66.2%1.4%-2.5%576.9K-30.7M-105.9K1.1552.57N/AN/A2,3042,66021,25111,223
2015-01-16$48.00$42.0069.9%20.1%62.6%82.8%69.7%7.5%-5.3%536.6K-12.2M-101.6K0.3155.96N/AN/A2,81987514,7817,556
2015-01-20$49.35$41.0065.0%18.3%62.8%72.5%66.2%-6.1%5.7%356.6K-13.8M-106.6K0.2777.11N/AN/A1,2413389,1294,865
2015-01-21$50.47$41.0065.9%18.9%62.9%74.3%66.5%-2.2%6.4%471.6K-18.9M-116.4K0.7454.48N/AN/A1,13384310,1525,088
2015-01-22$51.84$42.0062.9%18.1%57.9%67.9%61.4%-0.7%-0.5%572.9K-28.6M-130.9K0.6952.98N/AN/A3,0692,11612,2215,943
2015-01-23$51.24$42.5062.7%17.0%58.7%67.7%58.4%-0.7%8.0%459.9K-27.2M-128.7K0.6879.78N/AN/A3,3592,26912,1406,144
2015-01-26$48.88$45.0061.1%17.5%62.7%64.2%60.8%2.1%2.0%426.1K-10.6M-114.0K0.7358.89N/AN/A1,0637739,4575,210
2015-01-27$50.08$46.0062.3%16.9%62.1%66.8%62.8%4.1%-6.7%346.2K-10.6M-117.7K1.0361.84N/AN/A6446659,6655,954
2015-01-28$49.56$46.0061.4%17.3%60.7%64.7%61.1%-7.7%-0.5%347.8K-15.1M-129.8K0.7371.05N/AN/A3,0772,25211,5796,933
2015-01-29$43.77$46.0070.3%19.2%75.4%83.7%68.5%-12.2%-11.4%222.2K-207.0K-118.6K0.8772.04N/AN/A2,6842,33211,7847,123
2015-01-30$45.46$46.0059.5%19.2%71.0%60.8%62.8%5.8%-4.8%-53.1K-1.0M-116.0K0.9077.08N/AN/A3,0692,74712,2877,593