AGQ Options History — September 2017

In September 2017, AGQ traded between $33.20 and $39.40. ATM implied volatility averaged 36.6%, placing in the 23.4% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 2.1% (HV 20d: 34.6%). Max pain ranged from $35.00 to $36.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2017-09-15: Highest Volume — 4,920 contracts
  • 2017-09-05: Largest IV spike — 18.3% change
  • 2017-09-05: Highest IV Rank — 41.9%
  • 2017-09-05: Largest Expected Move — 12.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.36$33.20$39.40$37.67$33.20
Max Pain$35.60$35.00$36.00$35.00$36.00
ATM IV36.6%33.0%42.2%35.7%33.0%
Expected Move10.4%9.5%12.1%10.2%9.5%
HV 20d34.6%28.3%38.6%38.3%33.6%
HV 60d37.4%36.1%39.1%36.9%37.7%
IV Rank23.4%11.4%41.9%20.3%11.4%
IV Percentile21.8%2.8%52.8%13.9%2.8%
Term Structure1.7%-0.0%4.2%4.2%2.0%
VWIV37.4%35.0%43.4%35.8%35.1%
Skew 25d-3.0%-5.3%-1.4%-3.0%-2.4%
Skew 10d-7.2%-18.5%-4.1%-4.4%-4.1%
Call IV 25d39.5%35.9%46.9%38.2%35.9%
Put IV 25d36.5%33.5%41.6%35.2%33.5%
Bid-Ask Spread %21.8616.1351.1217.7026.37
Gamma HHI0.230.080.360.130.33
Net GEX377.1K140.3K610.1K349.6K223.2K
Net DEX-7.0M-15.8M775.1K-7.7M775.1K
Net VEX-32.8K-35.6K-27.7K-34.5K-27.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.201.080.480.83
Total Volume1,789.851,0124,9202,3041,130
Total OI11,113.658,24814,17611,4909,320

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-09-01$37.67$35.0035.7%10.2%38.3%20.3%35.8%-3.0%4.2%349.6K-7.7M-34.5K0.4817.70N/AN/A1,5567487,0814,409
2017-09-05$38.50$35.0042.2%12.1%38.4%41.9%43.4%-5.3%1.2%410.2K-10.7M-34.1K0.4616.88N/AN/A1,7447997,3994,437
2017-09-06$38.31$35.0039.4%11.3%38.6%32.5%42.0%-4.3%2.3%467.1K-12.2M-35.3K0.7716.13N/AN/A1,1428778,1804,609
2017-09-07$39.40$35.0041.0%11.3%34.4%37.9%41.8%-4.4%0.8%447.7K-14.9M-34.6K0.4523.44N/AN/A1,7757968,3014,698
2017-09-08$38.92$35.0035.9%10.8%34.5%21.0%38.5%-4.9%1.7%524.8K-15.8M-35.3K0.4618.56N/AN/A1,8728598,9064,763
2017-09-11$37.80$36.0040.7%10.6%36.6%37.0%38.0%-4.0%1.6%573.0K-13.1M-33.6K0.7318.95N/AN/A1,1278209,0834,885
2017-09-12$38.37$35.0037.5%10.0%36.6%26.4%36.7%-3.2%1.9%610.1K-14.2M-32.5K0.9821.86N/AN/A8077949,1614,976
2017-09-13$37.80$35.0035.0%10.0%32.3%18.0%35.0%-3.0%2.1%606.9K-12.7M-31.4K0.9518.80N/AN/A8468069,1904,986
2017-09-14$37.79$35.0035.2%10.1%28.3%18.8%35.2%-3.4%2.0%530.0K-12.3M-31.2K0.9620.98N/AN/A8668299,0915,018
2017-09-15$37.17$36.0034.6%9.9%29.0%16.7%35.3%-2.8%2.4%140.3K-10.7M-29.8K0.2024.39N/AN/A4,0838378,9975,008
2017-09-18$35.48$36.0037.3%10.7%33.9%25.6%38.3%-2.4%-0.0%298.5K-3.3M-33.8K0.7622.96N/AN/A7895975,5882,660
2017-09-19$35.89$36.0037.1%10.6%34.1%24.8%36.5%-2.0%0.4%320.9K-3.8M-35.6K0.9520.77N/AN/A5645355,6762,859
2017-09-20$35.05$36.0033.8%9.7%35.2%14.0%36.2%-2.8%3.2%322.9K-3.0M-35.0K0.9051.12N/AN/A5995375,7582,876
2017-09-21$34.46$36.0034.9%10.0%35.5%17.7%37.3%-1.4%2.1%290.5K-1.6M-32.7K0.8421.58N/AN/A6925845,8402,897
2017-09-22$34.55$36.0035.8%10.3%35.1%20.5%37.2%-2.3%1.2%292.1K-1.5M-32.9K0.8816.46N/AN/A6605845,9242,991
2017-09-25$35.24$36.0037.8%10.8%35.5%27.1%38.2%-2.0%0.5%322.5K-2.6M-33.8K0.6518.73N/AN/A8175275,9073,034
2017-09-26$33.91$36.0035.6%10.2%33.7%20.0%36.5%-3.1%1.5%269.2K-559.3K-31.1K0.8521.80N/AN/A6235286,1283,094
2017-09-27$33.59$36.0035.5%10.2%33.6%19.7%35.9%-2.0%1.5%250.3K-32.5K-29.8K1.0317.96N/AN/A5115256,1173,125
2017-09-28$34.11$36.0034.8%10.0%34.2%17.2%35.1%-2.3%1.1%291.2K-541.0K-30.5K1.0821.82N/AN/A4865266,1503,151
2017-09-29$33.20$36.0033.0%9.5%33.6%11.4%35.1%-2.4%2.0%223.2K775.1K-27.7K0.8326.37N/AN/A6165146,1613,159