AGQ Options History — November 2015

In November 2015, AGQ traded between $28.33 and $34.07. ATM implied volatility averaged 50.0%, placing in the 18.8% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 22.6% (HV 20d: 27.4%). Max pain ranged from $33.00 to $35.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.13.

Notable Days

  • 2015-11-18: Highest Volume — 4,413 contracts
  • 2015-11-25: Largest IV drop — 7.8% change
  • 2015-11-17: Highest IV Rank — 32.3%
  • 2015-11-17: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.91$28.33$34.07$34.07$28.33
Max Pain$33.50$33.00$35.00$35.00$33.00
ATM IV50.0%44.9%54.7%46.4%46.4%
Expected Move14.6%13.1%15.7%13.2%13.8%
HV 20d27.4%18.8%34.7%34.7%19.0%
HV 60d46.1%41.8%50.9%50.9%41.8%
IV Rank18.8%3.9%32.3%8.3%8.3%
IV Percentile25.5%2.8%52.4%5.2%6.7%
Term Structure0.6%-3.3%5.1%2.4%5.1%
VWIV51.6%44.4%56.0%45.6%56.0%
Skew 25d2.4%-1.6%4.7%-1.6%1.1%
Skew 10d2.9%-8.1%13.6%-0.5%9.7%
Call IV 25d50.5%45.9%55.1%49.0%49.1%
Put IV 25d52.8%47.0%58.2%47.4%50.3%
Bid-Ask Spread %76.5663.8686.6777.1785.33
Gamma HHI0.080.050.120.100.06
Net GEX-787-76.8K144.3K144.3K-17.2K
Net DEX8.8M852.1K12.1M852.1K10.8M
Net VEX-53.5K-69.2K-44.3K-67.9K-44.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.103.301.002.06
Total Volume2,979.66724,4134,2391,187
Total OI21,46319,08523,56821,43419,641

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$34.07$35.0046.4%13.2%34.7%8.3%45.6%-1.6%2.4%144.3K852.1K-67.9K1.0077.17N/AN/A2,1202,11913,8037,631
2015-11-03$33.43$35.0044.9%13.1%33.7%3.9%44.4%0.8%-0.7%87.7K2.2M-69.2K0.8980.58N/AN/A1,8391,63613,8837,905
2015-11-04$32.64$35.0045.0%14.0%32.6%4.2%48.2%1.1%2.8%54.4K3.8M-65.8K0.9886.67N/AN/A1,6091,58314,0358,103
2015-11-05$32.11$33.0046.6%14.0%30.4%9.0%49.4%2.9%1.4%25.3K5.4M-65.5K0.9263.86N/AN/A1,6571,52914,0118,324
2015-11-06$31.13$33.0046.9%14.2%30.8%10.0%49.3%4.4%2.0%4.4K10.6M-56.7K3.3066.39N/AN/A15852212,7808,079
2015-11-09$30.28$33.0049.6%14.5%31.3%17.6%52.3%1.4%1.2%-40.7K11.1M-52.2K0.9774.10N/AN/A39037811,7107,866
2015-11-10$29.61$33.0053.2%14.9%31.2%28.0%53.4%-1.1%-2.9%-20.1K9.1M-54.7K1.2868.20N/AN/A1,5762,01513,2468,392
2015-11-11$29.51$33.0051.3%14.9%27.1%22.5%53.1%0.3%0.7%7.4K9.2M-54.7K1.2870.96N/AN/A1,5762,01513,5518,491
2015-11-12$29.29$33.0054.0%15.5%27.0%30.4%55.6%4.5%1.4%-4.5K10.0M-52.2K1.3072.39N/AN/A1,6052,08513,7838,577
2015-11-13$28.99$33.0052.8%15.4%27.0%26.9%50.5%2.8%-0.2%-25.4K10.1M-52.2K1.4171.71N/AN/A1,7332,44313,8758,675
2015-11-16$29.13$34.0054.1%15.6%26.9%30.6%55.5%3.8%-0.8%-74.2K12.1M-47.9K0.1473.99N/AN/A6288712,1008,152
2015-11-17$28.84$34.0054.7%15.7%26.2%32.3%50.1%4.3%-2.5%-6.9K9.5M-51.5K1.0078.64N/AN/A2,1482,14014,0088,571
2015-11-18$28.73$34.0054.0%15.5%26.1%30.3%51.6%3.0%1.2%-16.7K10.1M-49.3K0.9778.29N/AN/A2,2442,16914,3778,678
2015-11-19$29.10$34.0053.4%15.4%25.4%28.8%53.4%4.6%-3.3%81.4K8.4M-51.4K1.1779.24N/AN/A1,9342,26014,9008,568
2015-11-20$28.56$33.0051.6%14.8%25.1%23.5%52.7%3.7%-1.9%-34.6K10.6M-46.5K1.3081.62N/AN/A1,8632,43114,9778,591
2015-11-23$28.45$33.0052.8%15.6%25.0%26.9%54.4%4.7%1.5%-54.6K10.8M-46.2K0.3279.15N/AN/A61019611,5177,568
2015-11-24$28.71$33.0049.7%14.6%25.6%18.0%50.9%2.8%1.7%-21.5K10.6M-47.0K0.1080.28N/AN/A6116112,0647,649
2015-11-25$28.76$33.0045.8%13.6%24.1%6.7%51.6%2.3%0.2%-27.3K10.4M-47.6K1.0880.37N/AN/A2,0852,24912,7237,798
2015-11-27$28.43$33.0047.1%14.0%18.8%10.3%53.3%1.9%3.1%-76.8K10.7M-47.5K1.2182.17N/AN/A1,8592,24212,8737,785
2015-11-30$28.33$33.0046.4%13.8%19.0%8.3%56.0%1.1%5.1%-17.2K10.8M-44.3K2.0685.33N/AN/A38879912,2437,398