AGQ Options History — September 2016

In September 2016, AGQ traded between $46.36 and $52.96. ATM implied volatility averaged 48.3%, placing in the 26.8% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded below realized volatility by 1.3% (HV 20d: 49.6%). Max pain ranged from $42.00 to $48.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2016-09-12: Highest Volume — 6,135 contracts
  • 2016-09-12: Largest IV spike — 9.8% change
  • 2016-09-13: Highest IV Rank — 38.5%
  • 2016-09-13: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.93$46.36$52.96$47.06$48.07
Max Pain$43.71$42.00$48.00$45.00$42.00
ATM IV48.3%42.7%51.9%49.6%42.7%
Expected Move13.7%11.9%15.0%13.2%12.0%
HV 20d49.6%40.6%53.7%41.1%52.4%
HV 60d50.9%46.9%53.2%48.6%46.9%
IV Rank26.8%9.0%38.5%31.1%9.0%
IV Percentile30.2%1.6%54.0%37.7%1.6%
Term Structure0.6%-2.6%2.4%0.6%1.7%
VWIV47.6%35.8%57.8%49.6%51.8%
Skew 25d-3.7%-8.0%10.5%-4.7%-2.5%
Skew 10d-8.2%-23.1%26.3%-2.8%-18.1%
Call IV 25d52.5%45.2%64.6%54.2%45.2%
Put IV 25d48.8%42.6%75.1%49.5%42.6%
Bid-Ask Spread %65.6248.7890.1190.1172.50
Gamma HHI0.120.070.270.110.08
Net GEX723.3K394.0K1.5M394.0K453.2K
Net DEX-18.7M-32.5M-11.8M-13.3M-12.5M
Net VEX-93.0K-102.5K-80.0K-96.3K-81.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.311.181.180.46
Total Volume4,703.2383,6216,1353,6214,240
Total OI18,009.1914,78021,42719,77315,533

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-09-01$47.06$45.0049.6%13.2%41.1%31.1%49.6%-4.7%0.6%394.0K-13.3M-96.3K1.1890.11N/AN/A1,6601,96113,4476,326
2016-09-02$49.59$45.0045.9%11.9%40.6%19.3%42.0%-0.9%1.1%741.6K-23.5M-100.0K1.0286.80N/AN/A2,0902,13913,5596,415
2016-09-06$52.96$48.0049.5%14.4%47.2%30.7%51.9%-4.2%1.1%808.6K-32.5M-102.1K0.5248.78N/AN/A3,3631,74513,2515,355
2016-09-07$51.53$48.0048.2%14.0%48.0%26.5%51.0%-6.2%0.7%810.1K-27.7M-101.5K0.6255.74N/AN/A2,9841,86213,4745,509
2016-09-08$50.59$48.0046.7%13.8%46.8%21.8%48.5%-5.9%0.1%760.6K-24.4M-98.8K0.7755.82N/AN/A2,4671,90213,9765,640
2016-09-09$47.90$48.0047.3%13.5%50.0%23.5%49.6%-2.7%-2.6%960.5K-14.2M-91.0K0.7760.25N/AN/A2,3511,81414,0465,715
2016-09-12$48.20$48.0051.9%14.8%49.5%38.3%57.8%-1.9%-0.6%680.6K-14.7M-89.5K0.4263.94N/AN/A4,3111,82413,5045,323
2016-09-13$46.85$42.0051.9%15.0%49.9%38.5%56.3%-2.9%0.2%724.5K-16.5M-96.2K0.4760.82N/AN/A3,8451,81915,6375,547
2016-09-14$47.30$42.0050.9%14.7%50.1%35.3%55.1%-3.5%0.7%800.5K-17.7M-96.1K0.4855.98N/AN/A3,8021,81815,7425,624
2016-09-15$47.47$42.0050.1%14.4%50.1%32.7%45.2%-4.4%-0.4%792.2K-16.9M-95.6K0.4763.85N/AN/A3,9001,85015,6015,615
2016-09-16$46.36$42.0048.7%14.1%50.3%28.2%51.8%-5.5%1.2%422.4K-13.5M-91.9K0.4666.03N/AN/A4,1391,90415,7655,662
2016-09-19$48.23$42.0049.8%14.2%50.4%31.6%53.6%-4.8%1.2%631.1K-17.8M-95.8K0.4349.71N/AN/A2,8591,22911,9263,804
2016-09-20$48.48$42.0049.3%14.1%47.9%30.1%37.3%-5.1%0.6%687.0K-18.2M-94.3K0.4251.01N/AN/A2,8011,18912,2913,901
2016-09-21$51.74$42.0050.3%14.4%52.9%33.4%41.6%10.5%0.7%1.0M-26.4M-102.5K0.4289.59N/AN/A3,0341,27712,5803,936
2016-09-22$51.87$42.0050.5%14.4%50.6%33.9%45.9%-5.7%1.1%1.2M-29.8M-96.7K0.3165.91N/AN/A4,2071,29813,0204,040
2016-09-23$50.67$42.0045.8%12.9%51.7%18.8%48.4%-5.5%1.7%1.5M-20.8M-91.5K0.4163.43N/AN/A3,2031,31111,8644,128
2016-09-26$49.13$42.0048.5%13.3%53.2%27.6%47.2%-8.0%-1.3%553.4K-16.3M-85.2K0.4170.15N/AN/A2,9801,22510,9103,870
2016-09-27$47.96$42.0047.4%13.4%53.7%24.0%42.0%-5.3%0.6%439.2K-12.3M-83.5K0.4064.50N/AN/A3,0531,20711,0064,007
2016-09-28$48.06$42.0045.8%12.5%52.9%18.7%35.8%-4.4%1.2%415.9K-12.5M-83.8K0.4267.65N/AN/A2,8251,18611,0924,137
2016-09-29$47.60$42.0043.1%11.9%53.0%10.2%36.7%-4.5%2.4%409.4K-11.8M-80.0K0.4575.46N/AN/A2,8241,27011,2654,150
2016-09-30$48.07$42.0042.7%12.0%52.4%9.0%51.8%-2.5%1.7%453.2K-12.5M-81.1K0.4672.50N/AN/A2,8991,34111,3124,221