AGQ Options History — June 2017

In June 2017, AGQ traded between $33.18 and $38.45. ATM implied volatility averaged 35.2%, placing in the 5.9% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 8.5% (HV 20d: 26.7%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.81.

Notable Days

  • 2017-06-02: Highest Volume — 3,227 contracts
  • 2017-06-12: Largest IV spike — 22.4% change
  • 2017-06-12: Highest IV Rank — 30.1%
  • 2017-06-06: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.23$33.18$38.45$36.93$33.83
Max Pain$35.73$35.00$36.00$36.00$35.00
ATM IV35.2%29.6%45.1%36.2%29.6%
Expected Move9.8%8.5%10.7%10.6%8.5%
HV 20d26.7%23.3%31.8%28.5%23.3%
HV 60d29.4%28.2%31.1%31.1%29.0%
IV Rank5.9%0.0%30.1%6.3%0.0%
IV Percentile7.5%0.0%44.8%6.7%0.0%
Term Structure1.3%-1.1%4.3%0.1%2.6%
VWIV34.6%29.1%37.6%35.4%29.1%
Skew 25d-1.7%-4.1%3.5%-3.8%-1.9%
Skew 10d-3.7%-6.3%1.9%-5.6%-4.3%
Call IV 25d35.9%31.6%40.0%39.3%31.6%
Put IV 25d34.3%29.7%37.2%35.5%29.7%
Bid-Ask Spread %23.3212.9669.0921.7516.05
Gamma HHI0.100.080.130.110.09
Net GEX81.8K-53.5K270.7K163.2K81.4K
Net DEX1.1M-3.3M4.3M-1.2M1.9M
Net VEX-26.6K-30.9K-22.4K-27.2K-26.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.451.270.970.82
Total Volume2,257.0911,3543,2272,8881,354
Total OI9,128.8186,91011,19610,0517,655

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$36.93$36.0036.2%10.6%28.5%6.3%35.4%-3.8%0.1%163.2K-1.2M-27.2K0.9721.75N/AN/A1,4631,4255,7884,263
2017-06-02$37.83$36.0035.0%10.0%26.8%3.0%36.1%-0.9%0.7%170.6K-2.9M-29.6K0.7822.62N/AN/A1,8151,4125,9994,378
2017-06-05$38.00$36.0040.8%10.4%26.8%18.5%36.5%-4.1%-1.1%237.1K-2.7M-30.9K0.9527.27N/AN/A1,5041,4355,7704,208
2017-06-06$38.45$36.0039.0%10.7%26.3%13.6%37.6%-2.8%-0.3%264.4K-3.3M-28.6K1.0528.03N/AN/A1,3541,4285,8234,323
2017-06-07$37.97$36.0038.2%10.4%25.5%11.6%36.6%-3.5%-0.9%270.7K-2.8M-29.0K1.2725.87N/AN/A1,2751,6206,0534,366
2017-06-08$37.29$36.0035.8%10.0%27.1%5.0%35.9%-2.4%1.5%235.1K-1.6M-27.8K1.2724.33N/AN/A1,2371,5696,2344,392
2017-06-09$36.51$36.0036.9%10.4%28.8%8.0%35.4%-1.7%0.5%120.9K290.3K-26.6K1.0832.02N/AN/A1,4401,5576,3314,419
2017-06-12$35.28$36.0045.1%10.2%31.8%30.1%36.6%-2.5%1.4%33.4K2.3M-25.7K1.0425.22N/AN/A1,2351,2816,1754,314
2017-06-13$34.94$36.0038.3%10.3%31.1%11.9%36.8%-1.9%2.0%-18.4K3.2M-25.8K0.8221.31N/AN/A1,2861,0536,2224,510
2017-06-14$34.89$36.0034.5%9.9%30.1%1.6%32.4%3.5%4.3%1.1K2.3M-26.2K0.6769.09N/AN/A1,5021,0036,4044,542
2017-06-15$34.48$36.0034.2%9.8%30.2%0.7%35.7%-1.1%2.6%-53.5K3.7M-25.4K0.6829.95N/AN/A1,4249706,5444,532
2017-06-16$34.15$36.0032.9%9.4%28.4%0.0%33.7%-2.5%2.6%-9.8K4.3M-24.0K0.8024.93N/AN/A1,3861,1056,6554,541
2017-06-19$33.36$36.0032.9%9.4%27.9%0.1%33.1%-0.8%2.3%-26.2K3.7M-22.7K0.6618.33N/AN/A1,0386903,6763,234
2017-06-20$33.32$36.0032.5%9.3%24.2%0.0%33.6%-0.7%1.8%-38.4K3.7M-22.4K0.5315.74N/AN/A1,2536653,7893,228
2017-06-21$33.18$36.0032.9%9.4%24.0%1.0%34.1%-1.7%2.0%-32.7K3.3M-24.3K0.4517.92N/AN/A1,3285974,1213,212
2017-06-22$33.74$36.0033.4%9.6%24.2%2.2%33.8%-0.6%1.7%27.9K2.4M-26.1K0.5218.47N/AN/A1,3607104,4313,230
2017-06-23$34.22$35.0032.1%9.2%25.0%0.0%32.8%-1.1%1.8%57.4K1.9M-26.9K0.6616.33N/AN/A1,1767774,5033,359
2017-06-26$33.74$35.0035.2%10.1%23.4%8.1%35.3%-1.1%0.5%51.5K2.1M-26.3K0.7213.97N/AN/A8676284,0353,123
2017-06-27$34.28$35.0034.6%9.9%24.2%6.4%34.5%-1.6%0.7%80.7K1.5M-27.5K0.7016.18N/AN/A8846214,2443,164
2017-06-28$34.70$35.0033.1%9.5%24.8%2.7%33.4%-1.5%1.7%100.1K1.1M-28.1K0.7414.79N/AN/A8376174,3063,176
2017-06-29$33.96$35.0031.9%9.2%25.6%0.0%32.8%-2.6%1.2%82.7K1.7M-26.8K0.7012.96N/AN/A8666094,3843,178
2017-06-30$33.83$35.0029.6%8.5%23.3%0.0%29.1%-1.9%2.6%81.4K1.9M-26.0K0.8216.05N/AN/A7436114,4493,206