AGQ Options History — October 2015

In October 2015, AGQ traded between $30.74 and $37.52. ATM implied volatility averaged 51.6%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded below realized volatility by 1.8% (HV 20d: 53.4%). Max pain ranged from $30.00 to $34.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.71.

Notable Days

  • 2015-10-02: Highest Volume — 5,975 contracts
  • 2015-10-05: Largest IV spike — 7.5% change
  • 2015-10-06: Highest IV Rank — 38.1%
  • 2015-10-06: Largest Expected Move — 16.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.72$30.74$37.52$30.74$34.48
Max Pain$32.23$30.00$34.00$33.00$34.00
ATM IV51.6%47.3%56.3%50.9%47.6%
Expected Move14.7%13.1%16.4%14.0%13.1%
HV 20d53.4%38.8%60.5%48.3%38.8%
HV 60d49.8%46.2%51.0%46.2%51.0%
IV Rank24.5%12.0%38.1%22.6%12.0%
IV Percentile28.7%6.7%54.8%21.8%7.9%
Term Structure-0.2%-7.2%4.0%4.0%-6.2%
VWIV51.8%44.0%59.4%49.9%44.0%
Skew 25d0.4%-3.2%2.2%1.1%1.6%
Skew 10d0.6%-6.8%14.7%0.7%1.1%
Call IV 25d53.5%46.9%59.1%52.7%46.9%
Put IV 25d53.9%47.3%59.6%53.8%48.6%
Bid-Ask Spread %61.5745.48101.9082.4074.10
Gamma HHI0.110.080.220.120.10
Net GEX317.9K45.5K533.5K45.5K271.8K
Net DEX-7.0M-13.5M3.1M3.1M-967.4K
Net VEX-80.9K-91.1K-70.4K-70.4K-72.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.481.181.061.18
Total Volume3,810.9551,2405,9754,2565,239
Total OI21,541.45519,22023,02720,64821,919

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$30.74$33.0050.9%14.0%48.3%22.6%49.9%1.1%4.0%45.5K3.1M-70.4K1.0682.40N/AN/A2,0702,18613,3947,254
2015-10-02$33.49$33.0051.8%14.3%57.3%25.1%56.0%2.2%-7.2%221.4K-2.5M-78.0K0.7185.89N/AN/A3,4892,48613,5007,334
2015-10-05$35.18$30.0055.6%15.5%59.1%36.1%57.3%-1.2%-0.1%338.2K-3.6M-82.1K0.5949.65N/AN/A78046012,5026,718
2015-10-06$36.08$30.0056.3%16.4%59.0%38.1%59.4%0.6%-1.4%327.6K-11.2M-91.1K0.7845.48N/AN/A1,8991,48014,3467,388
2015-10-07$36.98$30.0055.9%16.1%57.9%36.8%57.2%0.3%0.7%354.7K-12.3M-86.1K0.8747.52N/AN/A1,8921,63814,6507,468
2015-10-08$35.52$30.0055.7%15.4%60.5%36.3%58.5%1.8%1.6%465.8K-9.4M-88.6K0.6547.89N/AN/A2,5331,65314,9607,598
2015-10-09$36.03$32.0055.9%15.7%60.4%36.9%50.1%-1.4%0.7%519.3K-10.3M-85.0K0.8248.19N/AN/A2,0011,63915,2227,797
2015-10-12$36.16$32.0056.1%16.0%59.1%37.4%54.7%-0.1%0.7%371.3K-9.2M-84.2K0.8754.67N/AN/A1,5951,39314,4737,471
2015-10-13$36.33$32.0053.7%15.5%59.0%30.6%50.7%1.1%0.8%403.1K-9.6M-83.2K0.8450.91N/AN/A1,6471,38114,5617,587
2015-10-14$37.52$32.0055.9%15.8%55.8%36.8%56.9%1.6%-0.4%419.6K-12.7M-82.2K0.6351.04N/AN/A2,2001,38614,6217,613
2015-10-15$37.40$32.0053.1%15.3%55.2%29.0%51.2%-0.1%0.7%501.0K-13.5M-84.1K0.7152.89N/AN/A2,1151,51015,0857,612
2015-10-16$36.95$32.0050.4%14.3%55.6%21.2%50.9%0.5%-0.5%533.5K-12.7M-81.8K0.4854.10N/AN/A3,0441,44915,3227,705
2015-10-19$35.91$32.0050.8%14.4%56.9%22.3%52.4%-1.0%1.4%243.6K-5.8M-79.4K0.4859.15N/AN/A2,7941,33713,8586,740
2015-10-20$36.09$33.0049.4%14.1%53.0%18.3%48.9%-0.0%1.0%240.6K-5.9M-80.9K0.4960.82N/AN/A2,7331,33713,9346,960
2015-10-21$35.34$33.0048.4%13.9%53.8%15.5%48.6%1.0%0.4%200.6K-3.6M-78.2K0.5358.38N/AN/A2,6451,39713,9957,096
2015-10-22$35.98$33.0047.3%13.6%51.9%12.5%47.9%1.4%1.1%187.8K-5.5M-81.2K0.6261.24N/AN/A2,2181,37614,0717,200
2015-10-23$36.08$33.0048.3%13.9%51.7%15.3%46.0%1.8%-0.6%263.3K-6.0M-81.6K0.7662.22N/AN/A2,2261,68314,1077,262
2015-10-26$35.99$33.0048.0%13.9%44.2%14.3%49.8%0.2%3.1%267.2K-6.4M-80.2K0.6262.43N/AN/A2,0641,27313,7356,954
2015-10-27$36.09$33.0049.2%14.0%44.2%17.7%48.3%2.1%0.5%263.6K-5.4M-76.9K0.6866.72N/AN/A2,0921,42413,9017,037
2015-10-28$36.65$33.0047.5%15.2%43.6%13.0%53.5%-3.2%2.4%296.3K-7.8M-78.4K0.60101.90N/AN/A2,4021,43614,0067,247
2015-10-29$34.78$34.0047.3%14.1%48.7%12.3%46.7%-1.3%-6.1%258.4K-2.1M-73.6K0.7477.02N/AN/A2,4421,79714,2967,413
2015-10-30$34.48$34.0047.6%13.1%38.8%12.0%44.0%1.6%-6.2%271.8K-967.4K-72.4K1.1874.10N/AN/A2,4052,83414,3747,545