AGQ Options History — March 2018

In March 2018, AGQ traded between $30.56 and $32.71. ATM implied volatility averaged 33.9%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 2.6% (HV 20d: 31.2%). Max pain ranged from $31.00 to $33.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2018-03-06: Highest Volume — 1,990 contracts
  • 2018-03-12: Largest IV spike — 15.2% change
  • 2018-03-06: Highest IV Rank — 30.4%
  • 2018-03-06: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.66$30.56$32.71$31.81$31.11
Max Pain$32.19$31.00$33.00$32.00$31.00
ATM IV33.9%30.9%38.8%34.7%32.0%
Expected Move9.6%8.9%10.6%10.0%9.2%
HV 20d31.2%24.9%40.2%40.2%33.0%
HV 60d34.8%33.7%35.7%35.0%35.2%
IV Rank14.7%5.2%30.4%17.5%8.7%
IV Percentile26.0%1.6%78.2%29.8%7.1%
Term Structure0.7%-0.8%2.6%-0.8%0.1%
VWIV35.4%29.3%41.6%37.5%31.4%
Skew 25d-4.2%-6.6%-1.1%-1.1%-4.5%
Skew 10d-9.5%-13.3%-1.0%-5.0%-9.4%
Call IV 25d37.2%33.8%41.8%38.7%35.6%
Put IV 25d33.0%30.8%37.6%37.6%31.2%
Bid-Ask Spread %37.0420.3278.2642.6141.57
Gamma HHI0.150.110.200.120.16
Net GEX182.8K64.0K295.0K177.9K185.3K
Net DEX-3.1M-5.5M-1.2M-2.8M-3.0M
Net VEX-36.0K-40.1K-32.2K-39.8K-34.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.371.020.900.59
Total Volume1,590.9521,1031,9901,7891,498
Total OI10,584.0488,06812,42510,9169,687

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-03-01$31.81$32.0034.7%10.0%40.2%17.5%37.5%-1.1%-0.8%177.9K-2.8M-39.8K0.9042.61N/AN/A9448456,7514,165
2018-03-02$31.86$32.0035.5%10.2%40.2%19.8%37.0%-2.9%-0.1%179.4K-2.8M-39.1K1.0027.88N/AN/A8148156,8764,194
2018-03-05$31.51$33.0035.8%10.1%28.9%20.8%38.1%-4.7%1.0%167.0K-2.3M-37.8K1.0226.00N/AN/A8168317,0514,215
2018-03-06$32.71$33.0038.8%10.6%31.4%30.4%41.6%-6.6%-0.1%271.7K-5.4M-40.1K0.6720.32N/AN/A1,1908007,1484,213
2018-03-07$31.71$33.0038.3%10.4%32.9%28.9%41.5%-5.1%0.3%214.1K-3.1M-38.9K0.5930.02N/AN/A1,2047167,4574,241
2018-03-08$31.76$33.0036.1%10.0%30.8%22.0%37.2%-4.2%0.5%251.1K-3.3M-36.6K0.6528.54N/AN/A1,0626927,6524,267
2018-03-09$32.09$33.0032.4%9.6%30.9%10.0%35.7%-4.5%0.9%293.7K-4.1M-36.6K0.9233.05N/AN/A8738017,6684,324
2018-03-12$31.91$33.0037.3%9.7%30.9%25.6%35.4%-5.2%0.4%276.1K-3.2M-35.3K0.8225.60N/AN/A9027417,7384,359
2018-03-13$32.06$33.0033.3%9.5%29.6%13.1%34.3%-4.3%0.9%295.0K-3.6M-33.7K0.8536.11N/AN/A8287077,7824,379
2018-03-14$31.96$33.0032.3%9.3%29.5%9.7%34.6%-3.6%0.9%282.5K-3.3M-33.6K0.9027.45N/AN/A8197377,8074,430
2018-03-15$31.34$32.0031.8%9.1%27.1%8.0%33.0%-3.9%1.5%177.7K-1.6M-32.2K0.7137.86N/AN/A1,0097207,8284,466
2018-03-16$31.11$32.0030.9%8.9%27.1%5.2%32.8%-4.4%1.4%64.0K-1.5M-32.2K0.9250.10N/AN/A1,0039187,9464,479
2018-03-19$31.02$32.0032.4%9.3%25.9%10.1%34.4%-3.9%0.2%72.0K-1.9M-33.7K0.6240.15N/AN/A9245714,7593,309
2018-03-20$30.56$32.0031.8%9.1%24.9%8.2%34.4%-5.1%1.5%80.1K-1.2M-33.9K0.8134.30N/AN/A7496104,9443,364
2018-03-21$32.13$32.0032.0%9.2%31.0%8.7%29.3%-2.5%2.6%66.4K-3.0M-35.5K0.5178.26N/AN/A1,0515314,9773,466
2018-03-22$31.30$32.0031.1%8.9%31.9%6.0%32.9%-3.7%2.2%98.1K-2.4M-35.1K0.6723.64N/AN/A7064715,2523,520
2018-03-23$31.83$32.0034.0%9.7%32.3%15.0%35.4%-5.4%0.9%118.7K-3.6M-37.0K0.3756.26N/AN/A1,2834795,3323,529
2018-03-26$32.37$31.0033.8%9.7%32.5%14.4%34.8%-5.2%0.7%188.0K-5.5M-36.7K0.6241.55N/AN/A8555295,8413,518
2018-03-27$31.77$31.0034.0%9.7%31.8%15.1%36.4%-3.1%0.1%202.6K-4.5M-36.8K0.7840.97N/AN/A6214826,0903,557
2018-03-28$30.90$31.0033.0%9.5%33.3%12.1%36.0%-5.4%-0.8%177.5K-2.7M-36.0K0.6135.53N/AN/A7864776,1313,553
2018-03-29$31.11$31.0032.0%9.2%33.0%8.7%31.4%-4.5%0.1%185.3K-3.0M-34.9K0.5941.57N/AN/A9425566,1183,569