AGQ Options History — May 2015

In May 2015, AGQ traded between $39.03 and $46.50. ATM implied volatility averaged 50.7%, placing in the 42.1% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 0.8% (HV 20d: 49.9%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.97.

Notable Days

  • 2015-05-26: Highest Volume — 7,101 contracts
  • 2015-05-26: Largest IV spike — 10.4% change
  • 2015-05-19: Highest IV Rank — 48.3%
  • 2015-05-19: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.13$39.03$46.50$39.03$41.58
Max Pain$40.38$40.00$42.50$40.00$42.50
ATM IV50.7%46.6%53.6%51.8%49.1%
Expected Move14.2%13.3%15.6%14.1%13.7%
HV 20d49.9%44.9%56.3%49.3%45.3%
HV 60d46.3%44.4%48.6%48.1%46.6%
IV Rank42.1%33.5%48.3%44.6%38.9%
IV Percentile44.7%35.3%56.3%49.2%37.7%
Term Structure-0.7%-14.1%5.1%-2.6%0.4%
VWIV50.8%45.5%55.0%51.8%45.5%
Skew 25d1.6%-1.7%4.2%0.9%1.4%
Skew 10d3.0%-5.9%18.0%1.5%2.0%
Call IV 25d51.0%47.7%53.9%50.7%48.1%
Put IV 25d52.6%49.4%56.8%51.6%49.5%
Bid-Ask Spread %64.6552.5985.7785.7767.67
Gamma HHI0.090.060.180.180.10
Net GEX369.4K-97.1K720.0K391.7K123.5K
Net DEX-9.7M-26.8M-727.3K-1.8M-4.2M
Net VEX-124.0K-144.4K-104.2K-112.0K-127.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.215.650.520.61
Total Volume4,195.73237,1014,9653,878
Total OI20,539.916,77023,26420,92622,531

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$39.03$40.0051.8%14.1%49.3%44.6%51.8%0.9%-2.6%391.7K-1.8M-112.0K0.5285.77N/AN/A3,2601,70513,4887,438
2015-05-04$40.32$40.0051.1%15.2%49.6%43.1%55.0%0.4%3.7%229.9K-1.4M-106.4K0.2154.27N/AN/A1,34328210,9655,805
2015-05-05$40.88$40.0052.7%14.5%49.8%46.3%53.7%1.2%-1.4%404.9K-8.6M-119.4K0.3554.63N/AN/A4,3081,51513,4356,294
2015-05-06$40.62$40.0053.4%15.4%47.5%47.8%54.9%1.9%2.2%551.3K-8.8M-122.0K0.3556.84N/AN/A4,4381,56214,0506,300
2015-05-07$39.68$40.0053.3%15.3%46.0%47.7%54.8%2.9%2.7%412.9K-6.3M-115.4K0.4052.59N/AN/A3,7771,50814,3496,306
2015-05-08$40.50$40.0052.4%13.5%44.9%45.8%49.9%-0.5%1.5%181.9K-2.5M-108.7K0.4271.49N/AN/A2279613,0175,942
2015-05-11$39.55$40.0051.9%14.1%45.0%44.7%49.2%3.5%-4.6%324.0K-727.3K-104.2K5.6572.05N/AN/A1781,00611,8495,633
2015-05-12$40.82$40.0049.4%14.2%46.1%39.3%48.3%2.1%-2.1%244.3K-6.2M-113.4K0.4266.56N/AN/A3,5491,49913,3337,025
2015-05-13$43.63$40.0050.6%13.6%51.4%42.0%49.9%2.1%-2.5%560.1K-15.6M-126.8K0.4464.55N/AN/A3,7281,63514,0317,263
2015-05-14$45.24$40.0050.5%14.2%52.5%41.8%51.7%2.1%-1.7%720.0K-24.0M-135.1K0.5861.09N/AN/A2,9351,69915,1097,527
2015-05-15$45.66$40.0050.8%14.1%52.4%42.3%50.1%4.2%-1.3%444.1K-26.8M-144.4K0.4163.41N/AN/A4,4041,81015,6717,593
2015-05-18$46.50$40.0048.9%13.9%50.0%38.3%49.6%1.2%1.8%517.6K-16.8M-137.0K1.0764.76N/AN/A44747812,3715,855
2015-05-19$43.65$40.0053.6%15.6%56.3%48.3%49.9%-1.2%-14.1%573.0K-10.1M-129.3K3.5076.77N/AN/A26693112,5946,028
2015-05-20$43.56$40.0049.8%14.3%55.1%40.2%50.9%3.0%1.1%466.3K-15.0M-135.3K0.9459.63N/AN/A2,4752,33514,0507,308
2015-05-21$43.73$40.0047.1%13.3%55.1%34.4%51.1%-1.7%5.1%468.4K-14.6M-131.9K0.9569.05N/AN/A2,5022,36714,0907,408
2015-05-22$43.28$40.0046.6%13.4%54.6%33.5%48.9%1.7%-1.0%415.8K-14.1M-130.7K0.6758.16N/AN/A3,4322,29114,2077,416
2015-05-26$41.65$40.0051.5%14.4%49.8%43.8%53.0%3.5%-0.5%469.3K-9.0M-125.2K0.9067.01N/AN/A3,7473,35413,7106,415
2015-05-27$41.33$42.5051.2%14.0%49.0%43.1%50.4%2.6%-2.2%-14.2K-3.5M-128.1K0.4261.28N/AN/A3,5071,46713,6208,441
2015-05-28$41.39$42.5048.1%13.5%48.8%36.7%47.9%1.1%2.2%-97.1K-3.1M-127.9K0.5965.36N/AN/A2,5031,47013,7458,586
2015-05-29$41.58$42.5049.1%13.7%45.3%38.9%45.5%1.4%0.4%123.5K-4.2M-127.4K0.6167.67N/AN/A2,4021,47613,8918,640