AGQ Options History — October 2016

In October 2016, AGQ traded between $38.92 and $46.30. ATM implied volatility averaged 48.4%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 5.0% (HV 20d: 53.4%). Max pain ranged from $42.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.75.

Notable Days

  • 2016-10-11: Highest Volume — 3,982 contracts
  • 2016-10-04: Largest IV spike — 13.3% change
  • 2016-10-12: Highest IV Rank — 53.5%
  • 2016-10-05: Largest Expected Move — 15.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.57$38.92$46.30$46.30$41.50
Max Pain$45.71$42.00$50.00$42.00$43.00
ATM IV48.4%44.4%56.6%44.8%46.6%
Expected Move13.8%12.3%15.1%12.3%13.8%
HV 20d53.4%48.4%58.6%50.4%49.0%
HV 60d49.4%46.1%52.1%46.2%46.1%
IV Rank27.3%14.5%53.5%15.5%21.3%
IV Percentile32.6%6.0%86.1%6.7%19.0%
Term Structure-0.0%-10.7%4.7%3.4%1.2%
VWIV50.7%46.5%55.8%55.8%49.9%
Skew 25d-3.1%-8.2%-1.6%-3.2%-3.0%
Skew 10d-8.1%-15.8%-1.3%-13.3%-6.9%
Call IV 25d51.6%47.4%57.0%48.4%49.7%
Put IV 25d48.5%44.8%55.3%45.2%46.8%
Bid-Ask Spread %72.2158.8983.7278.6876.97
Gamma HHI0.070.050.110.080.06
Net GEX234.0K94.0K372.9K331.8K328.4K
Net DEX-1.1M-8.5M3.4M-8.5M-3.6M
Net VEX-56.8K-71.6K-51.7K-71.6K-52.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.500.990.500.65
Total Volume3,587.5243,0903,9823,8303,402
Total OI15,781.57114,20117,04014,42214,811

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-10-03$46.30$42.0044.8%12.3%50.4%15.5%55.8%-3.2%3.4%331.8K-8.5M-71.6K0.5078.68N/AN/A2,5611,26910,4753,947
2016-10-04$41.47$42.0050.7%14.4%56.7%34.6%53.4%-3.8%2.5%200.2K-1.4M-63.3K0.9177.16N/AN/A1,7651,60710,6894,137
2016-10-05$41.15$42.0052.7%15.1%56.4%40.9%54.8%-4.3%0.9%150.3K265.7K-61.3K0.9979.99N/AN/A1,6911,66811,0014,627
2016-10-06$38.92$50.0051.3%14.5%58.6%36.5%52.2%-3.3%3.1%94.0K3.4M-55.1K0.8661.55N/AN/A1,9551,69011,1974,751
2016-10-07$39.80$49.0052.0%15.1%57.7%38.9%53.1%-1.6%-0.6%149.7K2.3M-59.0K0.8268.55N/AN/A2,0761,70911,4915,056
2016-10-10$40.49$47.0052.7%14.7%58.2%41.0%54.3%-1.8%-2.4%192.6K-665.2K-61.7K0.7558.89N/AN/A2,1311,59310,9294,674
2016-10-11$39.66$47.0052.2%14.5%57.9%39.2%52.1%-4.1%-3.3%166.0K581.9K-58.1K0.7565.86N/AN/A2,2741,70811,5574,866
2016-10-12$40.00$47.0056.6%14.8%57.9%53.5%54.3%-2.0%-10.7%161.9K386.8K-58.6K0.7970.26N/AN/A2,1721,72011,7354,960
2016-10-13$39.92$47.0049.3%14.2%57.8%29.9%53.4%-2.9%0.5%168.2K704.7K-56.4K0.8165.02N/AN/A2,1731,76111,9454,985
2016-10-14$39.46$47.0047.2%13.5%57.5%23.3%50.3%-2.9%-0.5%184.9K837.7K-59.1K0.8668.74N/AN/A2,1281,84012,1054,935
2016-10-17$39.54$47.0047.5%13.5%54.9%24.2%49.8%-3.3%-1.5%188.6K298.5K-53.8K0.7671.52N/AN/A1,9421,47011,5864,479
2016-10-18$40.32$47.0046.7%13.3%55.6%21.9%48.7%-3.3%-0.8%263.0K-1.2M-55.9K0.7768.12N/AN/A1,9941,54011,7064,514
2016-10-19$40.58$46.0046.7%13.4%48.7%21.8%49.0%-2.3%-0.7%349.6K-2.0M-56.4K0.6773.57N/AN/A2,0941,40611,9284,516
2016-10-20$39.85$45.0045.8%13.2%48.5%18.8%48.0%-2.1%-1.2%277.1K-968.5K-52.5K0.6674.26N/AN/A2,0611,36112,1324,557
2016-10-21$39.98$46.0045.2%13.1%48.6%16.9%47.6%-1.7%-0.8%274.8K-394.8K-51.8K0.7474.16N/AN/A1,9301,43412,1664,596
2016-10-24$40.17$46.0046.3%13.7%48.4%20.6%46.9%-8.2%4.7%226.1K-2.5M-53.8K0.7075.67N/AN/A1,8141,27610,0964,105
2016-10-25$41.02$45.0047.1%13.8%49.3%23.1%50.8%-3.1%1.4%266.0K-2.8M-53.8K0.6875.36N/AN/A1,9681,33110,3294,315
2016-10-26$40.34$45.0045.4%13.4%49.3%17.6%46.8%-2.5%1.4%281.8K-2.3M-53.4K0.6670.64N/AN/A2,0281,34610,6454,383
2016-10-27$40.37$45.0044.4%12.9%49.4%14.5%46.5%-2.5%1.3%287.3K-2.0M-51.7K0.6977.68N/AN/A2,1221,46410,7424,430
2016-10-28$41.12$45.0045.8%13.5%49.9%18.8%47.6%-2.9%1.7%372.9K-3.6M-52.8K0.6983.72N/AN/A2,2881,57610,8214,494
2016-10-31$41.50$43.0046.6%13.8%49.0%21.3%49.9%-3.0%1.2%328.4K-3.6M-52.5K0.6576.97N/AN/A2,0641,33810,4484,363