AGQ Options History — July 2015

In July 2015, AGQ traded between $31.15 and $36.36. ATM implied volatility averaged 53.3%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 17.7% (HV 20d: 35.7%). Max pain ranged from $33.50 to $39.00. Net GEX was positive for 12 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.76.

Notable Days

  • 2015-07-29: Highest Volume — 7,157 contracts
  • 2015-07-07: Largest IV spike — 19.3% change
  • 2015-07-20: Highest IV Rank — 64.1%
  • 2015-07-20: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.41$31.15$36.36$35.98$31.87
Max Pain$35.91$33.50$39.00$39.00$33.50
ATM IV53.3%43.7%61.5%43.7%48.2%
Expected Move15.2%12.7%17.7%12.9%13.8%
HV 20d35.7%21.4%39.9%25.0%39.6%
HV 60d40.4%37.3%42.6%41.0%37.3%
IV Rank46.5%25.7%64.1%25.7%35.4%
IV Percentile50.5%23.0%83.3%23.0%25.0%
Term Structure0.1%-3.0%4.4%4.4%1.4%
VWIV51.7%42.3%59.6%42.3%44.6%
Skew 25d3.1%-2.1%7.5%2.9%0.1%
Skew 10d6.5%-8.5%28.0%2.3%5.3%
Call IV 25d52.6%45.9%58.2%45.9%50.2%
Put IV 25d55.7%46.6%63.2%48.8%50.3%
Bid-Ask Spread %73.7559.53101.1489.6985.19
Gamma HHI0.080.050.140.080.08
Net GEX24.7K-106.4K391.2K-91.6K54.2K
Net DEX6.2M3.4M9.9M4.8M6.7M
Net VEX-87.2K-97.5K-80.2K-92.6K-80.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.331.190.990.83
Total Volume5,874.8644,9547,1575,1476,575
Total OI22,95820,49925,64321,42225,643

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$35.98$39.0043.7%12.9%25.0%25.7%42.3%2.9%4.4%-91.6K4.8M-92.6K0.9989.69N/AN/A2,5892,55813,4148,008
2015-07-02$36.24$39.0044.5%12.7%21.5%27.5%43.5%0.5%2.5%-78.1K4.5M-93.3K0.9688.39N/AN/A2,6102,51713,5588,147
2015-07-06$36.36$39.0047.9%13.7%21.4%34.7%46.6%1.6%1.0%-96.3K3.4M-92.1K0.8369.46N/AN/A2,8192,34412,6947,805
2015-07-07$33.72$39.0057.1%16.0%33.5%54.7%54.2%-2.1%-1.4%-52.8K8.4M-80.2K0.9971.89N/AN/A3,3573,33513,2777,888
2015-07-08$33.74$37.0057.1%15.8%33.6%54.7%55.4%-0.2%-1.5%-13.6K6.7M-93.3K1.0968.59N/AN/A2,9553,23213,9558,547
2015-07-09$35.21$37.0055.1%15.6%37.6%50.2%55.6%1.4%-0.1%36.7K5.1M-97.5K1.0359.53N/AN/A2,9062,97914,1208,624
2015-07-10$35.73$37.0050.8%14.5%38.1%41.1%51.7%1.7%-3.0%66.8K4.4M-95.7K1.1964.86N/AN/A2,9063,45414,4468,635
2015-07-13$35.46$36.0050.7%14.2%38.0%40.8%50.3%0.3%0.2%13.2K4.6M-93.1K0.9569.57N/AN/A2,7862,64313,7698,402
2015-07-14$34.83$36.0050.0%14.0%37.2%39.2%49.7%0.0%1.8%19.7K4.8M-93.1K1.0573.35N/AN/A2,5082,64513,9568,512
2015-07-15$33.63$36.0051.7%14.8%38.7%43.0%53.0%5.6%0.6%-62.2K8.4M-84.6K0.9865.43N/AN/A2,7172,66713,9838,580
2015-07-16$33.22$37.0053.2%15.3%37.6%46.2%53.4%3.0%-1.4%-106.4K8.7M-84.7K0.7774.50N/AN/A2,8432,19714,2858,759
2015-07-17$32.64$37.0053.2%15.2%37.6%46.3%53.0%3.0%0.2%-79.9K9.9M-81.8K0.8576.06N/AN/A2,6832,27114,6618,809
2015-07-20$31.75$37.0061.5%17.7%38.2%64.1%55.3%5.5%-2.1%-75.9K7.0M-81.6K0.5960.86N/AN/A3,5482,07913,0737,976
2015-07-21$32.34$36.0056.0%16.1%39.0%52.3%53.2%6.1%0.0%-7.5K5.1M-89.5K0.4962.36N/AN/A4,1002,01814,4328,180
2015-07-22$32.22$33.5056.8%16.3%37.2%54.0%55.4%5.2%-1.9%35.2K5.7M-84.7K0.5571.19N/AN/A3,8182,09015,0438,249
2015-07-23$31.46$33.5053.0%15.2%37.2%45.8%50.6%6.2%-1.3%31.2K6.8M-82.8K0.5972.22N/AN/A4,0102,34915,2128,310
2015-07-24$31.72$33.5061.0%17.6%37.7%63.1%59.6%5.8%2.6%50.6K7.4M-82.3K0.5273.44N/AN/A4,3972,29715,5308,425
2015-07-27$31.15$33.5058.7%17.4%37.9%58.1%55.4%7.5%3.4%110.5K6.4M-83.6K0.4070.93N/AN/A4,2121,67115,6338,188
2015-07-28$31.67$33.5057.3%16.1%38.9%55.1%56.7%6.2%0.8%144.4K6.4M-84.4K0.4573.14N/AN/A3,7741,70315,9328,349
2015-07-29$32.25$33.5056.4%14.5%39.9%53.2%48.5%3.3%-2.2%254.1K5.2M-85.6K0.36101.14N/AN/A5,2641,89316,2038,370
2015-07-30$31.86$33.5049.4%14.2%39.8%38.1%48.3%3.9%-1.7%391.2K5.8M-82.2K0.3380.65N/AN/A5,2131,71517,0308,464
2015-07-31$31.87$33.5048.2%13.8%39.6%35.4%44.6%0.1%1.4%54.2K6.7M-80.9K0.8385.19N/AN/A3,6022,97317,1858,458