AGQ Options History — June 2015

In June 2015, AGQ traded between $36.53 and $41.93. ATM implied volatility averaged 47.5%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 12.6% (HV 20d: 34.9%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.81.

Notable Days

  • 2015-06-17: Highest Volume — 9,234 contracts
  • 2015-06-15: Largest IV spike — 9.2% change
  • 2015-06-02: Highest IV Rank — 44.3%
  • 2015-06-01: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.39$36.53$41.93$41.61$36.53
Max Pain$41.11$40.00$42.50$42.50$40.00
ATM IV47.5%43.5%51.7%51.3%46.3%
Expected Move13.5%11.9%15.5%15.5%13.3%
HV 20d34.9%26.2%47.7%45.3%26.6%
HV 60d44.2%40.9%47.1%46.6%40.9%
IV Rank34.5%25.2%44.3%43.5%31.3%
IV Percentile33.2%23.8%46.0%44.0%29.0%
Term Structure0.8%-4.1%4.0%2.3%-0.7%
VWIV47.5%39.9%52.2%52.2%47.3%
Skew 25d2.5%-0.8%6.5%6.5%0.8%
Skew 10d5.5%-1.1%13.3%13.0%2.7%
Call IV 25d47.7%43.5%51.8%49.5%47.5%
Put IV 25d50.2%43.9%56.0%56.0%48.3%
Bid-Ask Spread %77.5555.9594.9283.1988.35
Gamma HHI0.110.070.180.100.09
Net GEX-71.3K-281.0K286.9K161.8K-122.0K
Net DEX4.3M-5.4M10.8M-5.4M4.7M
Net VEX-100.6K-125.9K-89.6K-125.9K-90.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.231.370.920.90
Total Volume5,696.0911849,2345,4055,449
Total OI22,506.18218,67527,10320,72220,298

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$41.61$42.5051.3%15.5%45.3%43.5%52.2%6.5%2.3%161.8K-5.4M-125.9K0.9283.19N/AN/A2,8132,59213,1457,577
2015-06-02$41.93$42.5051.7%14.3%44.0%44.3%50.2%1.9%-1.5%-13.1K1.5M-118.3K0.2375.79N/AN/A1503412,4508,419
2015-06-03$40.59$42.5049.6%13.7%45.4%39.7%48.2%0.1%-4.1%-189.9K181.0K-122.2K0.5078.57N/AN/A3,1691,59813,8548,837
2015-06-04$38.93$42.0051.7%14.8%47.7%44.2%51.3%5.0%-1.6%-281.0K4.7M-115.2K0.4855.95N/AN/A3,5831,73713,9819,065
2015-06-05$38.43$42.0051.6%14.4%47.2%44.0%50.5%3.1%2.2%-4.3K9.0M-103.1K1.0666.06N/AN/A3,3293,53513,8139,423
2015-06-08$38.07$42.0051.5%14.8%46.5%43.8%51.5%5.3%1.0%-179.8K7.3M-102.9K1.0362.10N/AN/A2,7002,78713,3019,206
2015-06-09$37.92$41.0047.0%14.2%45.9%34.4%49.7%3.4%4.0%-221.2K8.3M-102.0K0.8961.83N/AN/A3,1052,76613,4989,494
2015-06-10$38.13$41.0045.8%13.7%44.3%31.9%48.0%-0.8%4.0%-206.1K8.5M-98.2K0.8874.10N/AN/A2,9532,59913,9789,609
2015-06-11$38.17$41.0045.2%13.5%35.8%30.5%48.4%3.0%2.3%-151.1K9.3M-96.7K0.8972.08N/AN/A2,8812,56314,1469,639
2015-06-12$37.71$41.0044.5%13.1%32.1%27.4%46.0%2.6%2.8%61.1K10.8M-93.6K1.1671.76N/AN/A3,0683,56514,5579,731
2015-06-15$38.51$41.0048.6%14.3%33.2%36.3%49.8%5.6%1.1%-38.2K6.3M-99.5K1.3777.95N/AN/A2,8523,91814,7869,242
2015-06-16$38.07$41.0049.6%14.3%31.7%38.4%49.0%0.5%1.2%60.9K6.1M-96.4K1.3681.65N/AN/A2,9163,97315,2889,066
2015-06-17$38.80$41.0048.6%13.9%26.3%36.2%48.0%3.6%2.9%59.8K3.8M-93.5K0.2594.92N/AN/A7,3601,87415,6468,906
2015-06-18$38.82$41.0045.1%12.9%26.4%28.7%45.5%0.3%0.9%286.9K-4.9M-101.3K0.4188.15N/AN/A4,9282,00117,8559,012
2015-06-19$38.41$41.0044.7%12.8%26.2%27.8%45.5%2.4%-1.1%-58.8K-1.8M-95.6K0.4280.81N/AN/A5,3492,23018,0379,066
2015-06-22$38.70$41.0046.0%12.9%26.6%30.5%46.0%1.3%1.2%-103.7K1.0M-94.7K0.7684.99N/AN/A2,5351,92911,6417,034
2015-06-23$37.14$41.0046.1%12.6%27.1%30.8%44.2%2.3%3.3%-89.4K4.0M-94.7K0.8179.69N/AN/A2,8862,33712,0127,346
2015-06-24$37.39$40.0047.5%12.3%27.4%34.0%45.4%5.2%-3.4%-164.1K4.7M-94.9K0.7384.74N/AN/A2,9282,14112,3678,062
2015-06-25$37.25$40.0044.6%11.9%27.3%27.5%44.3%2.4%0.9%-132.9K5.2M-93.2K0.7076.83N/AN/A2,9342,06012,7248,105
2015-06-26$36.95$40.0043.5%12.1%27.1%25.2%39.9%0.4%-0.8%-102.2K6.4M-89.6K1.2384.12N/AN/A2,6893,30912,9588,141
2015-06-29$36.59$40.0044.6%12.6%27.0%27.7%44.0%1.2%1.3%-140.3K4.3M-90.8K0.9282.46N/AN/A2,6962,49312,2317,590
2015-06-30$36.53$40.0046.3%13.3%26.6%31.3%47.3%0.8%-0.7%-122.0K4.7M-90.3K0.9088.35N/AN/A2,8652,58412,6177,681