AGQ Options History — May 2016

In May 2016, AGQ traded between $34.80 and $41.99. ATM implied volatility averaged 53.6%, placing in the 45.7% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 9.3% (HV 20d: 44.3%). Max pain ranged from $33.00 to $36.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.94.

Notable Days

  • 2016-05-02: Highest Volume — 3,967 contracts
  • 2016-05-04: Largest IV drop — 10.1% change
  • 2016-05-03: Highest IV Rank — 67.9%
  • 2016-05-03: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.92$34.80$41.99$41.99$34.80
Max Pain$33.81$33.00$36.00$36.00$35.00
ATM IV53.6%46.6%60.3%55.9%48.3%
Expected Move15.2%12.7%16.8%16.5%12.7%
HV 20d44.3%37.1%49.5%44.8%37.1%
HV 60d48.4%47.3%49.6%49.1%47.3%
IV Rank45.7%22.4%67.9%53.3%27.9%
IV Percentile65.9%16.3%90.9%81.0%29.0%
Term Structure1.2%-8.3%10.8%0.4%-2.4%
VWIV54.6%46.1%58.9%57.6%46.1%
Skew 25d-6.3%-17.5%-1.4%-9.3%-5.2%
Skew 10d-11.4%-24.4%-0.2%-0.2%-11.3%
Call IV 25d60.3%51.2%72.4%67.4%53.7%
Put IV 25d54.0%47.1%61.9%58.1%48.5%
Bid-Ask Spread %69.5954.5390.2178.3383.31
Gamma HHI0.080.050.130.070.09
Net GEX276.5K110.7K418.0K396.5K199.2K
Net DEX-10.1M-18.7M-2.0M-18.7M-2.0M
Net VEX-83.7K-98.2K-63.5K-98.2K-64.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.531.350.530.58
Total Volume3,1182,7433,9673,9673,122
Total OI15,667.61913,74716,63315,47114,626

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$41.99$36.0055.9%16.5%44.8%53.3%57.6%-9.3%0.4%396.5K-18.7M-98.2K0.5378.33N/AN/A2,5951,37210,5374,934
2016-05-03$41.57$36.0060.3%16.8%45.5%67.9%56.8%-2.2%-8.3%348.0K-17.1M-96.6K0.5683.01N/AN/A2,4131,35510,6575,262
2016-05-04$41.24$36.0054.2%15.4%45.4%47.6%58.5%-12.0%2.1%313.3K-15.5M-95.2K0.6282.73N/AN/A2,2401,38810,8425,487
2016-05-05$41.12$33.0052.7%14.5%45.7%42.6%57.7%-17.5%3.1%346.3K-15.5M-91.5K0.7479.09N/AN/A2,0231,50610,9505,510
2016-05-06$41.77$33.0054.8%16.1%45.6%49.7%57.3%-1.4%-0.7%399.2K-16.1M-92.5K0.8859.27N/AN/A1,7551,54910,9815,652
2016-05-09$39.32$33.0054.4%15.8%47.2%48.4%56.1%-7.3%2.1%335.6K-11.9M-88.9K1.0454.98N/AN/A1,3881,44510,5265,042
2016-05-10$40.09$33.0055.8%15.4%46.4%53.0%55.5%-13.2%-2.8%331.4K-12.7M-90.5K0.9754.53N/AN/A1,3921,35310,6655,254
2016-05-11$41.32$33.0055.2%16.1%47.2%50.9%56.4%-5.4%-0.8%418.0K-15.8M-92.6K1.0957.69N/AN/A1,4111,53610,8225,326
2016-05-12$39.73$33.0054.5%16.0%49.5%48.6%52.8%-4.5%-1.6%365.3K-12.9M-88.4K0.9866.80N/AN/A1,6941,66111,0365,596
2016-05-13$39.88$33.0051.4%16.1%49.4%38.4%56.8%-5.8%10.8%328.0K-11.3M-86.7K1.0462.89N/AN/A1,6711,73710,9275,639
2016-05-16$40.12$33.0055.4%15.9%49.3%51.5%56.5%-4.3%1.5%367.1K-12.6M-86.6K1.1963.70N/AN/A1,3121,55910,1275,281
2016-05-17$40.25$33.0053.1%15.2%38.9%44.0%55.4%-4.7%1.3%355.0K-12.2M-85.9K1.2259.85N/AN/A1,3151,59810,2775,439
2016-05-18$38.71$33.0055.3%15.9%41.3%51.4%56.6%-5.1%6.0%281.1K-9.1M-83.1K1.3578.07N/AN/A1,2121,63110,3155,485
2016-05-19$37.09$33.0055.1%15.6%43.8%50.7%58.9%-9.4%4.7%114.7K-4.1M-75.0K1.1866.03N/AN/A1,3441,58710,3645,658
2016-05-20$37.15$34.0053.6%15.2%43.9%45.8%52.3%-5.3%3.1%148.0K-4.7M-78.4K1.0470.66N/AN/A1,5851,64810,4505,741
2016-05-23$36.72$34.0053.3%15.2%43.9%44.8%55.7%-5.6%2.5%148.9K-4.5M-74.8K1.0857.24N/AN/A1,3211,4228,9934,754
2016-05-24$35.89$34.0053.4%14.7%43.9%45.0%52.6%-3.4%-0.0%110.7K-3.6M-75.5K0.8765.84N/AN/A1,5071,3149,4135,075
2016-05-25$36.30$34.0051.8%14.5%43.8%39.7%52.7%-2.3%4.7%137.2K-4.0M-75.3K1.0064.88N/AN/A1,4521,4499,8075,106
2016-05-26$36.39$34.0046.6%13.1%39.4%22.4%48.3%-5.0%2.6%150.5K-4.9M-74.7K0.9482.26N/AN/A1,4171,33510,0605,098
2016-05-27$35.77$34.0050.6%12.7%37.9%35.6%46.5%-4.1%-3.8%213.0K-2.0M-63.5K0.8990.21N/AN/A1,5161,34810,1535,153
2016-05-31$34.80$35.0048.3%12.7%37.1%27.9%46.1%-5.2%-2.4%199.2K-2.0M-64.2K0.5883.31N/AN/A1,9821,1409,9024,724