AGQ Options History — March 2016

In March 2016, AGQ traded between $30.81 and $35.42. ATM implied volatility averaged 51.9%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 3.4% (HV 20d: 48.5%). Max pain ranged from $30.00 to $33.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.81.

Notable Days

2016-03-24: Highest Volume — 4,735 contracts
2016-03-04: Largest IV spike — 17.1% change
2016-03-04: Highest IV Rank — 66.8%
2016-03-04: Largest Expected Move — 16.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.02	$30.81	$35.42	$30.81	$32.92
Max Pain	$32.14	$30.00	$33.00	$32.00	$32.50
ATM IV	51.9%	46.8%	59.9%	51.0%	47.9%
Expected Move	14.5%	12.8%	16.1%	13.8%	13.2%
HV 20d	48.5%	42.0%	55.1%	49.2%	51.6%
HV 60d	46.9%	44.8%	48.6%	48.6%	47.2%
IV Rank	40.1%	23.1%	66.8%	37.0%	26.6%
IV Percentile	53.0%	15.9%	90.9%	45.6%	23.4%
Term Structure	-0.4%	-6.6%	2.9%	1.9%	-0.0%
VWIV	50.8%	45.3%	56.4%	53.6%	47.6%
Skew 25d	-3.4%	-6.9%	11.6%	-6.5%	-6.7%
Skew 10d	-8.9%	-15.8%	2.3%	-12.3%	-15.8%
Call IV 25d	53.2%	46.1%	58.7%	56.2%	52.7%
Put IV 25d	49.7%	41.8%	60.8%	49.7%	46.0%
Bid-Ask Spread %	80.00	59.76	100.86	94.73	86.66
Gamma HHI	0.12	0.07	0.23	0.09	0.13
Net GEX	240.2K	98.1K	462.5K	201.5K	378.2K
Net DEX	-5.0M	-12.4M	-864.3K	-864.3K	-3.7M
Net VEX	-67.4K	-75.4K	-54.2K	-63.9K	-70.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.42	1.12	1.10	0.83
Total Volume	3,540.364	2,939	4,735	3,231	3,455
Total OI	15,354	11,504	17,728	15,799	14,077

Daily Data (22 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2016-03-01	$30.81	$32.00	51.0%	13.8%	49.2%	37.0%	53.6%	-6.5%	1.9%	201.5K	-864.3K	-63.9K	1.10	94.73	N/A	N/A	1,540	1,691	10,531	5,268
2016-03-02	$31.20	$32.00	52.0%	15.3%	49.2%	40.2%	53.0%	-6.9%	-1.0%	199.4K	-1.4M	-66.2K	1.08	94.00	N/A	N/A	1,573	1,704	10,650	5,450
2016-03-03	$32.37	$30.00	51.2%	14.6%	47.7%	37.6%	51.7%	-4.5%	-1.8%	275.1K	-3.6M	-64.6K	1.12	81.98	N/A	N/A	1,458	1,628	10,731	5,454
2016-03-04	$33.45	$30.00	59.9%	16.1%	48.1%	66.8%	56.4%	-3.0%	0.2%	294.7K	-7.0M	-72.1K	0.89	76.04	N/A	N/A	1,809	1,610	10,852	5,497
2016-03-07	$34.06	$31.00	55.2%	15.4%	48.0%	51.1%	52.6%	-2.0%	0.4%	291.1K	-8.4M	-75.4K	0.94	69.10	N/A	N/A	1,554	1,461	10,797	5,421
2016-03-08	$32.70	$32.00	59.5%	14.6%	48.7%	65.3%	50.7%	11.6%	2.7%	274.8K	-6.4M	-64.7K	0.93	77.00	N/A	N/A	1,521	1,418	10,980	5,501
2016-03-09	$32.40	$32.00	55.9%	14.6%	48.7%	53.3%	52.2%	4.9%	-3.9%	266.8K	-4.4M	-67.1K	1.01	76.56	N/A	N/A	1,472	1,481	11,034	5,542
2016-03-10	$33.65	$32.00	53.4%	15.1%	50.5%	44.9%	50.4%	-5.6%	0.9%	309.2K	-7.1M	-71.7K	0.93	70.83	N/A	N/A	1,575	1,461	11,082	5,581
2016-03-11	$33.26	$32.00	51.7%	14.5%	47.1%	39.3%	51.7%	-4.7%	-3.2%	236.3K	-7.7M	-68.0K	0.74	66.35	N/A	N/A	1,980	1,473	11,161	5,602
2016-03-14	$33.29	$32.00	51.1%	14.6%	47.0%	37.4%	50.8%	-5.3%	2.6%	244.4K	-7.3M	-70.2K	0.83	62.79	N/A	N/A	1,726	1,438	10,889	5,480
2016-03-15	$32.41	$32.00	50.5%	14.5%	42.0%	35.4%	50.8%	-6.3%	-2.1%	194.2K	-3.7M	-68.3K	0.98	59.76	N/A	N/A	1,783	1,741	11,011	5,922
2016-03-16	$33.88	$32.00	52.3%	15.0%	44.8%	41.3%	49.7%	-3.5%	1.9%	199.1K	-6.0M	-54.2K	0.97	100.86	N/A	N/A	1,701	1,652	11,268	6,133
2016-03-17	$35.42	$32.00	54.2%	15.6%	46.5%	47.6%	54.8%	-5.0%	-2.5%	462.5K	-12.4M	-66.3K	0.91	75.50	N/A	N/A	1,831	1,671	11,366	6,171
2016-03-18	$34.67	$33.00	52.3%	14.9%	46.6%	41.4%	51.3%	-5.2%	2.9%	166.0K	-10.5M	-71.4K	0.67	78.18	N/A	N/A	2,246	1,497	11,542	6,186
2016-03-21	$34.69	$33.00	52.5%	15.1%	45.3%	42.1%	51.5%	-3.0%	-0.5%	186.7K	-5.1M	-66.2K	0.42	72.80	N/A	N/A	2,981	1,264	7,785	3,719
2016-03-22	$34.96	$33.00	51.2%	14.3%	45.1%	37.7%	50.0%	-4.8%	2.2%	403.1K	-6.0M	-70.4K	0.43	80.41	N/A	N/A	3,040	1,302	8,812	4,185
2016-03-23	$32.10	$33.00	46.8%	13.1%	55.1%	23.1%	45.3%	-1.0%	-6.6%	124.4K	-1.7M	-63.6K	0.42	78.84	N/A	N/A	3,325	1,382	8,878	4,285
2016-03-24	$31.88	$33.00	48.1%	12.8%	55.1%	27.2%	46.5%	-4.4%	1.2%	98.1K	-1.5M	-68.4K	0.48	82.86	N/A	N/A	3,209	1,526	9,190	4,463
2016-03-28	$31.93	$33.00	48.5%	14.0%	50.5%	28.6%	48.1%	-5.0%	-4.6%	98.6K	-1.4M	-65.9K	0.92	88.63	N/A	N/A	1,572	1,448	8,117	4,448
2016-03-29	$32.51	$33.00	48.5%	14.3%	50.2%	28.6%	50.2%	-4.2%	2.7%	129.4K	-1.5M	-65.6K	0.57	93.75	N/A	N/A	2,494	1,420	8,320	4,508
2016-03-30	$31.91	$32.50	48.6%	14.6%	50.7%	29.0%	49.4%	-4.7%	-3.3%	251.3K	-2.2M	-67.5K	0.62	92.36	N/A	N/A	2,328	1,447	9,337	4,562
2016-03-31	$32.92	$32.50	47.9%	13.2%	51.6%	26.6%	47.6%	-6.7%	-0.0%	378.2K	-3.7M	-70.3K	0.83	86.66	N/A	N/A	1,892	1,563	9,412	4,665