AGQ Options History — December 2017

In December 2017, AGQ traded between $29.29 and $33.90. ATM implied volatility averaged 35.4%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 4.1% (HV 20d: 31.3%). Max pain ranged from $30.00 to $34.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.74.

Notable Days

  • 2017-12-15: Highest Volume — 2,728 contracts
  • 2017-12-13: Largest IV drop — 21.6% change
  • 2017-12-12: Highest IV Rank — 70.3%
  • 2017-12-13: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.05$29.29$33.90$32.07$33.90
Max Pain$31.05$30.00$34.00$34.00$30.00
ATM IV35.4%30.5%47.3%35.4%31.5%
Expected Move9.6%8.7%10.6%10.1%9.0%
HV 20d31.3%28.0%35.0%35.0%30.0%
HV 60d32.1%31.4%32.6%32.2%32.0%
IV Rank23.1%3.6%70.3%23.1%7.7%
IV Percentile29.1%0.4%92.9%29.4%2.0%
Term Structure1.0%-1.5%2.3%-1.5%2.3%
VWIV34.6%31.1%39.9%39.9%32.3%
Skew 25d-1.5%-2.9%-0.2%-2.9%-2.9%
Skew 10d-2.8%-6.8%-0.5%-6.8%-4.5%
Call IV 25d35.4%32.6%38.1%38.1%33.6%
Put IV 25d33.9%30.4%36.4%35.2%30.7%
Bid-Ask Spread %29.0915.5766.5253.8422.96
Gamma HHI0.120.080.160.090.10
Net GEX54.4K-62.6K237.8K38.0K237.8K
Net DEX1.0M-6.9M5.4M2.3M-6.9M
Net VEX-24.4K-31.8K-18.4K-21.4K-31.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.351.040.700.47
Total Volume1,785.851,3462,7281,7001,994
Total OI9,2595,92712,0069,6638,354

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-12-01$32.07$34.0035.4%10.1%35.0%23.1%39.9%-2.9%-1.5%38.0K2.3M-21.4K0.7053.84N/AN/A1,0016995,5684,095
2017-12-04$31.70$33.0036.9%9.8%33.5%29.1%35.3%-1.5%0.8%30.0K3.1M-20.0K1.0427.84N/AN/A6596875,9474,169
2017-12-05$30.84$33.0037.8%9.9%29.3%32.7%35.8%-1.2%1.4%-1.4K3.9M-19.9K0.9226.47N/AN/A7366765,9554,180
2017-12-06$30.30$32.0037.8%9.7%28.0%32.7%35.2%-1.9%0.3%-24.4K4.6M-18.9K1.0027.84N/AN/A6796806,1464,264
2017-12-07$29.34$32.0039.2%10.6%29.2%38.0%37.9%-1.8%0.3%-62.6K5.4M-18.4K0.9422.73N/AN/A7396976,2824,356
2017-12-08$29.73$32.0037.2%9.7%30.0%30.1%35.5%-0.6%1.5%-57.2K5.1M-19.5K0.8328.61N/AN/A8487046,3964,490
2017-12-11$29.30$32.0045.2%10.1%30.1%61.9%36.7%-1.6%1.7%-54.1K5.2M-20.5K0.8322.28N/AN/A8827346,6174,497
2017-12-12$29.29$31.0047.3%10.2%29.2%70.3%37.1%-1.6%0.9%-59.4K5.4M-19.5K0.9933.09N/AN/A8488386,6844,569
2017-12-13$30.51$31.0037.1%10.6%33.9%29.9%36.4%-1.7%-0.7%4.5K3.5M-21.6K0.7966.52N/AN/A1,3311,0516,7894,488
2017-12-14$29.97$30.0035.2%10.1%34.2%22.5%35.8%-0.6%0.4%-13.5K3.6M-23.6K0.7520.95N/AN/A1,1778837,2204,527
2017-12-15$30.52$30.0034.2%9.8%34.7%18.4%33.5%-1.1%-0.5%12.2K2.9M-22.9K0.9230.23N/AN/A1,4231,3057,3574,649
2017-12-18$30.78$31.0032.8%9.4%33.2%12.8%33.0%-2.3%1.3%6.5K827.5K-25.5K0.5942.55N/AN/A1,5289092,9752,952
2017-12-19$30.83$30.0031.9%9.2%30.6%9.4%31.8%-0.6%1.9%91.3K-417.7K-27.7K0.9316.89N/AN/A8097513,7853,019
2017-12-20$30.91$30.0031.7%9.1%30.7%8.5%32.4%-0.2%1.9%96.7K-636.3K-28.1K0.7717.31N/AN/A9467243,8803,029
2017-12-21$30.80$30.0030.8%8.8%29.2%5.1%32.1%-0.4%1.6%120.0K-726.2K-28.5K0.6318.13N/AN/A9896224,1023,044
2017-12-22$31.54$30.0031.3%9.0%31.0%6.9%31.1%-1.5%1.5%137.2K-1.8M-28.7K0.4315.57N/AN/A1,0464524,1483,054
2017-12-26$32.29$30.0032.3%9.3%32.5%11.0%34.6%-1.3%1.0%168.5K-3.5M-29.8K0.3531.92N/AN/A1,3584694,4523,050
2017-12-27$32.88$30.0031.8%9.1%32.3%8.7%32.8%-1.7%1.6%187.7K-4.6M-29.8K0.4440.17N/AN/A1,3065724,8513,035
2017-12-28$33.46$30.0030.5%8.7%30.5%3.6%33.0%-2.2%1.8%230.8K-6.2M-30.9K0.4315.96N/AN/A1,3735925,1763,029
2017-12-29$33.90$30.0031.5%9.0%30.0%7.7%32.3%-2.9%2.3%237.8K-6.9M-31.8K0.4722.96N/AN/A1,3576375,2623,092