AGQ Options History — June 2016

In June 2016, AGQ traded between $34.78 and $47.56. ATM implied volatility averaged 53.0%, placing in the 43.6% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 10.5% (HV 20d: 42.5%). Max pain ranged from $35.00 to $37.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.48.

Notable Days

2016-06-28: Highest Volume — 7,948 contracts
2016-06-24: Largest IV spike — 19.5% change
2016-06-24: Highest IV Rank — 71.8%
2016-06-16: Largest Expected Move — 17.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.46	$34.78	$47.56	$34.78	$47.56
Max Pain	$35.91	$35.00	$37.00	$35.00	$37.00
ATM IV	53.0%	44.3%	61.4%	47.7%	52.2%
Expected Move	15.2%	12.6%	17.0%	12.6%	16.5%
HV 20d	42.5%	37.3%	45.9%	37.3%	45.9%
HV 60d	46.4%	44.0%	48.9%	47.2%	45.8%
IV Rank	43.6%	14.7%	71.8%	26.0%	41.0%
IV Percentile	56.5%	4.0%	92.5%	22.6%	52.8%
Term Structure	-1.7%	-12.5%	4.9%	-1.6%	0.9%
VWIV	53.0%	41.7%	60.7%	41.7%	52.5%
Skew 25d	-4.5%	-10.2%	-0.4%	-3.2%	-4.1%
Skew 10d	-9.2%	-20.6%	0.6%	-7.6%	-4.1%
Call IV 25d	58.4%	46.9%	94.4%	49.7%	56.7%
Put IV 25d	53.9%	46.0%	92.6%	46.5%	52.7%
Bid-Ask Spread %	71.72	53.07	103.59	89.88	82.71
Gamma HHI	0.08	0.07	0.10	0.08	0.09
Net GEX	507.1K	204.1K	774.9K	204.1K	614.6K
Net DEX	-15.4M	-25.0M	-2.0M	-2.0M	-24.8M
Net VEX	-86.3K	-97.7K	-69.7K	-69.7K	-92.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.14	0.76	0.64	0.40
Total Volume	4,008.909	2,787	7,948	3,180	3,866
Total OI	16,480	13,349	21,061	15,309	14,234

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
2016-06-01	$34.78	$35.00	47.7%	12.6%	37.3%	26.0%	41.7%	-3.2%	-1.6%	204.1K	-2.0M	-69.7K	0.64	89.88	N/A	N/A	1,937	1,243	10,479	4,830
2016-06-02	$34.85	$36.00	45.1%	13.2%	37.5%	17.4%	47.9%	-0.6%	-11.3%	242.9K	-2.5M	-70.6K	0.67	57.27	N/A	N/A	1,883	1,264	10,973	4,987
2016-06-03	$36.64	$35.00	44.5%	13.2%	42.8%	15.3%	46.1%	-0.9%	4.9%	301.7K	-6.8M	-75.9K	0.74	55.02	N/A	N/A	1,796	1,328	11,071	4,997
2016-06-06	$36.99	$35.00	47.2%	13.7%	42.5%	24.4%	48.3%	-4.7%	0.1%	349.1K	-6.7M	-75.0K	0.76	58.90	N/A	N/A	1,581	1,208	10,699	4,803
2016-06-07	$36.73	$35.00	46.8%	13.1%	37.3%	23.0%	47.4%	-0.4%	0.8%	307.6K	-6.0M	-72.9K	0.76	59.97	N/A	N/A	1,580	1,207	10,793	4,940
2016-06-08	$39.44	$35.00	50.7%	14.3%	45.2%	35.9%	51.4%	-6.0%	0.5%	464.6K	-12.8M	-79.7K	0.66	53.07	N/A	N/A	1,871	1,228	10,884	4,947
2016-06-09	$40.73	$36.00	56.5%	15.7%	45.4%	55.3%	57.7%	-1.8%	-3.1%	634.5K	-16.2M	-81.1K	0.70	60.27	N/A	N/A	1,820	1,271	11,514	5,016
2016-06-10	$40.83	$36.00	54.9%	15.5%	43.1%	50.0%	58.4%	-5.1%	-3.0%	447.2K	-17.1M	-84.8K	0.66	63.38	N/A	N/A	1,849	1,225	11,829	5,101
2016-06-13	$41.25	$35.00	57.6%	16.6%	43.2%	59.0%	59.8%	-5.7%	-3.2%	481.7K	-16.2M	-81.4K	0.37	58.69	N/A	N/A	2,897	1,059	11,210	4,842
2016-06-14	$41.05	$36.00	58.7%	16.8%	43.2%	62.7%	60.7%	-5.3%	-12.5%	560.1K	-18.1M	-89.7K	0.44	62.85	N/A	N/A	2,458	1,072	12,248	4,925
2016-06-15	$41.72	$36.00	52.2%	15.0%	43.5%	41.1%	59.1%	-3.2%	-2.1%	633.5K	-19.9M	-88.7K	0.27	103.59	N/A	N/A	3,724	1,019	12,607	4,954
2016-06-16	$40.01	$36.00	59.8%	17.0%	43.9%	66.3%	58.9%	-10.2%	2.6%	774.9K	-20.5M	-91.2K	0.36	77.19	N/A	N/A	3,135	1,117	14,712	4,987
2016-06-17	$41.31	$36.00	56.8%	16.1%	41.8%	56.2%	54.4%	-8.6%	1.7%	542.5K	-25.0M	-96.9K	0.33	76.28	N/A	N/A	3,651	1,219	15,934	5,127
2016-06-20	$41.62	$36.00	59.2%	16.5%	41.8%	64.3%	51.5%	-9.2%	-2.4%	600.1K	-18.8M	-96.5K	0.45	62.68	N/A	N/A	2,517	1,130	12,227	3,756
2016-06-21	$40.37	$36.00	54.5%	15.5%	43.4%	48.6%	52.9%	-6.0%	-8.5%	584.8K	-16.5M	-95.6K	0.46	67.46	N/A	N/A	2,392	1,098	12,757	4,148
2016-06-22	$40.43	$36.00	44.3%	15.8%	42.1%	14.7%	49.8%	-4.7%	1.1%	573.3K	-16.1M	-94.8K	0.51	70.12	N/A	N/A	2,200	1,118	12,887	4,384
2016-06-23	$40.76	$36.00	51.4%	15.3%	42.1%	38.3%	49.3%	-3.0%	-1.3%	562.9K	-15.6M	-89.8K	0.52	84.23	N/A	N/A	2,144	1,110	12,974	4,476
2016-06-24	$42.63	$36.00	61.4%	16.2%	44.3%	71.8%	54.0%	-1.8%	-1.4%	599.0K	-21.2M	-92.7K	0.28	96.31	N/A	N/A	3,982	1,122	13,014	4,497
2016-06-27	$42.59	$37.00	55.9%	16.5%	43.4%	53.2%	56.8%	-8.7%	-7.4%	716.7K	-21.3M	-97.7K	0.15	78.29	N/A	N/A	6,409	938	12,718	3,805
2016-06-28	$42.75	$37.00	53.6%	15.7%	41.3%	45.6%	52.4%	-3.1%	3.6%	393.1K	-13.9M	-88.1K	0.14	81.97	N/A	N/A	6,949	999	9,447	3,902
2016-06-29	$45.17	$37.00	54.5%	14.4%	44.0%	48.8%	54.4%	-2.2%	4.6%	567.2K	-20.3M	-92.3K	0.30	77.83	N/A	N/A	3,510	1,070	10,014	3,911
2016-06-30	$47.56	$37.00	52.2%	16.5%	45.9%	41.0%	52.5%	-4.1%	0.9%	614.6K	-24.8M	-92.8K	0.40	82.71	N/A	N/A	2,752	1,114	10,246	3,988