AGQ Options History — November 2016

In November 2016, AGQ traded between $34.31 and $44.58. ATM implied volatility averaged 49.9%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 0.4% (HV 20d: 50.3%). Max pain ranged from $35.00 to $43.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.95.

Notable Days

  • 2016-11-04: Highest Volume — 5,351 contracts
  • 2016-11-11: Largest IV spike — 17.8% change
  • 2016-11-11: Highest IV Rank — 63.6%
  • 2016-11-11: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.83$34.31$44.58$43.69$34.80
Max Pain$40.33$35.00$43.00$43.00$39.00
ATM IV49.9%43.5%59.8%52.6%47.9%
Expected Move14.6%12.6%17.4%16.0%15.1%
HV 20d50.3%26.8%64.5%34.6%60.3%
HV 60d52.0%46.8%55.7%47.5%52.1%
IV Rank31.9%11.5%63.6%40.6%25.4%
IV Percentile42.9%2.4%92.5%64.3%30.2%
Term Structure-0.1%-2.0%2.2%-2.0%-0.9%
VWIV52.0%44.2%60.8%56.4%53.2%
Skew 25d-3.7%-13.3%0.6%-4.7%-2.3%
Skew 10d-8.1%-37.9%6.9%-5.5%-1.2%
Call IV 25d53.1%45.6%62.2%55.8%50.4%
Put IV 25d49.4%43.9%57.7%51.1%48.0%
Bid-Ask Spread %72.0160.6687.9778.8687.97
Gamma HHI0.070.050.150.060.07
Net GEX217.9K-128.9K552.8K462.9K130.9K
Net DEX-883.1K-12.8M7.8M-9.4M3.6M
Net VEX-48.0K-65.5K-33.6K-61.4K-34.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.661.210.661.01
Total Volume3,713.5243,1375,3513,4013,430
Total OI16,757.71414,69018,36915,24816,392

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-11-01$43.69$43.0052.6%16.0%34.6%40.6%56.4%-4.7%-2.0%462.9K-9.4M-61.4K0.6678.86N/AN/A2,0471,35410,8404,408
2016-11-02$44.31$43.0053.0%15.5%34.6%41.9%58.1%-8.8%-0.6%532.1K-12.8M-65.1K0.8182.94N/AN/A2,2131,78911,1704,449
2016-11-03$43.62$41.0050.8%15.8%27.8%34.8%52.0%-3.3%2.2%499.2K-8.3M-58.7K0.9371.16N/AN/A2,1692,00911,4814,909
2016-11-04$43.84$41.0053.6%15.4%27.0%43.9%54.5%-7.9%-0.7%482.4K-10.6M-64.1K0.7963.76N/AN/A2,9942,35712,0235,376
2016-11-07$42.93$41.0052.0%15.3%28.1%38.6%53.6%-4.7%1.3%361.3K-5.9M-62.1K0.7462.72N/AN/A2,5501,89911,7085,452
2016-11-08$43.50$41.0052.7%14.8%26.9%40.9%51.1%-6.8%-0.5%422.2K-8.8M-64.9K0.8866.74N/AN/A1,9951,76511,9615,547
2016-11-09$43.68$41.0048.3%14.3%26.8%26.9%48.6%-5.7%1.7%486.2K-10.2M-65.5K0.8868.72N/AN/A1,9571,72512,1015,593
2016-11-10$44.58$41.0050.7%15.0%27.3%34.7%51.8%-3.8%1.0%552.8K-11.7M-63.3K1.0360.66N/AN/A1,8201,88212,3115,615
2016-11-11$38.58$41.0059.8%17.4%59.8%63.6%60.8%-13.3%1.1%185.3K3.2M-54.1K1.0963.97N/AN/A1,8972,07412,4945,875
2016-11-14$36.44$40.0056.4%16.2%63.0%52.9%57.7%-3.9%-1.4%101.9K5.1M-43.3K0.8563.92N/AN/A1,7621,50611,6405,293
2016-11-15$37.40$40.0050.5%14.5%63.3%33.8%53.0%-3.4%-0.4%117.9K4.7M-44.7K0.8763.69N/AN/A1,8221,58112,1415,499
2016-11-16$36.81$40.0048.5%13.9%63.4%27.6%51.2%-2.1%-1.1%87.6K5.2M-42.6K1.0467.53N/AN/A1,7051,77012,2995,671
2016-11-17$35.52$40.0047.3%13.6%64.2%23.6%49.4%-3.5%0.3%43.5K6.4M-39.9K1.1268.08N/AN/A1,6291,82712,4115,702
2016-11-18$35.15$40.0047.8%13.7%64.1%25.2%49.6%-1.3%-1.4%56.2K7.8M-37.4K1.0776.62N/AN/A1,7261,85412,4815,850
2016-11-21$35.16$40.0044.7%12.8%64.0%15.5%46.3%-1.7%-0.7%24.9K3.9M-35.4K1.1972.08N/AN/A1,4681,7469,9624,728
2016-11-22$35.48$40.0043.5%12.6%63.5%11.5%44.2%-1.6%0.5%-40.3K3.9M-35.3K1.2179.31N/AN/A1,4191,71810,2405,031
2016-11-23$34.31$40.0047.9%14.2%64.1%25.6%51.0%0.0%-0.7%-53.2K5.5M-33.6K1.1877.78N/AN/A1,6121,89910,3845,051
2016-11-25$34.79$40.0047.4%13.8%64.5%24.1%48.1%0.5%-0.3%-128.9K4.5M-34.1K1.0576.42N/AN/A1,7821,87510,5945,346
2016-11-28$35.31$40.0046.4%13.9%64.3%20.7%51.4%0.6%-0.1%83.9K3.2M-35.0K0.8377.64N/AN/A1,9271,59010,4335,078
2016-11-29$35.49$35.0045.6%13.7%64.2%18.2%50.7%-0.4%-0.4%167.8K2.0M-34.2K0.7181.58N/AN/A2,2421,59811,2235,150
2016-11-30$34.80$39.0047.9%15.1%60.3%25.4%53.2%-2.3%-0.9%130.9K3.6M-34.1K1.0187.97N/AN/A1,7041,72611,1455,247