AGQ Options History — February 2015

In February 2015, AGQ traded between $40.02 and $46.09. ATM implied volatility averaged 63.2%, placing in the 68.5% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded below realized volatility by 5.6% (HV 20d: 68.7%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.89.

Notable Days

  • 2015-02-17: Highest Volume — 6,481 contracts
  • 2015-02-17: Largest IV spike — 8.4% change
  • 2015-02-02: Highest IV Rank — 79.9%
  • 2015-02-18: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.76$40.02$46.09$45.10$41.50
Max Pain$47.16$45.00$50.00$46.00$45.00
ATM IV63.2%58.6%68.5%68.5%58.6%
Expected Move17.7%15.5%19.4%17.4%16.2%
HV 20d68.7%51.8%72.9%71.3%51.8%
HV 60d72.1%63.2%74.6%74.6%63.2%
IV Rank68.5%58.9%79.9%79.9%58.9%
IV Percentile89.2%72.6%97.6%97.6%72.6%
Term Structure0.6%-9.1%5.9%-9.1%-2.6%
VWIV62.5%56.3%67.6%67.6%56.8%
Skew 25d0.9%-6.4%7.3%7.2%5.5%
Skew 10d-0.8%-13.0%7.3%0.1%-2.2%
Call IV 25d63.8%55.8%69.3%57.4%56.6%
Put IV 25d64.7%60.3%68.2%64.5%62.1%
Bid-Ask Spread %71.3662.9089.3764.2774.11
Gamma HHI0.120.040.950.060.14
Net GEX-193.7K-5.7M319.3K70.6K177.6K
Net DEX-1.3M-6.8M4.7M1.1M-4.0M
Net VEX-111.4K-125.3K-96.8K-109.4K-111.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.461.470.460.64
Total Volume3,552.6326206,4818694,572
Total OI17,382.57914,48219,05714,48218,230

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-02-02$45.10$46.0068.5%17.4%71.3%79.9%67.6%7.2%-9.1%70.6K1.1M-109.4K0.4664.27N/AN/A5962738,3066,176
2015-02-03$45.53$45.0064.3%17.5%69.1%71.0%65.5%-3.7%0.3%158.3K-5.0M-125.3K0.8674.15N/AN/A2,2091,89910,2426,769
2015-02-04$46.09$45.0060.8%18.4%68.0%63.5%62.5%0.5%5.6%243.2K-6.8M-123.7K1.1689.37N/AN/A1,6161,86910,6066,811
2015-02-05$45.56$50.0062.1%17.8%68.2%66.2%62.1%-1.8%1.7%144.2K-3.9M-116.8K0.9975.30N/AN/A1,6631,64710,7276,817
2015-02-06$42.60$50.0061.4%17.6%72.0%64.7%64.9%-6.4%-3.7%55.7K1.7M-110.5K1.4167.02N/AN/A1,8862,66110,7756,873
2015-02-09$44.12$50.0063.6%18.5%72.9%69.5%64.0%3.4%0.3%-5.3K-1.6M-117.1K0.8464.87N/AN/A2,0391,7079,6487,059
2015-02-10$43.53$50.0065.4%17.8%72.9%73.3%63.0%-1.1%-2.0%89.7K-1.6M-114.4K1.0066.99N/AN/A1,6181,62510,3817,089
2015-02-11$42.90$50.0062.5%17.7%70.5%67.1%59.4%0.6%1.4%69.7K-346.2K-111.9K1.0566.85N/AN/A1,4941,56810,5487,140
2015-02-12$43.21$50.0062.4%17.5%70.3%67.0%61.9%-2.0%-1.9%14.9K842-111.0K1.0166.65N/AN/A1,6501,67110,5627,152
2015-02-13$45.39$50.0061.3%17.4%72.5%64.5%60.4%2.0%1.1%118.4K-4.5M-118.8K0.8462.90N/AN/A2,2471,89110,7507,293
2015-02-17$41.49$50.0066.4%19.1%71.0%75.4%64.4%2.8%-2.5%48.4K2.9M-100.7K0.7168.26N/AN/A3,7912,69010,3706,766
2015-02-18$41.12$45.0067.7%19.4%69.7%78.1%66.3%0.4%4.3%84.3K-1.2M-112.8K0.5376.09N/AN/A3,7241,96711,9747,083
2015-02-19$40.92$45.0063.0%17.9%68.8%68.1%63.8%1.0%3.7%20.7K3.4M-98.5K0.8770.87N/AN/A33228810,4926,697
2015-02-20$40.02$45.0063.4%17.9%67.4%69.1%62.4%-2.7%5.0%-5.7M4.7M-96.8K1.4775.33N/AN/A30444710,6866,786
2015-02-23$40.40$45.0064.6%17.0%67.9%71.5%60.0%2.9%0.1%123.7K-1.9M-107.7K0.8271.84N/AN/A2,2821,86410,0475,857
2015-02-24$40.14$45.0063.0%18.5%66.6%68.2%65.1%-2.7%5.9%100.3K-1.0M-109.1K0.7276.54N/AN/A2,1831,58111,0906,370
2015-02-25$41.49$45.0059.6%16.7%67.3%61.0%60.3%7.3%0.6%231.6K-3.2M-110.9K0.7968.94N/AN/A2,0811,65311,3876,568
2015-02-26$41.34$45.0061.6%15.5%67.3%65.2%56.3%3.2%2.8%319.3K-4.3M-109.6K0.7475.57N/AN/A2,2451,66711,5066,636
2015-02-27$41.50$45.0058.6%16.2%51.8%58.9%56.8%5.5%-2.6%177.6K-4.0M-111.2K0.6474.11N/AN/A2,7901,78211,5836,647