AGQ Options History — July 2016

In July 2016, AGQ traded between $50.29 and $55.71. ATM implied volatility averaged 58.8%, placing in the 60.7% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded above realized volatility by 2.4% (HV 20d: 56.4%). Max pain ranged from $37.00 to $50.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.72.

Notable Days

  • 2016-07-05: Highest Volume — 5,010 contracts
  • 2016-07-05: Largest IV spike — 12.9% change
  • 2016-07-06: Highest IV Rank — 100.0%
  • 2016-07-06: Largest Expected Move — 19.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.50$50.29$55.71$52.52$55.37
Max Pain$47.50$37.00$50.00$37.00$50.00
ATM IV58.8%51.8%71.1%60.2%55.9%
Expected Move16.6%14.9%19.3%17.1%15.9%
HV 20d56.4%52.6%63.0%53.5%59.7%
HV 60d48.9%46.9%50.3%49.5%50.3%
IV Rank60.7%38.2%100.0%67.8%51.3%
IV Percentile80.1%47.6%100.0%90.1%76.6%
Term Structure-1.1%-5.3%0.6%-3.7%0.1%
VWIV58.2%52.4%69.2%63.1%53.6%
Skew 25d-7.2%-17.4%13.3%0.8%-3.6%
Skew 10d-10.2%-27.5%22.1%2.9%-5.0%
Call IV 25d64.1%57.8%74.3%67.8%58.9%
Put IV 25d56.9%44.2%75.1%68.6%55.3%
Bid-Ask Spread %63.2855.2984.9784.9768.70
Gamma HHI0.130.070.700.110.23
Net GEX720.0K409.6K2.9M416.3K1.5M
Net DEX-31.8M-42.1M-18.6M-36.3M-36.5M
Net VEX-109.4K-115.2K-99.5K-99.5K-111.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.451.010.450.84
Total Volume3,875.83,1415,0104,4414,434
Total OI16,286.5514,40218,42914,76017,898

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-07-01$52.52$37.0060.2%17.1%53.5%67.8%63.1%0.8%-3.7%416.3K-36.3M-99.5K0.4584.97N/AN/A3,0631,37810,7104,050
2016-07-05$53.37$45.0068.0%18.7%53.4%93.8%68.1%13.3%-5.3%461.0K-34.7M-108.9K0.6671.33N/AN/A3,0191,99110,7913,984
2016-07-06$54.12$45.0071.1%19.3%52.6%100.0%69.2%-11.4%-5.2%576.9K-39.5M-115.2K0.5359.62N/AN/A2,5981,37612,2614,914
2016-07-07$51.99$45.0062.0%17.2%52.9%70.8%64.4%-13.4%0.2%504.7K-33.6M-114.0K0.5758.15N/AN/A2,6011,47112,8945,143
2016-07-08$54.68$46.0062.9%17.3%54.1%73.6%59.4%-7.7%-0.0%547.5K-40.2M-108.5K0.5559.36N/AN/A2,7611,51512,9725,457
2016-07-11$55.21$47.0063.8%18.1%53.9%76.5%63.2%-11.6%0.2%602.5K-41.0M-113.2K0.6058.42N/AN/A2,2801,35911,9604,399
2016-07-12$54.14$47.0060.0%16.7%55.3%64.3%56.9%-9.4%-1.7%638.1K-38.4M-112.5K0.6962.23N/AN/A1,9951,37212,3334,660
2016-07-13$55.71$45.0061.0%16.8%55.1%67.5%58.6%-11.8%-0.8%680.0K-42.1M-113.2K0.7161.46N/AN/A2,0021,41812,4924,762
2016-07-14$54.95$45.0058.4%16.5%56.0%59.3%56.1%-6.9%-2.7%712.0K-39.6M-114.3K0.6963.02N/AN/A2,0801,43712,6694,912
2016-07-15$53.97$48.0055.4%15.9%53.5%49.7%56.0%-16.8%-0.2%2.9M-36.6M-110.4K0.7063.11N/AN/A2,3321,63812,7964,939
2016-07-18$54.12$50.0054.0%15.4%53.3%45.2%54.1%-8.0%-0.2%501.5K-26.3M-106.3K0.7859.62N/AN/A1,7821,38910,0914,311
2016-07-19$53.09$50.0051.8%14.9%54.5%38.2%52.4%-7.6%-0.6%547.1K-24.8M-107.6K0.8455.29N/AN/A1,7111,43010,3654,486
2016-07-20$50.29$50.0053.5%15.4%57.5%43.7%53.8%-7.2%-0.5%420.1K-18.6M-104.5K0.6762.26N/AN/A2,4401,63710,5254,606
2016-07-21$52.72$50.0054.9%15.7%58.8%48.1%54.7%-4.7%-0.3%449.6K-22.3M-105.8K0.7464.96N/AN/A2,1961,61710,4064,901
2016-07-22$51.56$50.0054.0%15.4%60.1%45.0%54.4%-6.1%0.1%521.6K-21.0M-107.5K0.9255.74N/AN/A2,0211,85010,8284,934
2016-07-25$50.84$50.0057.5%16.2%59.4%56.2%56.8%-3.3%-1.1%409.6K-19.9M-106.8K0.8666.01N/AN/A1,9661,68910,1324,655
2016-07-26$51.57$50.0056.1%15.5%59.4%51.9%55.0%-17.4%-1.2%544.7K-21.8M-106.8K1.0165.51N/AN/A1,6921,70210,7864,937
2016-07-27$55.27$50.0058.8%17.1%63.0%60.5%58.2%-5.3%0.6%651.9K-31.1M-109.5K0.8665.08N/AN/A2,1691,87110,9024,956
2016-07-28$54.45$50.0055.9%16.0%61.6%51.2%55.9%-5.0%-0.5%785.2K-30.7M-112.1K0.7560.83N/AN/A2,4241,81011,5605,354
2016-07-29$55.37$50.0055.9%15.9%59.7%51.3%53.6%-3.6%0.1%1.5M-36.5M-111.6K0.8468.70N/AN/A2,4042,03012,2625,636