AGQ Options History — January 2017

In January 2017, AGQ traded between $33.51 and $38.84. ATM implied volatility averaged 43.7%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 3.6% (HV 20d: 40.1%). Max pain ranged from $32.00 to $36.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.91.

Notable Days

  • 2017-01-20: Highest Volume — 3,680 contracts
  • 2017-01-30: Largest IV spike — 7.4% change
  • 2017-01-03: Highest IV Rank — 26.6%
  • 2017-01-03: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.99$33.51$38.84$33.51$38.84
Max Pain$34.55$32.00$36.00$35.00$36.00
ATM IV43.7%39.7%50.3%50.3%43.1%
Expected Move12.6%11.5%14.1%14.1%13.0%
HV 20d40.1%30.1%53.0%51.9%33.2%
HV 60d49.6%49.0%50.3%49.2%50.1%
IV Rank7.4%0.0%26.6%26.6%10.6%
IV Percentile8.1%0.0%46.0%46.0%4.0%
Term Structure-0.2%-3.8%1.5%0.3%-0.6%
VWIV45.6%40.2%52.2%52.2%45.5%
Skew 25d-0.6%-5.4%4.9%-5.4%-2.1%
Skew 10d1.1%-5.4%21.2%4.2%-0.6%
Call IV 25d45.7%39.8%57.1%57.1%45.9%
Put IV 25d45.2%40.2%51.7%51.7%43.8%
Bid-Ask Spread %66.0544.2886.8069.0873.92
Gamma HHI0.130.070.220.100.08
Net GEX205.0K47.0K340.7K47.0K195.4K
Net DEX-847.4K-3.5M3.2M3.2M-3.5M
Net VEX-24.2K-26.5K-21.4K-24.8K-26.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.691.240.690.71
Total Volume2,854.52,3433,6803,1802,638
Total OI12,592.056,41416,31814,6487,320

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-01-03$33.51$35.0050.3%14.1%51.9%26.6%52.2%-5.4%0.3%47.0K3.2M-24.8K0.6969.08N/AN/A1,8781,3029,2655,383
2017-01-04$34.21$35.0048.0%13.3%52.5%18.7%46.2%-3.2%0.4%257.2K1.0M-26.4K0.7966.88N/AN/A1,5901,26110,1445,497
2017-01-05$34.78$32.0047.7%14.1%53.0%17.6%51.4%-1.7%-0.4%340.7K-1.1M-26.5K0.7953.39N/AN/A1,6191,27610,4255,524
2017-01-06$34.25$32.0046.9%14.1%49.5%14.9%50.6%-0.9%-0.5%171.2K33.8K-24.8K0.9744.28N/AN/A1,5091,46210,7495,569
2017-01-09$34.77$34.0045.8%13.2%49.8%10.8%47.8%-1.9%0.2%211.9K749.6K-24.6K1.2457.29N/AN/A1,2551,5529,9155,228
2017-01-10$35.72$34.0043.5%12.7%50.4%2.7%45.6%1.4%1.2%226.8K-591.3K-24.9K1.1951.04N/AN/A1,3681,62610,0175,504
2017-01-11$35.44$34.0043.1%12.7%49.3%1.4%45.4%-2.5%1.5%252.2K-473.6K-23.6K1.0659.03N/AN/A1,3781,45610,2005,408
2017-01-12$35.54$34.0043.1%12.4%48.8%1.4%44.7%1.1%-0.1%319.2K-879.2K-23.0K1.1557.43N/AN/A1,2951,48310,3125,450
2017-01-13$35.69$34.0041.5%11.7%48.6%0.0%42.9%3.6%-0.6%263.3K-685.2K-21.9K1.0858.81N/AN/A1,3911,50510,3455,499
2017-01-17$37.12$34.0044.6%12.8%32.0%10.3%46.0%-0.7%-0.2%242.6K-3.1M-21.4K0.9153.76N/AN/A1,5411,4049,9334,868
2017-01-18$36.72$34.0045.3%13.0%32.5%12.6%44.6%-0.3%-3.8%279.1K-3.2M-21.6K0.9376.44N/AN/A1,5761,46210,2515,010
2017-01-19$36.51$34.0042.2%12.1%32.0%2.3%45.7%3.5%1.3%301.7K-1.3M-22.1K0.8570.29N/AN/A1,6821,43410,4245,166
2017-01-20$36.73$34.0042.6%12.3%32.0%3.6%45.8%-1.2%-0.8%119.9K-2.3M-22.9K0.8166.90N/AN/A2,0321,64810,5705,256
2017-01-23$37.18$35.0042.7%12.2%31.2%3.8%44.1%-2.7%0.3%136.5K-1.3M-23.7K0.8065.51N/AN/A1,5151,2153,6602,754
2017-01-24$36.79$36.0040.9%11.6%30.1%0.0%43.6%-3.6%0.3%166.3K-1.5M-25.8K0.8373.91N/AN/A1,4661,2204,1512,989
2017-01-25$36.37$36.0040.7%11.7%30.3%0.0%44.3%4.9%-0.2%154.5K-525.7K-25.2K1.0175.33N/AN/A1,1701,1764,2493,053
2017-01-26$35.65$36.0039.7%11.5%30.6%0.0%40.5%0.9%0.8%116.8K314.1K-24.7K0.9080.70N/AN/A1,3101,1754,2883,126
2017-01-27$36.96$36.0040.0%11.5%32.5%0.8%40.2%0.4%0.7%174.2K-881.2K-23.7K0.7086.80N/AN/A1,6961,1814,1253,147
2017-01-30$36.97$36.0042.9%12.8%32.4%10.2%45.6%-0.6%-3.4%123.2K-945.7K-25.7K0.7280.20N/AN/A1,3599844,0403,027
2017-01-31$38.84$36.0043.1%13.0%33.2%10.6%45.5%-2.1%-0.6%195.4K-3.5M-26.5K0.7173.92N/AN/A1,5391,0994,2353,085