AGQ Options History — March 2015

In March 2015, AGQ traded between $36.32 and $43.80. ATM implied volatility averaged 57.8%, placing in the 57.2% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded above realized volatility by 14.4% (HV 20d: 43.4%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.61.

Notable Days

  • 2015-03-06: Highest Volume — 4,342 contracts
  • 2015-03-19: Largest IV drop — 16.6% change
  • 2015-03-11: Highest IV Rank — 75.3%
  • 2015-03-18: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.93$36.32$43.80$40.50$41.65
Max Pain$40.68$40.00$45.00$45.00$40.00
ATM IV57.8%52.6%66.4%60.0%54.7%
Expected Move16.1%14.1%18.1%16.9%14.9%
HV 20d43.4%25.0%50.6%50.1%43.7%
HV 60d60.0%56.1%63.8%63.4%56.1%
IV Rank57.2%46.2%75.3%61.7%50.6%
IV Percentile70.6%57.1%95.2%77.0%61.5%
Term Structure-0.3%-10.3%4.1%0.5%-0.2%
VWIV56.0%45.7%60.7%57.1%54.5%
Skew 25d2.0%-2.8%8.8%4.1%2.2%
Skew 10d5.0%-11.5%17.7%-11.5%4.7%
Call IV 25d57.8%52.8%63.1%61.4%54.8%
Put IV 25d59.8%54.3%65.5%65.5%57.0%
Bid-Ask Spread %62.8938.2183.2679.6678.32
Gamma HHI0.130.070.310.130.07
Net GEX259.8K57.6K664.8K192.9K415.5K
Net DEX-844.3K-15.4M8.5M-2.2M-9.1M
Net VEX-101.8K-127.3K-80.2K-111.3K-119.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.102.650.820.75
Total Volume1,939.8642804,3423,8113,007
Total OI17,286.72714,41819,11717,04517,425

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$40.50$45.0060.0%16.9%50.1%61.7%57.1%4.1%0.5%192.9K-2.2M-111.3K0.8279.66N/AN/A2,0981,71310,9466,099
2015-03-03$39.90$45.0064.1%18.1%50.2%70.4%59.0%2.0%-1.8%176.0K-1.1M-107.5K0.8081.29N/AN/A2,0841,67011,0616,291
2015-03-04$39.67$45.0058.2%16.8%49.8%58.0%59.6%1.9%-0.0%141.9K415.8K-105.4K0.7983.26N/AN/A2,1381,69811,1176,533
2015-03-05$39.64$40.0058.8%16.3%49.4%59.4%58.5%4.8%-4.2%154.7K-97.4K-107.8K0.8839.20N/AN/A1,8291,61611,5966,712
2015-03-06$38.15$40.0058.4%16.7%50.6%58.3%59.6%1.0%4.0%129.7K3.7M-101.4K1.0246.29N/AN/A2,1502,19211,7516,747
2015-03-09$37.77$40.0058.0%16.6%45.7%57.5%60.2%0.0%0.0%57.6K7.0M-86.4K0.1738.21N/AN/A9091509,8266,332
2015-03-10$37.24$40.0060.7%16.5%43.1%63.2%58.1%4.2%-2.4%103.3K7.1M-84.5K0.2342.48N/AN/A72116610,5386,407
2015-03-11$36.32$40.0066.4%17.7%43.4%75.3%59.2%-2.8%-10.3%60.3K8.5M-80.2K0.4161.72N/AN/A82033310,9866,502
2015-03-12$36.79$40.0060.7%16.8%44.0%63.3%58.3%-2.2%-3.0%79.5K7.2M-89.1K0.3343.10N/AN/A2217211,5246,727
2015-03-13$36.71$40.0059.5%17.0%43.8%60.8%60.7%1.1%-2.7%132.1K7.8M-87.8K2.6541.76N/AN/A21156011,5666,729
2015-03-16$37.05$40.0059.5%16.8%38.8%60.7%58.9%2.9%0.4%106.0K6.8M-88.0K0.4350.22N/AN/A30513011,0546,503
2015-03-17$36.65$40.0059.0%16.9%25.0%59.6%45.7%2.4%0.3%98.4K7.7M-83.9K0.2265.81N/AN/A62413911,2316,591
2015-03-18$39.04$40.0063.1%18.1%35.0%68.4%58.5%3.9%4.1%404.3K3.7M-93.2K0.1079.43N/AN/A1,0149811,7486,665
2015-03-19$39.30$40.0052.6%15.0%35.2%46.3%52.4%4.9%1.7%664.8K1.9M-90.8K0.3576.24N/AN/A40113912,2846,676
2015-03-20$42.25$40.0054.6%15.2%43.1%50.5%55.5%8.8%3.1%232.1K-6.8M-96.9K0.3069.42N/AN/A2,65880512,5116,606
2015-03-23$43.79$40.0053.8%15.5%44.6%48.7%54.7%1.3%1.1%390.9K-7.7M-110.6K0.2865.76N/AN/A8232279,5404,878
2015-03-24$43.61$40.0054.0%14.8%44.6%49.1%51.5%0.0%-0.5%430.8K-8.9M-113.7K0.6060.17N/AN/A30318210,1815,039
2015-03-25$43.37$40.0053.3%14.1%43.3%47.6%48.6%-0.1%-1.7%443.7K-9.9M-116.5K0.5666.04N/AN/A17910110,3655,110
2015-03-26$43.80$40.0052.6%14.6%43.3%46.2%51.7%1.1%3.9%471.6K-15.4M-127.3K0.7762.92N/AN/A2,1261,64011,7795,520
2015-03-27$43.23$40.0054.8%14.9%43.7%50.8%53.9%2.7%0.4%380.9K-9.2M-115.8K0.1378.13N/AN/A86011210,6215,179
2015-03-30$42.07$40.0055.0%14.7%43.9%51.3%56.7%-0.2%1.5%447.8K-9.8M-121.0K0.8974.25N/AN/A1,8301,62311,5465,266
2015-03-31$41.65$40.0054.7%14.9%43.7%50.6%54.5%2.2%-0.2%415.5K-9.1M-119.6K0.7578.32N/AN/A1,7211,28611,7835,642