AGQ Options History — January 2016

In January 2016, AGQ traded between $27.01 and $29.72. ATM implied volatility averaged 48.0%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 0.3% (HV 20d: 48.3%). Max pain ranged from $26.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.61.

Notable Days

  • 2016-01-19: Highest Volume — 4,289 contracts
  • 2016-01-11: Largest IV spike — 11.0% change
  • 2016-01-15: Highest IV Rank — 45.0%
  • 2016-01-15: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.08$27.01$29.72$27.19$28.65
Max Pain$28.79$26.00$30.00$28.00$29.50
ATM IV48.0%43.8%53.6%48.6%43.8%
Expected Move13.5%11.6%15.5%13.0%11.6%
HV 20d48.3%39.6%56.4%55.1%42.6%
HV 60d40.6%37.9%42.6%38.4%42.1%
IV Rank26.6%12.8%45.0%28.5%12.8%
IV Percentile22.4%2.4%60.7%22.6%2.4%
Term Structure-0.1%-4.4%5.6%-0.3%2.1%
VWIV47.2%40.9%52.1%46.3%40.9%
Skew 25d0.8%-5.9%6.3%6.3%0.2%
Skew 10d4.5%-17.4%30.1%3.9%6.2%
Call IV 25d48.6%43.5%52.8%45.7%43.5%
Put IV 25d49.4%43.3%58.3%52.0%43.7%
Bid-Ask Spread %75.3959.64107.5659.6489.07
Gamma HHI0.110.090.140.090.14
Net GEX159.5K19.3K416.2K25.7K416.2K
Net DEX3.6M-2.9M7.7M7.7M-521.8K
Net VEX-46.0K-56.9K-37.5K-41.1K-54.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.380.800.690.40
Total Volume3,539.0533,1954,2893,1953,481
Total OI15,982.68410,55420,38018,73113,342

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$27.19$28.0048.6%13.0%55.1%28.5%46.3%6.3%-0.3%25.7K7.7M-41.1K0.6959.64N/AN/A1,8961,29912,4226,309
2016-01-05$27.70$29.0044.4%12.5%50.3%14.6%45.8%1.7%-0.4%57.5K7.4M-41.6K0.7164.92N/AN/A1,8781,33312,5966,359
2016-01-06$27.83$26.0045.7%13.1%48.5%19.2%43.4%-5.2%-0.7%71.5K6.9M-43.7K0.7871.97N/AN/A1,8001,39712,7156,338
2016-01-07$28.96$26.0049.1%13.8%50.4%30.2%46.8%-5.9%-2.0%159.6K5.8M-39.9K0.7367.68N/AN/A1,9281,39812,9156,408
2016-01-08$27.52$26.0045.0%13.8%53.7%16.7%47.4%1.0%-1.5%59.8K7.2M-37.5K0.7873.92N/AN/A1,9521,52913,3506,345
2016-01-11$27.22$28.0049.9%13.4%53.7%33.0%49.7%0.3%-4.4%41.1K7.2M-40.4K0.7977.30N/AN/A1,9151,51413,0826,263
2016-01-12$27.01$28.0048.1%13.6%53.0%27.1%49.1%2.0%-0.4%19.3K7.5M-42.1K0.8069.99N/AN/A1,8501,48513,2376,335
2016-01-13$28.33$28.0047.8%13.6%54.1%25.9%45.0%-1.9%-1.4%87.0K6.9M-39.4K0.6774.77N/AN/A2,3821,60113,2766,360
2016-01-14$27.14$29.0049.3%13.6%56.4%30.8%48.8%-0.8%-1.6%49.5K7.7M-41.9K0.7971.65N/AN/A2,3171,83513,7366,520
2016-01-15$27.30$30.0053.6%15.5%52.2%45.0%52.1%5.5%5.6%83.0K6.9M-45.1K0.6774.38N/AN/A2,4711,64413,7936,587
2016-01-19$27.80$30.0048.3%13.8%47.0%27.6%49.2%4.2%0.7%120.9K1.8M-44.6K0.3970.58N/AN/A3,0931,1966,7383,816
2016-01-20$28.31$30.0051.3%14.7%43.4%37.7%49.9%3.9%-1.7%217.9K415.4K-50.1K0.5474.30N/AN/A2,2011,1967,9313,723
2016-01-21$28.18$30.0047.3%13.5%42.6%24.3%47.0%3.1%3.8%209.0K772.5K-48.3K0.5673.07N/AN/A2,2071,2388,2143,755
2016-01-22$27.82$30.0047.9%13.6%42.8%26.4%47.6%0.9%1.7%160.1K964.1K-48.3K0.5970.53N/AN/A2,1491,2688,3053,787
2016-01-25$28.63$30.0048.7%13.8%44.1%28.9%47.5%1.3%-0.6%208.3K61.3K-50.0K0.5574.04N/AN/A2,1871,2027,7513,681
2016-01-26$29.72$30.0049.3%14.2%46.0%31.0%49.3%-1.6%-0.1%298.5K-2.3M-55.6K0.3881.18N/AN/A2,6091,0038,3493,695
2016-01-27$29.70$30.0048.3%13.7%39.6%27.5%45.7%0.4%0.5%398.1K-2.9M-56.9K0.43107.56N/AN/A2,2629738,9783,738
2016-01-28$28.47$29.5045.6%12.5%42.9%18.9%45.1%-0.3%-0.8%347.9K-686.8K-53.3K0.3985.86N/AN/A2,5531,0009,1793,743
2016-01-29$28.65$29.5043.8%11.6%42.6%12.8%40.9%0.2%2.1%416.2K-521.8K-54.1K0.4089.07N/AN/A2,4811,0009,5643,778