AGQ Options History — September 2015

In September 2015, AGQ traded between $30.16 and $33.41. ATM implied volatility averaged 58.4%, placing in the 49.9% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded above realized volatility by 6.9% (HV 20d: 51.5%). Max pain ranged from $31.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2015-09-18: Highest Volume — 5,606 contracts
  • 2015-09-18: Largest IV drop — 13.1% change
  • 2015-09-09: Highest IV Rank — 68.4%
  • 2015-09-01: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.61$30.16$33.41$30.99$30.53
Max Pain$31.95$31.00$35.00$35.00$33.00
ATM IV58.4%50.5%63.9%63.5%51.9%
Expected Move16.7%14.7%18.9%18.9%14.7%
HV 20d51.5%41.5%57.3%57.1%48.4%
HV 60d44.2%41.8%48.5%41.8%46.2%
IV Rank49.9%21.5%68.4%68.4%25.4%
IV Percentile63.5%19.0%88.9%88.5%29.4%
Term Structure1.5%-4.5%7.2%0.1%2.2%
VWIV58.2%48.8%63.3%62.3%48.8%
Skew 25d4.9%0.9%11.3%8.8%0.9%
Skew 10d6.8%0.4%14.7%14.7%4.2%
Call IV 25d57.5%51.3%63.9%59.3%56.0%
Put IV 25d62.4%55.9%69.4%68.2%56.9%
Bid-Ask Spread %73.4456.67106.2691.7686.15
Gamma HHI0.100.070.140.090.11
Net GEX134.7K37.8K344.9K126.2K63.3K
Net DEX3.6M-1.0M10.3M4.5M3.5M
Net VEX-73.4K-83.6K-60.8K-83.6K-69.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.131.550.731.03
Total Volume3,987.3819715,6064,9974,268
Total OI22,431.85717,88826,13324,46120,201

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$30.99$35.0063.5%18.9%57.1%68.4%62.3%8.8%0.1%126.2K4.5M-83.6K0.7391.76N/AN/A2,8822,11516,2818,180
2015-09-02$31.32$35.0062.5%18.5%57.3%66.4%62.2%2.0%-0.0%123.1K4.9M-78.6K0.7185.68N/AN/A2,8302,01616,2428,249
2015-09-03$31.39$31.0060.8%17.8%57.2%62.7%61.9%7.8%-3.8%151.7K4.5M-78.1K0.6663.56N/AN/A2,6301,73016,3338,247
2015-09-04$30.93$31.0063.1%17.4%56.9%67.7%61.4%6.6%0.7%67.2K6.2M-74.3K0.7362.63N/AN/A2,5351,85816,4548,278
2015-09-08$31.82$31.0062.6%17.9%53.4%65.6%60.9%3.6%0.8%61.6K7.4M-70.9K0.2165.49N/AN/A80017114,1477,522
2015-09-09$30.95$31.0063.9%17.3%53.8%68.4%61.8%2.9%-4.5%117.2K5.0M-75.6K0.6356.67N/AN/A2,6341,65616,2368,023
2015-09-10$31.18$31.0062.0%17.6%52.9%62.6%60.8%7.5%-0.9%142.6K4.1M-76.1K0.6367.55N/AN/A2,6851,67816,2648,072
2015-09-11$31.06$31.0058.3%17.1%52.8%53.9%60.4%7.5%1.3%89.1K6.2M-69.4K0.7267.53N/AN/A2,5861,86016,3858,213
2015-09-14$30.26$31.0061.9%17.5%53.0%62.1%62.0%3.4%3.5%67.8K7.3M-66.7K0.8270.16N/AN/A2,2591,84516,0408,066
2015-09-15$30.16$31.0059.8%17.1%52.8%57.1%63.3%5.0%1.1%37.8K10.3M-60.8K0.1365.04N/AN/A1,01313514,8377,768
2015-09-16$32.21$31.0062.6%18.0%54.5%63.8%62.1%4.5%-0.2%207.0K3.7M-70.8K0.6470.81N/AN/A2,2621,44016,4848,181
2015-09-17$33.24$31.0063.4%18.2%52.1%65.5%57.2%4.5%-0.0%344.9K706.9K-67.3K0.90106.26N/AN/A2,7382,45716,8028,242
2015-09-18$33.29$31.0055.1%15.3%51.2%46.1%56.3%3.2%7.2%121.0K-1.0M-79.6K0.7869.54N/AN/A3,1512,45517,4968,637
2015-09-21$33.41$32.0052.9%14.9%50.4%28.2%52.5%3.5%3.1%226.1K-666.3K-76.4K1.0662.77N/AN/A1,8671,98611,5936,295
2015-09-22$31.74$32.0054.6%15.1%48.4%33.1%54.5%3.5%4.8%139.0K1.9M-73.4K1.2568.13N/AN/A1,5651,95912,3976,714
2015-09-23$31.64$32.0052.7%15.1%47.9%27.7%54.7%3.5%1.9%132.3K1.8M-73.5K1.3868.65N/AN/A1,4792,04512,5016,818
2015-09-24$33.14$32.0054.7%15.7%43.0%33.5%54.5%6.1%5.6%270.0K-288.5K-74.7K1.1279.52N/AN/A2,0172,26812,6936,948
2015-09-25$32.92$33.0050.5%15.0%41.5%21.5%52.3%3.5%4.4%174.1K-149.4K-79.5K1.5573.70N/AN/A1,4862,31013,2987,317
2015-09-28$30.75$33.0056.1%16.2%48.4%37.4%57.3%11.3%3.3%111.0K2.9M-70.7K1.5577.61N/AN/A1,4992,32312,3726,610
2015-09-29$30.95$33.0053.9%15.6%48.3%31.3%53.9%2.5%0.5%55.2K3.1M-71.3K1.2683.03N/AN/A1,8752,36712,5077,126
2015-09-30$30.53$33.0051.9%14.7%48.4%25.4%48.8%0.9%2.2%63.3K3.5M-69.8K1.0386.15N/AN/A2,1042,16413,0507,151