AGQ Options History — November 2017

In November 2017, AGQ traded between $32.02 and $35.52. ATM implied volatility averaged 35.5%, placing in the 21.5% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 0.2% (HV 20d: 35.7%). Max pain ranged from $34.00 to $35.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.96.

Notable Days

  • 2017-11-06: Highest Volume — 1,993 contracts
  • 2017-11-02: Largest IV drop — 31.2% change
  • 2017-11-01: Highest IV Rank — 61.3%
  • 2017-11-01: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.27$32.02$35.52$34.98$32.02
Max Pain$34.14$34.00$35.00$34.00$34.00
ATM IV35.5%32.9%48.1%48.1%35.2%
Expected Move10.2%9.5%13.8%13.8%10.1%
HV 20d35.7%31.1%39.6%31.1%34.9%
HV 60d33.0%32.2%35.0%35.0%32.8%
IV Rank21.5%11.1%61.3%61.3%22.3%
IV Percentile24.0%3.2%89.3%89.3%25.8%
Term Structure-1.2%-8.8%1.0%-8.8%-2.8%
VWIV36.8%34.1%42.1%42.1%36.4%
Skew 25d-2.2%-4.7%0.1%-4.7%-0.1%
Skew 10d-4.9%-9.7%5.8%5.8%-4.3%
Call IV 25d37.7%35.4%40.9%40.9%36.6%
Put IV 25d35.5%34.0%37.0%36.2%36.5%
Bid-Ask Spread %27.9921.0588.5788.5721.28
Gamma HHI0.100.090.120.090.09
Net GEX154.4K46.3K242.0K108.0K46.3K
Net DEX-824.7K-3.6M2.3M-765.3K2.3M
Net VEX-24.9K-28.4K-21.0K-24.3K-21.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.960.601.370.801.31
Total Volume1,521.8571,1601,9931,9491,490
Total OI9,313.6198,10110,1628,1019,431

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-11-01$34.98$34.0048.1%13.8%31.1%61.3%42.1%-4.7%-8.8%108.0K-765.3K-24.3K0.8088.57N/AN/A1,0808694,4983,603
2017-11-02$34.92$35.0033.1%10.1%31.1%11.7%36.8%-3.3%-0.6%147.4K-1.2M-26.1K0.9921.89N/AN/A7837734,9313,747
2017-11-03$33.80$35.0032.9%9.8%32.7%11.1%36.3%-1.3%1.0%106.6K409.5K-25.3K0.8127.84N/AN/A9597775,0643,821
2017-11-06$35.35$35.0036.0%10.1%35.7%21.2%37.0%-2.8%-0.1%191.0K-2.0M-26.7K0.7324.42N/AN/A1,1528415,1573,821
2017-11-07$34.23$34.0035.2%10.2%37.1%18.8%35.9%-3.6%-1.0%166.7K-972.6K-27.1K0.8221.13N/AN/A1,0838845,4763,900
2017-11-08$34.41$34.0035.7%10.2%36.9%20.3%36.3%-4.3%-0.5%176.3K-1.3M-27.4K0.7125.31N/AN/A1,0577545,5243,991
2017-11-09$34.40$34.0036.4%10.5%36.9%22.8%38.7%-2.9%-0.7%170.6K-1.1M-28.4K0.9226.61N/AN/A7587005,6064,025
2017-11-10$34.02$34.0036.6%10.5%36.2%23.4%37.9%-2.9%-0.9%151.0K-391.4K-27.1K0.8124.63N/AN/A7806355,6284,067
2017-11-13$34.49$34.0036.0%10.3%35.9%21.4%39.2%-2.3%-0.9%195.8K-1.3M-26.3K0.6823.28N/AN/A9826665,6634,097
2017-11-14$34.49$34.0036.0%10.3%35.3%24.1%38.9%-3.5%-0.7%220.8K-1.6M-26.4K0.6926.06N/AN/A9426465,9374,043
2017-11-15$34.24$34.0036.6%10.5%35.3%28.0%37.6%-3.7%-0.8%211.8K-1.0M-25.7K0.8522.83N/AN/A7676495,9654,068
2017-11-16$34.65$34.0034.9%10.0%33.9%21.3%35.7%-0.5%-0.5%242.0K-1.4M-24.3K0.9227.12N/AN/A7186606,0114,084
2017-11-17$35.52$34.0035.1%10.1%34.1%21.9%35.3%-2.4%-1.3%180.5K-3.6M-25.4K0.6023.57N/AN/A9445666,0464,116
2017-11-20$34.06$34.0034.5%9.9%37.3%19.4%35.3%-1.3%0.2%138.5K-516.6K-23.5K0.8435.77N/AN/A7116005,1013,582
2017-11-21$34.12$34.0033.6%9.6%36.9%16.0%34.1%-2.0%0.7%135.7K-797.2K-23.7K0.9821.27N/AN/A5875735,1783,686
2017-11-22$34.82$34.0033.9%9.7%37.6%17.1%35.5%0.1%-1.1%168.2K-1.8M-24.6K1.3632.25N/AN/A5417355,2543,694
2017-11-24$34.42$34.0035.1%10.1%37.0%21.8%35.0%-1.4%-1.2%154.3K-1.2M-24.2K1.3425.80N/AN/A5527375,2953,774
2017-11-27$34.48$34.0034.4%9.9%37.0%19.2%37.2%-1.7%-1.0%143.3K-988.2K-22.6K1.3721.05N/AN/A5076965,3233,819
2017-11-28$33.67$34.0033.2%9.5%38.0%14.3%35.4%-1.5%-1.2%123.6K25.2K-22.2K1.2624.69N/AN/A6167745,3723,850
2017-11-29$32.53$34.0033.1%9.5%39.6%14.0%35.8%-0.6%-2.4%63.4K1.9M-21.8K1.3122.32N/AN/A6128035,4143,924
2017-11-30$32.02$34.0035.2%10.1%34.9%22.3%36.4%-0.1%-2.8%46.3K2.3M-21.0K1.3121.28N/AN/A6458455,4573,974