AGQ Options History — May 2018

In May 2018, AGQ traded between $30.25 and $32.36. ATM implied volatility averaged 34.7%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 2.9% (HV 20d: 31.8%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2018-05-17: Highest Volume — 3,757 contracts
  • 2018-05-02: Largest IV spike — 55.6% change
  • 2018-05-02: Highest IV Rank — 81.4%
  • 2018-05-02: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.33$30.25$32.36$30.25$30.98
Max Pain$30.95$30.00$32.00$30.00$31.00
ATM IV34.7%30.6%54.9%35.3%32.3%
Expected Move10.0%8.8%15.7%10.1%9.3%
HV 20d31.8%23.8%37.0%35.3%23.8%
HV 60d32.0%31.0%33.1%32.8%31.0%
IV Rank17.5%4.2%81.4%19.2%9.9%
IV Percentile32.1%1.2%99.6%49.2%10.7%
Term Structure-1.9%-40.7%1.1%-0.6%-0.6%
VWIV36.7%31.9%46.5%38.0%31.9%
Skew 25d-5.2%-7.4%1.2%-5.2%-4.4%
Skew 10d-11.0%-14.8%-6.3%-12.4%-7.7%
Call IV 25d38.5%34.3%41.1%40.4%36.3%
Put IV 25d33.3%29.6%38.6%35.2%31.9%
Bid-Ask Spread %33.6518.5189.5355.2318.51
Gamma HHI0.170.120.280.210.16
Net GEX264.6K113.6K428.1K257.4K152.2K
Net DEX-4.1M-8.7M-1.6M-1.6M-1.8M
Net VEX-35.8K-38.8K-33.2K-35.1K-34.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.360.910.700.82
Total Volume2,215.51,7213,7572,0052,117
Total OI12,624.59110,99614,94811,75812,163

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-05-01$30.25$30.0035.3%10.1%35.3%19.2%38.0%-5.2%-0.6%257.4K-1.6M-35.1K0.7055.23N/AN/A1,1828237,6914,067
2018-05-02$31.13$30.0054.9%15.7%36.7%81.4%46.5%1.2%-40.7%288.8K-5.7M-38.0K0.5889.53N/AN/A1,2257117,8494,239
2018-05-03$31.24$31.0035.5%10.2%36.5%19.9%36.9%-7.4%-0.3%297.4K-4.3M-36.3K0.7826.76N/AN/A1,0227938,0674,302
2018-05-04$31.48$31.0033.8%9.9%36.6%14.4%36.8%-6.3%0.1%302.3K-5.0M-37.3K0.5724.29N/AN/A1,2387038,0804,384
2018-05-07$31.37$31.0035.7%10.3%36.1%20.5%39.6%-6.0%0.1%335.8K-5.2M-35.7K0.5225.03N/AN/A1,2586548,2984,378
2018-05-08$31.44$32.0034.5%10.2%35.9%16.9%37.4%-6.7%-1.0%351.4K-5.4M-35.3K0.4428.09N/AN/A1,3695978,3724,411
2018-05-09$31.41$31.0034.4%9.9%35.7%16.3%38.4%-5.7%0.6%374.9K-5.4M-33.8K0.4838.92N/AN/A1,1615608,5504,414
2018-05-10$32.36$31.0035.1%10.1%36.2%18.8%37.5%-6.3%-0.4%369.6K-8.7M-34.9K0.3628.89N/AN/A1,5765688,6364,430
2018-05-11$32.11$31.0034.0%9.8%35.4%15.2%35.4%-6.6%0.4%428.1K-8.5M-35.6K0.5729.58N/AN/A1,5488829,1624,473
2018-05-14$31.52$31.0034.0%9.7%36.0%15.0%35.4%-5.8%0.6%405.9K-5.4M-33.9K0.6242.40N/AN/A1,3958689,0214,569
2018-05-15$30.58$31.0035.3%10.1%37.0%19.4%38.1%-5.9%-0.5%400.6K-2.0M-33.8K0.5834.65N/AN/A1,6449499,0884,684
2018-05-16$30.94$31.0034.2%9.8%33.1%15.7%36.6%-5.4%0.1%340.5K-3.0M-35.1K0.5829.66N/AN/A1,5108749,0824,795
2018-05-17$31.13$31.0033.5%9.6%32.9%13.7%34.7%-5.3%0.4%274.1K-3.7M-33.2K0.3629.01N/AN/A2,7669919,2304,850
2018-05-18$31.19$31.0031.9%9.1%32.8%8.4%34.3%-3.9%0.5%173.5K-4.6M-35.6K0.9133.66N/AN/A1,4441,3149,9824,966
2018-05-21$31.48$31.0033.2%9.5%25.6%12.7%35.8%-5.3%-0.2%113.6K-2.4M-36.6K0.5424.77N/AN/A1,4958036,5344,462
2018-05-22$31.55$31.0033.8%9.7%25.1%14.4%37.4%-5.2%-0.5%143.4K-3.1M-37.4K0.7623.81N/AN/A1,1929046,8084,465
2018-05-23$31.25$31.0032.3%9.3%24.3%9.8%36.2%-5.3%1.1%139.7K-2.3M-38.8K0.7266.18N/AN/A1,2278897,0094,508
2018-05-24$32.06$31.0032.6%9.4%26.1%10.8%35.3%-4.9%-0.0%190.4K-4.6M-38.0K0.7524.84N/AN/A1,2459387,1634,531
2018-05-25$31.36$31.0030.6%8.8%27.3%4.2%34.5%-4.7%0.8%168.9K-2.8M-36.4K0.9120.23N/AN/A1,1491,0467,2684,574
2018-05-29$30.98$31.0035.1%10.1%26.2%18.5%37.4%-5.7%-1.4%144.1K-2.0M-35.9K0.8225.14N/AN/A1,1119167,2944,720
2018-05-30$31.38$31.0032.5%9.3%25.4%10.3%33.9%-4.5%-0.4%168.8K-2.7M-35.7K0.9021.17N/AN/A1,0989867,3884,784
2018-05-31$30.98$31.0032.3%9.3%23.8%9.9%31.9%-4.4%-0.6%152.2K-1.8M-34.4K0.8218.51N/AN/A1,1609577,3784,785