AGQ Options History — August 2015

In August 2015, AGQ traded between $29.22 and $35.32. ATM implied volatility averaged 55.3%, placing in the 50.7% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 14.1% (HV 20d: 41.1%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2015-08-27: Highest Volume — 5,993 contracts
  • 2015-08-24: Largest IV spike — 10.1% change
  • 2015-08-26: Highest IV Rank — 82.4%
  • 2015-08-26: Largest Expected Move — 20.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.60$29.22$35.32$30.99$31.23
Max Pain$37.81$35.00$40.00$38.00$35.00
ATM IV55.3%48.3%69.9%50.2%62.9%
Expected Move15.9%13.8%20.8%14.7%18.1%
HV 20d41.1%26.8%57.9%40.1%57.1%
HV 60d37.2%33.2%42.2%37.4%41.8%
IV Rank50.7%35.6%82.4%39.6%67.3%
IV Percentile52.9%23.0%98.0%31.0%86.5%
Term Structure-0.0%-2.6%6.3%0.2%-0.2%
VWIV54.5%47.3%72.4%48.7%59.6%
Skew 25d5.0%0.1%10.4%4.9%4.8%
Skew 10d11.3%3.6%22.2%5.0%8.3%
Call IV 25d54.7%45.6%72.3%49.4%61.4%
Put IV 25d59.7%51.9%74.9%54.3%66.2%
Bid-Ask Spread %76.3564.0694.8691.7281.62
Gamma HHI0.070.060.090.070.08
Net GEX89.4K-25.6K302.9K3.6K104.3K
Net DEX4.2M-2.3M9.5M9.5M5.1M
Net VEX-82.2K-92.7K-69.2K-69.2K-79.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.361.750.870.69
Total Volume4,377.2864325,9939724,997
Total OI22,929.09519,59925,03619,59924,020

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$30.99$38.0050.2%14.7%40.1%39.6%48.7%4.9%0.2%3.6K9.5M-69.2K0.8791.72N/AN/A52045212,3867,213
2015-08-04$31.20$38.0049.5%14.3%31.5%38.1%47.7%6.3%-0.7%-5.2K6.9M-77.0K0.9986.68N/AN/A2,3632,34714,1117,989
2015-08-05$31.25$38.0050.4%14.5%31.5%40.2%47.3%6.6%-0.8%-25.6K6.9M-76.5K1.0186.38N/AN/A2,3122,32814,1868,058
2015-08-06$31.51$40.0052.2%14.3%26.8%44.1%48.3%10.1%-0.6%-6.5K6.3M-77.7K0.8074.80N/AN/A2,9092,31314,2868,074
2015-08-07$32.17$40.0048.3%13.8%27.5%35.6%47.7%4.6%-0.3%71.4K4.1M-80.5K1.0176.01N/AN/A2,4942,53014,9378,073
2015-08-10$34.14$40.0048.3%13.8%35.8%35.6%49.4%7.4%0.2%78.9K2.0M-83.8K0.6270.63N/AN/A3,0631,91314,1237,747
2015-08-11$34.48$39.0049.6%14.4%35.5%38.4%55.2%4.0%0.2%210.9K4.1M-82.0K1.4065.34N/AN/A18025213,6387,852
2015-08-12$35.32$39.0051.2%14.9%34.0%41.8%53.7%4.0%-0.8%238.9K-2.3M-92.7K0.7164.70N/AN/A2,6791,89015,1428,224
2015-08-13$34.74$39.0051.7%15.1%34.3%43.0%49.5%5.0%0.5%302.9K-1.5M-91.7K0.7764.06N/AN/A2,2601,74815,4148,298
2015-08-14$34.07$39.0053.3%15.0%34.4%46.4%51.2%5.0%-2.6%138.8K-70.2K-89.5K0.7174.24N/AN/A2,7201,92715,4638,340
2015-08-17$34.37$39.0052.0%15.0%32.6%43.6%48.9%4.6%-1.3%187.2K1.2M-87.2K1.7067.68N/AN/A1,7953,05814,9347,854
2015-08-18$32.32$39.0053.4%15.3%39.5%46.6%52.2%4.8%-1.2%48.9K6.4M-79.7K1.7575.21N/AN/A1,8813,29615,0688,381
2015-08-19$34.10$39.0051.6%14.8%43.8%42.9%50.7%8.6%0.2%65.1K6.9M-78.3K0.3677.40N/AN/A55919913,9208,337
2015-08-20$34.95$38.0053.3%15.3%43.3%46.5%54.2%2.7%2.3%192.0K-836.8K-92.1K1.5471.10N/AN/A2,1013,23815,5478,803
2015-08-21$34.02$36.0056.9%16.4%44.7%54.3%58.2%2.6%0.3%50.0K2.0M-89.7K1.4971.50N/AN/A2,1843,26415,9228,873
2015-08-24$31.90$36.0062.6%18.9%50.4%66.7%69.3%0.6%-2.5%43.9K3.8M-88.1K1.2994.86N/AN/A1,8322,36514,3077,956
2015-08-25$31.30$36.0065.5%19.7%50.5%72.9%66.3%0.1%6.3%21.1K5.8M-81.0K1.2076.39N/AN/A2,0852,49414,3978,038
2015-08-26$29.22$36.0069.9%20.8%55.4%82.4%72.4%2.6%4.0%-1.1K8.4M-72.8K0.8075.42N/AN/A3,0682,44514,6908,120
2015-08-27$30.36$35.0066.3%17.3%57.4%74.6%55.6%10.4%-1.3%62.3K6.5M-77.2K0.8778.88N/AN/A3,2112,78215,6528,102
2015-08-28$30.93$35.0061.1%17.4%57.9%63.4%58.6%4.7%-2.0%96.0K6.6M-80.3K0.7778.73N/AN/A3,3162,55316,4208,616
2015-08-31$31.23$35.0062.9%18.1%57.1%67.3%59.6%4.8%-0.2%104.3K5.1M-79.2K0.6981.62N/AN/A2,9492,04816,0098,011