AGQ Options History — February 2016

In February 2016, AGQ traded between $28.75 and $34.58. ATM implied volatility averaged 52.1%, placing in the 40.7% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 7.5% (HV 20d: 44.6%). Max pain ranged from $29.00 to $33.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.59.

Notable Days

  • 2016-02-11: Highest Volume — 5,839 contracts
  • 2016-02-24: Largest IV spike — 15.3% change
  • 2016-02-24: Highest IV Rank — 67.4%
  • 2016-02-11: Largest Expected Move — 17.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.98$28.75$34.58$28.97$30.98
Max Pain$30.65$29.00$33.00$29.00$32.00
ATM IV52.1%44.4%60.1%44.4%50.1%
Expected Move14.9%12.1%17.2%12.4%14.3%
HV 20d44.6%36.5%49.2%42.6%49.2%
HV 60d45.1%41.9%48.8%42.1%48.8%
IV Rank40.7%14.9%67.4%15.0%34.1%
IV Percentile52.0%4.0%90.1%4.0%38.9%
Term Structure-0.4%-6.7%4.2%-0.2%2.6%
VWIV53.0%42.1%61.5%42.1%53.5%
Skew 25d-4.3%-10.4%2.5%0.9%-7.3%
Skew 10d-6.7%-17.9%7.3%7.3%-7.4%
Call IV 25d56.2%45.3%64.5%45.3%56.1%
Put IV 25d51.9%44.3%62.9%46.2%48.8%
Bid-Ask Spread %78.6957.2594.9090.5392.00
Gamma HHI0.110.090.170.150.10
Net GEX395.1K186.9K579.9K317.2K199.1K
Net DEX-7.3M-16.9M-714.0K-1.1M-1.1M
Net VEX-70.1K-83.4K-55.7K-55.7K-65.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.291.130.431.13
Total Volume3,881.653,1895,8393,5603,189
Total OI15,170.613,03716,57413,03715,508

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$28.97$29.0044.4%12.4%42.6%15.0%42.1%0.9%-0.2%317.2K-1.1M-55.7K0.4390.53N/AN/A2,4941,0669,2813,756
2016-02-02$28.75$29.0044.4%12.1%42.8%14.9%42.9%-1.5%-0.2%338.8K-1.0M-56.6K0.4393.68N/AN/A2,4681,0689,6693,836
2016-02-03$30.24$29.0046.0%12.8%45.8%20.4%42.8%-4.9%0.3%446.5K-4.0M-59.1K0.3693.93N/AN/A2,7059849,6963,902
2016-02-04$31.06$30.0046.7%13.5%46.4%22.7%49.4%-3.0%0.5%571.3K-6.8M-62.9K0.4067.18N/AN/A2,6781,08410,2194,050
2016-02-05$31.69$30.0050.6%14.7%45.0%35.5%53.6%-6.6%-1.0%429.3K-8.7M-65.3K0.3474.63N/AN/A3,0981,06010,6614,165
2016-02-08$32.89$30.0051.7%14.9%41.3%39.3%52.1%-3.3%0.0%447.2K-9.8M-68.8K0.4667.49N/AN/A2,2861,06210,2604,061
2016-02-09$32.53$30.0054.2%15.3%41.3%47.6%58.1%-4.5%-1.1%458.7K-9.8M-68.4K0.4468.74N/AN/A2,6651,16710,4324,191
2016-02-10$32.72$30.0052.1%15.7%40.9%40.7%55.1%-4.9%4.2%524.0K-9.9M-68.3K0.5071.31N/AN/A2,3061,15210,6604,223
2016-02-11$34.45$30.0059.2%17.2%41.4%64.4%58.2%-1.7%3.0%399.7K-14.9M-77.9K0.2957.25N/AN/A4,5131,32610,8214,356
2016-02-12$34.58$30.0056.0%15.8%36.5%53.5%54.2%-6.2%-1.0%466.9K-16.9M-83.4K0.3863.25N/AN/A3,3951,29112,0664,377
2016-02-16$32.42$30.0054.7%15.8%45.5%49.5%51.7%-5.4%-3.6%523.3K-10.2M-77.0K0.4672.89N/AN/A2,8601,32911,5854,381
2016-02-17$32.62$31.0050.9%14.6%45.4%36.6%52.3%-8.1%1.9%506.3K-9.6M-76.3K0.4681.20N/AN/A3,0321,38911,5304,516
2016-02-18$33.55$31.0056.0%16.0%45.8%53.7%54.4%-9.8%1.2%579.9K-11.6M-78.3K0.5882.91N/AN/A2,3841,38311,9054,624
2016-02-19$32.93$31.0055.2%16.0%46.6%51.0%53.4%-6.2%-2.9%328.3K-9.6M-77.2K0.5180.41N/AN/A2,6071,33411,8994,675
2016-02-22$32.03$31.0051.5%14.9%47.8%38.7%53.2%2.5%0.7%318.8K-4.9M-70.4K0.9979.28N/AN/A1,8651,84610,5154,346
2016-02-23$32.48$33.0052.1%15.1%47.2%40.8%52.4%-2.6%-0.3%293.7K-5.1M-75.5K0.9380.37N/AN/A1,9721,83610,6764,986
2016-02-24$32.40$33.0060.1%17.1%45.8%67.4%61.5%-1.9%-6.7%295.1K-6.3M-77.3K0.9482.84N/AN/A1,9921,87410,6645,006
2016-02-25$32.10$32.0057.3%15.3%46.0%58.1%58.4%-1.8%-3.1%270.6K-3.5M-70.0K0.7978.98N/AN/A1,8321,45410,7775,141
2016-02-26$30.25$32.0048.9%14.4%48.6%30.0%60.5%-10.4%-1.5%186.9K-714.0K-67.3K0.9694.90N/AN/A1,8321,75510,7835,213
2016-02-29$30.98$32.0050.1%14.3%49.2%34.1%53.5%-7.3%2.6%199.1K-1.1M-65.9K1.1392.00N/AN/A1,5001,68910,3785,130