AGQ Options History — March 2017 In March 2017, AGQ traded between $35.53 and $42.45. ATM implied volatility averaged 38.9%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 0.7% (HV 20d: 38.2%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 1.47.
Notable Days 2017-03-09 : Highest Volume — 3,700 contracts2017-03-15 : Largest IV spike — 32.8% change2017-03-15 : Highest IV Rank — 51.6%2017-03-02 : Largest Expected Move — 12.2%Monthly Statistics Metric Avg Min Max Open Close Price $38.71 $35.53 $42.45 $42.45 $41.27 Max Pain $38.22 $38.00 $40.00 $39.00 $38.00 ATM IV 38.9% 34.5% 54.9% 38.1% 35.8% Expected Move 10.6% 9.5% 12.2% 10.7% 9.7% HV 20d 38.2% 20.8% 43.6% 20.8% 34.0% HV 60d 36.7% 32.9% 40.5% 37.1% 32.9% IV Rank 7.7% 0.0% 51.6% 1.7% 3.4% IV Percentile 7.0% 0.0% 81.0% 1.6% 2.0% Term Structure -1.2% -28.6% 2.9% 0.1% -1.0% VWIV 38.4% 33.9% 48.2% 38.7% 35.3% Skew 25d -0.4% -6.7% 2.8% -0.6% 0.1% Skew 10d 0.2% -12.9% 52.5% -3.9% -3.9% Call IV 25d 41.2% 35.2% 68.4% 40.7% 36.9% Put IV 25d 40.7% 34.7% 61.7% 40.1% 37.0% Bid-Ask Spread % 78.44 61.60 113.01 78.90 85.97 Gamma HHI 0.10 0.07 0.14 0.09 0.12 Net GEX 72.2K -162.0K 272.9K 271.7K 272.9K Net DEX 187.9K -6.0M 6.6M -6.0M -4.8M Net VEX -30.3K -35.0K -26.3K -35.0K -33.1K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.47 1.08 1.87 1.08 1.38 Total Volume 2,820.87 2,233 3,700 2,594 2,666 Total OI 9,012.652 6,511 10,971 9,529 8,408
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2017-03-01 $42.45 $39.00 38.1% 10.7% 20.8% 1.7% 38.7% -0.6% 0.1% 271.7K -6.0M -35.0K 1.08 78.90 N/A N/A 1,248 1,346 5,371 4,158 2017-03-02 $39.45 $39.00 41.4% 12.2% 34.6% 11.5% 43.0% 0.2% -0.3% 141.9K -778.7K -33.2K 1.64 70.57 N/A N/A 1,080 1,769 5,559 4,173 2017-03-03 $40.24 $39.00 39.5% 11.3% 35.0% 5.8% 41.7% 1.9% 0.0% 45.0K -763.8K -33.6K 1.85 71.15 N/A N/A 1,163 2,146 5,715 4,619 2017-03-06 $39.54 $40.00 39.0% 11.0% 35.6% 4.5% 38.8% -0.1% -0.1% 98.2K -499.1K -32.0K 1.23 61.60 N/A N/A 1,321 1,631 5,108 4,223 2017-03-07 $38.27 $38.00 37.7% 10.8% 35.9% 0.7% 39.1% -0.4% -0.2% 37.9K 1.8M -30.9K 1.39 67.08 N/A N/A 1,129 1,572 5,234 4,306 2017-03-08 $37.13 $38.00 39.6% 11.3% 37.3% 6.3% 40.0% 0.4% -0.3% 5.8K 3.4M -29.5K 1.43 68.69 N/A N/A 1,169 1,672 5,403 4,430 2017-03-09 $35.88 $38.00 43.0% 11.9% 38.7% 16.2% 40.7% 2.8% -0.8% -15.6K 4.6M -28.7K 1.75 66.40 N/A N/A 1,347 2,353 5,490 4,592 2017-03-10 $36.16 $38.00 41.4% 11.1% 38.9% 11.7% 41.7% -0.6% -1.1% -89.7K 6.6M -28.5K 1.47 75.63 N/A N/A 1,320 1,944 5,637 5,334 2017-03-13 $35.92 $38.00 43.8% 11.7% 36.5% 18.6% 43.2% 1.4% -3.4% -142.7K 5.2M -28.0K 1.58 74.80 N/A N/A 1,151 1,816 5,247 5,096 2017-03-14 $35.53 $38.00 41.3% 11.7% 36.4% 11.2% 41.5% -0.4% -0.8% -162.0K 5.1M -27.0K 1.87 75.81 N/A N/A 977 1,829 5,362 5,016 2017-03-15 $37.39 $38.00 54.9% 9.5% 41.3% 51.6% 48.2% -6.7% -28.6% -36.3K 2.7M -28.8K 1.55 113.01 N/A N/A 1,084 1,678 5,380 5,027 2017-03-16 $37.34 $38.00 38.3% 10.6% 41.2% 2.5% 39.3% -0.6% -1.1% 125.8K 1.9M -27.9K 1.35 84.49 N/A N/A 1,224 1,650 5,514 5,162 2017-03-17 $37.64 $38.00 36.7% 10.4% 41.0% 0.0% 38.2% 0.1% -1.3% 2.3K 1.5M -26.8K 1.38 88.94 N/A N/A 1,264 1,748 5,555 5,203 2017-03-20 $37.77 $38.00 35.4% 10.1% 41.1% 0.0% 35.6% 0.4% 0.1% -37.0K 1.4M -26.3K 1.80 71.58 N/A N/A 798 1,435 3,142 3,369 2017-03-21 $38.30 $38.00 34.5% 9.9% 41.6% 0.0% 34.6% -0.2% 1.7% -1.9K 771.6K -27.2K 1.45 78.50 N/A N/A 1,116 1,613 3,294 3,488 2017-03-22 $38.31 $38.00 35.5% 10.2% 41.5% 2.7% 36.1% 0.9% 2.9% 56.0K 100.3K -29.6K 1.41 76.67 N/A N/A 1,124 1,583 3,739 3,625 2017-03-23 $38.64 $38.00 35.0% 9.9% 41.2% 1.2% 34.6% -2.5% 1.9% 90.6K -483.7K -30.0K 1.54 79.38 N/A N/A 998 1,540 3,820 3,632 2017-03-24 $39.25 $38.00 34.6% 9.7% 41.0% 0.2% 35.0% -1.9% 1.3% 106.3K -1.3M -30.1K 1.75 80.36 N/A N/A 886 1,553 3,920 3,671 2017-03-27 $40.82 $38.00 38.2% 10.3% 43.6% 10.1% 36.5% -2.9% 1.0% 166.2K -3.3M -31.5K 1.37 75.70 N/A N/A 1,103 1,507 3,814 3,468 2017-03-28 $40.89 $38.00 37.1% 10.0% 43.5% 7.2% 34.0% -2.8% 1.9% 187.3K -3.9M -32.9K 1.17 82.50 N/A N/A 1,275 1,498 4,126 3,592 2017-03-29 $41.31 $38.00 36.0% 9.5% 43.5% 4.1% 33.9% 0.3% 1.6% 269.4K -4.4M -32.5K 1.28 89.18 N/A N/A 1,199 1,531 4,368 3,661 2017-03-30 $40.87 $38.00 36.8% 10.0% 34.5% 6.2% 34.5% 1.6% 0.2% 268.3K -4.6M -34.1K 1.21 87.32 N/A N/A 1,277 1,547 4,528 3,712 2017-03-31 $41.27 $38.00 35.8% 9.7% 34.0% 3.4% 35.3% 0.1% -1.0% 272.9K -4.8M -33.1K 1.38 85.97 N/A N/A 1,122 1,544 4,678 3,730
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