AGQ Options History — January 2018

In January 2018, AGQ traded between $33.75 and $36.23. ATM implied volatility averaged 34.0%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 6.6% (HV 20d: 27.5%). Max pain ranged from $30.00 to $34.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2018-01-17: Highest Volume — 5,468 contracts
  • 2018-01-24: Largest IV spike — 15.0% change
  • 2018-01-29: Highest IV Rank — 38.4%
  • 2018-01-29: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.61$33.75$36.23$34.83$35.28
Max Pain$32.19$30.00$34.00$30.00$34.00
ATM IV34.0%29.2%39.1%35.3%32.1%
Expected Move9.9%9.2%11.2%10.1%9.2%
HV 20d27.5%21.7%33.3%31.2%33.1%
HV 60d32.2%31.2%34.1%32.5%33.0%
IV Rank18.5%0.0%38.4%22.5%11.4%
IV Percentile24.6%0.0%75.0%32.1%5.6%
Term Structure0.4%-1.9%5.0%-0.0%5.0%
VWIV35.3%32.3%42.6%35.7%42.6%
Skew 25d-2.9%-5.2%-0.7%-1.8%-5.2%
Skew 10d-5.9%-10.8%-1.3%-1.9%-5.3%
Call IV 25d37.3%34.1%42.3%36.8%39.5%
Put IV 25d34.4%31.9%38.3%35.0%34.2%
Bid-Ask Spread %40.1116.7482.3618.8682.36
Gamma HHI0.240.110.440.110.20
Net GEX197.8K-265.4K534.4K250.5K416.5K
Net DEX-5.6M-11.3M-384.4K-8.0M-8.5M
Net VEX-33.5K-43.0K-29.9K-31.1K-39.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.283.810.571.56
Total Volume2,410.1431,2845,4681,7702,012
Total OI9,682.8577,59311,9428,41810,104

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-01-02$34.83$30.0035.3%10.1%31.2%22.5%35.7%-1.8%-0.0%250.5K-8.0M-31.1K0.5718.86N/AN/A1,1246465,2703,148
2018-01-03$34.65$30.0032.7%9.4%30.9%12.5%32.7%-1.4%1.2%268.8K-7.3M-30.7K0.5665.53N/AN/A1,2186875,2793,223
2018-01-04$34.90$31.0032.2%9.7%28.5%10.5%35.0%-3.3%1.0%285.9K-7.4M-31.0K0.5342.01N/AN/A1,1706205,2323,267
2018-01-05$34.83$32.0029.2%9.4%27.2%0.0%32.9%-3.3%0.7%292.5K-7.1M-30.4K0.4630.04N/AN/A1,3586285,2293,253
2018-01-08$34.49$32.0031.0%9.3%23.9%6.9%33.0%-4.2%0.9%309.9K-6.5M-30.1K1.3649.88N/AN/A1,2231,6695,3733,238
2018-01-09$34.00$32.0031.2%9.3%25.1%7.6%32.3%-1.3%1.1%55.7K-3.2M-32.0K2.0748.21N/AN/A8191,6995,3434,351
2018-01-10$33.93$32.0032.7%9.4%24.1%13.7%33.1%-3.0%0.8%56.5K-3.0M-31.4K1.7925.60N/AN/A8221,4755,3554,366
2018-01-11$33.86$32.0032.3%9.3%24.2%12.0%34.1%-3.7%1.3%-127.6K-921.5K-32.3K0.8221.87N/AN/A8106635,3605,165
2018-01-12$35.06$32.0034.1%9.8%23.1%18.9%34.2%-4.2%-0.2%-205.0K-4.6M-34.2K0.8220.61N/AN/A8937315,3875,170
2018-01-16$34.88$31.0035.1%10.1%21.7%22.8%36.2%-3.9%-0.0%-265.4K-4.3M-31.1K2.3953.24N/AN/A9452,2585,4955,054
2018-01-17$34.07$32.0035.0%10.0%24.0%22.6%34.4%-2.4%-0.8%-182.0K-950.3K-30.1K0.7056.93N/AN/A3,2192,2495,6215,139
2018-01-18$33.75$32.0035.4%10.1%24.5%24.0%36.2%-2.4%-0.4%137.8K-384.4K-31.6K3.8155.55N/AN/A6112,3266,6605,152
2018-01-19$34.07$32.0033.5%9.6%24.5%16.8%34.2%-1.2%0.6%439.5K-908.7K-31.0K1.1855.80N/AN/A7028296,6775,265
2018-01-22$34.06$32.0033.1%9.5%24.6%15.0%34.0%-0.7%0.1%209.5K-4.3M-29.9K1.1921.07N/AN/A5866984,5793,014
2018-01-23$34.16$33.0032.9%9.4%24.4%14.4%33.7%-2.9%0.8%205.8K-4.5M-30.8K1.2722.31N/AN/A6157844,6153,080
2018-01-24$36.23$33.0037.9%10.9%30.4%33.7%38.3%-4.2%-0.6%215.9K-7.7M-32.3K0.2816.74N/AN/A3,4959914,6613,221
2018-01-25$35.15$33.0037.0%10.6%32.4%30.4%34.5%-3.7%-0.7%534.4K-11.3M-43.0K0.6553.28N/AN/A1,5891,0367,3863,493
2018-01-26$35.56$33.0036.4%10.4%32.1%28.1%38.0%-3.4%-0.4%462.5K-10.7M-40.5K0.7820.74N/AN/A1,5831,2336,7663,582
2018-01-29$34.67$34.0039.1%11.2%33.3%38.4%38.5%-3.2%-1.9%449.0K-8.5M-41.2K0.7649.94N/AN/A1,4951,1406,9143,789
2018-01-30$34.37$34.0036.1%10.3%33.2%26.8%37.5%-2.4%0.2%342.9K-6.3M-38.9K1.4431.80N/AN/A8041,1586,2203,844
2018-01-31$35.28$34.0032.1%9.2%33.1%11.4%42.6%-5.2%5.0%416.5K-8.5M-39.5K1.5682.36N/AN/A7871,2256,2933,811