AGQ Options History — December 2016

In December 2016, AGQ traded between $31.34 and $37.55. ATM implied volatility averaged 48.6%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 2.8% (HV 20d: 51.3%). Max pain ranged from $36.00 to $39.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.15.

Notable Days

  • 2016-12-08: Highest Volume — 3,977 contracts
  • 2016-12-15: Largest IV spike — 11.9% change
  • 2016-12-15: Highest IV Rank — 38.2%
  • 2016-12-01: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.20$31.34$37.55$34.93$32.09
Max Pain$37.31$36.00$39.00$39.00$36.00
ATM IV48.6%44.9%52.8%48.7%50.5%
Expected Move14.1%12.8%16.0%16.0%13.7%
HV 20d51.3%33.9%63.9%59.8%49.8%
HV 60d52.4%49.1%53.9%51.9%49.4%
IV Rank27.0%16.0%38.2%28.1%29.7%
IV Percentile35.7%9.1%67.1%39.7%47.2%
Term Structure1.1%-0.6%5.6%0.4%5.6%
VWIV50.3%47.0%55.6%55.6%50.6%
Skew 25d0.2%-5.7%14.3%7.2%-5.7%
Skew 10d3.4%-10.2%26.0%10.1%-3.8%
Call IV 25d50.3%44.4%55.0%46.1%54.8%
Put IV 25d50.5%44.6%58.7%53.3%49.1%
Bid-Ask Spread %71.9558.5099.3899.3884.10
Gamma HHI0.100.050.270.080.09
Net GEX95.2K-168.4K285.0K154.9K-18.7K
Net DEX3.1M-1.7M7.8M3.4M4.8M
Net VEX-29.8K-36.8K-24.3K-35.3K-24.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.150.761.691.031.08
Total Volume3,375.4762,6573,9773,4932,996
Total OI16,496.33314,42018,13716,51616,613

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-12-01$34.93$39.0048.7%16.0%59.8%28.1%55.6%7.2%0.4%154.9K3.4M-35.3K1.0399.38N/AN/A1,7221,77111,2135,303
2016-12-02$35.65$39.0046.7%14.4%60.9%21.6%52.5%-0.1%-0.6%150.2K1.8M-34.5K1.2088.42N/AN/A1,5571,87211,4325,288
2016-12-05$35.75$38.0047.8%14.2%60.8%25.1%50.4%-1.6%0.4%143.7K2.0M-34.4K1.1966.96N/AN/A1,4251,69410,8645,081
2016-12-06$35.72$38.0045.7%13.5%60.8%18.7%50.7%-1.6%1.1%148.9K1.9M-33.6K1.3267.27N/AN/A1,2911,70011,0725,316
2016-12-07$37.55$38.0047.4%14.2%63.9%24.2%48.7%-1.5%0.3%242.5K-1.7M-36.4K1.4165.69N/AN/A1,4932,09811,2315,557
2016-12-08$36.93$38.0044.9%13.0%63.8%16.0%47.0%-2.3%0.2%285.0K-1.2M-36.8K1.2958.50N/AN/A1,7372,24011,8156,034
2016-12-09$36.19$38.0045.0%12.8%63.0%16.3%47.0%-3.7%1.4%153.1K868.6K-35.1K1.1665.07N/AN/A1,7121,99011,8586,215
2016-12-12$37.25$38.0046.6%13.4%39.9%21.4%47.3%-4.0%0.5%161.7K-1.0M-34.4K0.9665.70N/AN/A1,7411,67111,3215,720
2016-12-13$36.50$38.0046.5%13.3%35.0%21.1%48.7%-1.6%-0.2%149.8K662.9K-33.6K0.9465.31N/AN/A1,7301,63011,6105,797
2016-12-14$36.00$38.0046.3%13.2%33.9%20.5%47.3%-3.9%-0.1%124.9K188.0K-31.1K1.0082.56N/AN/A1,6211,62111,6685,794
2016-12-15$32.45$38.0051.8%15.1%49.5%38.2%52.9%-5.3%2.0%-25.7K7.8M-26.6K0.9067.88N/AN/A1,9521,74811,8775,840
2016-12-16$32.82$37.0049.6%14.3%48.6%30.9%49.8%-2.8%0.6%93.3K7.7M-27.3K0.9469.02N/AN/A1,8691,76612,1435,994
2016-12-19$32.39$37.0047.9%13.7%48.6%25.7%49.2%-0.5%0.1%94.0K4.3M-24.5K1.0864.94N/AN/A1,2791,3789,7784,642
2016-12-20$32.76$37.0051.4%14.8%48.9%36.8%52.4%14.3%2.2%108.7K4.2M-25.2K1.3467.37N/AN/A1,4111,8929,8954,780
2016-12-21$32.32$36.5049.5%14.2%48.8%30.8%50.2%2.4%0.8%37.1K4.7M-26.9K1.3464.30N/AN/A1,4121,89810,0765,426
2016-12-22$31.63$36.0050.0%14.3%48.1%32.2%50.1%0.0%2.1%-115.4K5.7M-24.7K1.6969.81N/AN/A1,4082,37310,0915,515
2016-12-23$31.34$36.0049.8%14.1%47.6%31.6%49.9%2.9%2.7%-168.4K7.0M-25.0K1.6176.86N/AN/A1,4382,31910,1396,347
2016-12-27$32.28$36.0052.8%14.7%48.7%37.5%53.3%3.4%0.5%-142.9K5.5M-24.3K0.7668.04N/AN/A1,9031,4549,0395,918
2016-12-28$32.62$36.0050.6%14.2%48.9%30.0%50.8%3.4%1.7%160.8K3.8M-25.2K0.9274.03N/AN/A1,6141,4919,8006,092
2016-12-29$33.06$36.0050.7%14.2%48.9%30.4%51.7%5.1%0.5%261.8K2.5M-25.3K1.0279.71N/AN/A1,4681,5009,9796,250
2016-12-30$32.09$36.0050.5%13.7%49.8%29.7%50.6%-5.7%5.6%-18.7K4.8M-24.5K1.0884.10N/AN/A1,4381,55810,1086,505