AGQ Options History — February 2017

In February 2017, AGQ traded between $38.38 and $42.22. ATM implied volatility averaged 40.9%, placing in the 5.4% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 11.0% (HV 20d: 29.9%). Max pain ranged from $36.00 to $39.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 1.01.

Notable Days

  • 2017-02-10: Highest Volume — 2,862 contracts
  • 2017-02-22: Largest IV drop — 4.6% change
  • 2017-02-14: Highest IV Rank — 12.8%
  • 2017-02-14: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.30$38.38$42.22$38.85$42.02
Max Pain$37.97$36.00$39.00$36.00$39.00
ATM IV40.9%37.5%43.8%42.6%39.1%
Expected Move11.8%10.7%12.6%12.2%11.2%
HV 20d29.9%26.2%32.7%30.8%26.2%
HV 60d41.8%37.0%50.2%50.0%37.0%
IV Rank5.4%0.0%12.8%9.2%4.6%
IV Percentile2.8%0.0%9.9%2.8%1.6%
Term Structure0.4%-2.8%2.1%0.8%0.6%
VWIV41.9%35.5%46.1%43.0%38.7%
Skew 25d-3.0%-8.5%1.0%-2.8%-5.2%
Skew 10d-5.3%-10.1%-0.0%-0.4%-5.5%
Call IV 25d43.9%40.2%47.5%44.6%42.4%
Put IV 25d41.0%35.8%45.9%41.7%37.2%
Bid-Ask Spread %72.1053.1087.0978.3681.03
Gamma HHI0.100.070.140.090.09
Net GEX307.2K225.9K456.4K277.8K225.9K
Net DEX-5.5M-7.8M-4.2M-5.0M-5.8M
Net VEX-31.8K-35.5K-27.4K-27.9K-35.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.741.270.741.22
Total Volume2,579.7372,1592,8622,6152,514
Total OI8,922.2117,9709,9848,1799,496

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-02-01$38.85$36.0042.6%12.2%30.8%9.2%43.0%-2.8%0.8%277.8K-5.0M-27.9K0.7478.36N/AN/A1,5031,1124,8993,280
2017-02-02$38.44$38.0041.4%12.1%31.0%5.2%44.2%-4.7%0.9%305.8K-5.0M-28.8K0.8475.76N/AN/A1,4551,2185,0483,325
2017-02-03$38.38$38.0040.7%11.9%30.8%3.1%44.4%-3.2%0.4%238.5K-4.5M-27.4K0.9078.99N/AN/A1,4341,2925,2053,502
2017-02-06$39.57$38.0042.5%12.4%31.1%8.9%44.6%-0.1%0.9%245.9K-4.2M-28.0K1.0277.84N/AN/A1,1941,2134,5883,382
2017-02-07$39.43$38.0042.9%12.3%31.2%10.0%44.1%-1.1%0.6%295.0K-4.5M-28.9K1.1169.68N/AN/A1,2541,3944,8903,495
2017-02-08$39.69$38.0042.5%12.5%30.2%8.7%46.1%-4.2%0.9%315.1K-4.9M-30.3K1.0769.59N/AN/A1,2451,3345,0863,644
2017-02-09$39.24$38.0041.6%12.2%30.5%5.8%43.6%-3.3%0.9%347.0K-4.4M-30.4K0.9773.89N/AN/A1,4231,3785,2313,700
2017-02-10$40.50$38.0041.9%12.3%31.9%6.8%43.3%-3.4%1.3%456.4K-7.2M-30.5K0.9971.50N/AN/A1,4381,4245,3813,792
2017-02-13$39.95$38.0043.2%12.4%32.7%11.0%44.8%-4.0%-0.2%294.2K-5.1M-31.8K0.9372.22N/AN/A1,3581,2665,0953,477
2017-02-14$40.45$38.0043.8%12.6%30.3%12.8%44.8%1.0%-0.2%330.3K-5.6M-32.6K0.9970.64N/AN/A1,3881,3775,2673,755
2017-02-15$40.58$38.0042.9%12.3%29.8%10.2%43.7%-3.1%-1.1%371.4K-5.9M-34.5K1.0253.61N/AN/A1,3101,3335,5713,889
2017-02-16$41.04$38.0041.3%11.8%29.6%4.8%42.6%-1.2%0.1%423.7K-7.2M-34.8K1.1053.10N/AN/A1,3321,4605,6603,956
2017-02-17$40.73$38.0040.1%11.6%29.9%1.1%40.0%-2.7%-2.8%239.8K-6.2M-35.5K1.1559.31N/AN/A1,2071,3945,7884,196
2017-02-21$40.58$38.0039.6%11.3%30.0%0.0%39.8%-1.4%-0.3%277.8K-4.2M-33.7K0.9962.15N/AN/A1,0871,0725,0463,620
2017-02-22$40.83$38.0037.8%10.9%29.5%0.0%38.0%-1.3%0.4%316.5K-4.4M-33.5K1.0287.09N/AN/A1,0921,1125,1553,714
2017-02-23$41.43$38.0037.9%10.7%29.0%0.4%37.0%-5.3%0.8%368.1K-5.9M-34.1K1.2772.37N/AN/A9981,2725,3083,719
2017-02-24$42.22$38.0037.6%10.8%27.5%0.0%38.4%-1.7%1.2%238.7K-7.8M-33.0K0.8883.68N/AN/A1,3861,2155,4403,876
2017-02-27$41.74$38.5037.5%10.7%26.3%0.0%35.5%-8.5%2.1%269.7K-5.8M-34.0K0.9379.14N/AN/A1,3131,2185,2163,830
2017-02-28$42.02$39.0039.1%11.2%26.2%4.6%38.7%-5.2%0.6%225.9K-5.8M-35.2K1.2281.03N/AN/A1,1321,3825,2934,203