AGQ Options History — December 2015

In December 2015, AGQ traded between $26.67 and $30.23. ATM implied volatility averaged 45.7%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 5.0% (HV 20d: 40.6%). Max pain ranged from $33.00 to $40.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2015-12-08: Highest Volume — 5,511 contracts
  • 2015-12-28: Largest IV spike — 12.6% change
  • 2015-12-14: Highest IV Rank — 20.4%
  • 2015-12-02: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.18$26.67$30.23$28.68$27.06
Max Pain$36.05$33.00$40.00$33.00$33.00
ATM IV45.7%39.9%50.5%45.7%41.7%
Expected Move13.1%11.0%14.5%14.4%11.4%
HV 20d40.6%20.5%55.9%20.5%55.3%
HV 60d42.5%38.9%45.1%41.8%38.9%
IV Rank10.0%0.0%20.4%6.3%6.0%
IV Percentile8.2%0.0%28.6%4.4%1.2%
Term Structure1.2%-1.0%5.6%3.0%0.8%
VWIV46.3%39.7%53.5%48.3%41.0%
Skew 25d2.4%-4.2%6.5%4.2%2.1%
Skew 10d4.7%-0.6%13.8%3.2%2.8%
Call IV 25d45.9%39.2%50.6%46.7%41.7%
Put IV 25d48.3%41.3%54.2%50.9%43.8%
Bid-Ask Spread %85.1177.51101.9888.6989.34
Gamma HHI0.090.060.180.060.10
Net GEX57.2K-57.9K305.8K-4.1K7.9K
Net DEX8.5M4.8M11.6M10.7M8.2M
Net VEX-45.7K-53.1K-33.6K-46.3K-41.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.141.140.140.63
Total Volume4,071.0917585,5117583,561
Total OI20,630.13617,18422,81020,27919,448

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$28.68$33.0045.7%14.4%20.5%6.3%48.3%4.2%3.0%-4.1K10.7M-46.3K0.1488.69N/AN/A6649412,5867,693
2015-12-02$28.05$33.0047.8%14.5%20.7%12.3%51.9%2.6%1.3%3.3K10.3M-44.4K1.0089.19N/AN/A2,0852,07613,3257,671
2015-12-03$28.40$40.0047.9%14.2%21.2%12.8%47.5%4.6%0.0%32.2K9.8M-48.0K0.9978.33N/AN/A2,0642,04413,6687,709
2015-12-04$30.23$40.0047.8%13.1%32.2%12.5%48.8%-4.2%-0.5%85.8K5.4M-53.1K0.6682.17N/AN/A3,1902,11813,6857,741
2015-12-07$29.04$40.0047.2%13.8%33.4%10.6%47.9%2.1%0.7%91.5K8.5M-49.0K1.1481.50N/AN/A66876313,3777,181
2015-12-08$28.58$40.0048.0%13.8%32.5%12.9%51.5%2.2%0.6%61.8K8.7M-51.2K0.8881.06N/AN/A2,9372,57414,1507,656
2015-12-09$28.55$40.0047.8%13.6%31.7%12.4%47.4%3.2%0.0%53.1K8.7M-51.0K1.0180.22N/AN/A2,4352,45014,1747,711
2015-12-10$28.36$40.0047.1%13.6%31.7%10.3%46.5%2.5%2.0%-6.7K9.5M-48.7K0.8977.51N/AN/A2,5192,23414,2427,722
2015-12-11$27.61$36.0049.3%14.4%32.9%16.8%49.5%3.0%1.4%-20.2K10.3M-47.5K0.7778.17N/AN/A2,5501,96914,3247,743
2015-12-14$26.67$35.0050.5%14.5%34.7%20.4%48.3%6.5%1.3%-57.9K11.6M-35.5K0.7879.71N/AN/A2,3801,86813,9197,661
2015-12-15$26.93$35.0047.7%13.7%34.9%12.2%48.2%1.6%-1.0%-57.2K10.7M-44.4K0.7080.65N/AN/A2,5491,78414,2097,760
2015-12-16$28.54$35.0047.1%13.5%41.1%10.5%53.5%3.6%5.6%45.8K10.3M-33.6K0.92101.98N/AN/A2,3662,18614,6007,806
2015-12-17$26.74$36.0045.6%13.0%47.1%7.9%46.4%3.4%1.9%9.4K11.3M-40.2K0.9884.81N/AN/A2,4392,39514,9577,808
2015-12-18$28.21$35.0045.3%13.1%51.1%6.6%45.9%1.5%-0.5%38.4K9.4M-45.2K0.8083.64N/AN/A2,7102,15615,0217,789
2015-12-21$28.88$35.0044.5%12.7%51.4%3.6%44.5%2.8%1.3%93.3K5.9M-46.8K0.7081.92N/AN/A2,6491,86211,2865,898
2015-12-22$28.84$35.0040.2%11.8%51.3%0.0%39.7%3.9%2.8%194.2K5.5M-49.0K0.8097.20N/AN/A2,2651,80612,4676,197
2015-12-23$29.03$35.0041.0%11.3%51.3%2.6%42.3%-0.4%0.9%216.6K5.4M-50.8K0.7687.00N/AN/A2,3911,82712,6916,229
2015-12-24$29.27$35.0039.9%11.0%51.4%0.0%40.2%1.9%1.7%305.8K4.8M-51.2K0.7788.80N/AN/A2,2901,77212,8156,282
2015-12-28$27.51$35.0045.0%12.5%55.9%16.6%42.3%3.7%1.7%70.0K7.4M-42.7K0.7988.98N/AN/A1,8991,49412,4306,122
2015-12-29$27.50$34.0043.9%12.2%55.9%13.0%40.4%1.9%0.7%49.1K7.4M-44.4K0.7286.00N/AN/A2,1971,58012,5436,273
2015-12-30$27.19$33.0044.3%12.3%55.8%14.4%46.0%0.5%0.3%45.4K8.0M-41.8K0.5985.62N/AN/A2,3231,38112,8776,417
2015-12-31$27.06$33.0041.7%11.4%55.3%6.0%41.0%2.1%0.8%7.9K8.2M-41.4K0.6389.34N/AN/A2,1911,37012,9666,482