AGQ Options History — September 2018

In September 2018, AGQ traded between $22.36 and $24.12. ATM implied volatility averaged 34.3%, placing in the 18.1% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 2.1% (HV 20d: 36.3%). Max pain ranged from $23.00 to $26.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.59.

Notable Days

  • 2018-09-20: Highest Volume — 4,473 contracts
  • 2018-09-12: Largest IV spike — 5.1% change
  • 2018-09-25: Highest IV Rank — 23.1%
  • 2018-09-25: Largest Expected Move — 10.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.89$22.36$24.12$22.58$24.12
Max Pain$23.68$23.00$26.00$26.00$23.00
ATM IV34.3%33.2%35.9%34.7%34.6%
Expected Move9.9%9.5%10.3%9.9%9.9%
HV 20d36.3%26.3%47.2%47.2%31.6%
HV 60d34.6%33.4%37.5%37.5%35.1%
IV Rank18.1%14.9%23.1%19.3%19.1%
IV Percentile53.6%38.1%78.6%57.9%62.7%
Term Structure0.3%-2.3%1.6%0.3%-2.3%
VWIV35.2%34.0%37.0%37.0%35.1%
Skew 25d-0.8%-2.9%0.8%-1.4%-0.5%
Skew 10d-2.3%-7.0%1.1%-3.4%0.5%
Call IV 25d35.6%34.3%38.0%37.4%34.7%
Put IV 25d34.9%33.1%36.6%36.0%34.2%
Bid-Ask Spread %33.0313.8757.4057.4031.00
Gamma HHI0.230.130.330.130.33
Net GEX83.5K-62.3K339.6K50.1K339.6K
Net DEX2.8M-3.4M5.4M4.6M-3.4M
Net VEX-27.0K-32.5K-22.7K-22.7K-32.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.290.760.710.50
Total Volume2,711.9471,7434,4734,0021,843
Total OI19,886.42113,72125,34818,47414,664

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-09-04$22.58$26.0034.7%9.9%47.2%19.3%37.0%-1.4%0.3%50.1K4.6M-22.7K0.7157.40N/AN/A2,3461,65613,6424,832
2018-09-05$22.75$25.0034.9%10.0%47.2%20.2%35.6%0.8%0.7%52.3K4.2M-27.5K0.7613.87N/AN/A2,2081,68714,8285,587
2018-09-06$22.68$24.0034.5%9.9%46.7%19.0%35.6%-1.0%1.0%37.7K4.4M-29.2K0.7252.09N/AN/A1,38999714,8865,867
2018-09-07$22.64$24.0034.1%9.9%46.7%17.6%35.9%-0.7%0.6%47.3K4.5M-28.1K0.6719.23N/AN/A1,41294515,2295,865
2018-09-10$22.67$24.0033.8%9.8%46.7%16.7%34.9%-0.9%0.5%46.9K4.4M-26.2K0.6117.99N/AN/A1,48591315,6685,753
2018-09-11$22.52$24.0033.4%10.0%45.3%15.5%34.5%0.6%0.1%10.5K4.9M-24.8K0.7321.51N/AN/A1,30494715,7855,715
2018-09-12$22.91$24.0035.1%10.1%45.9%20.7%35.4%-0.1%0.3%87.1K3.8M-26.8K0.6620.21N/AN/A1,36990915,8865,785
2018-09-13$22.70$24.0033.8%9.7%34.3%16.8%35.1%-1.3%0.9%13.3K4.5M-25.1K0.7047.58N/AN/A1,31791615,8975,776
2018-09-14$22.36$24.0034.1%9.8%32.3%17.5%34.8%-1.2%1.0%-58.2K5.4M-23.7K0.6238.83N/AN/A1,49793115,9875,829
2018-09-17$22.66$24.0034.4%9.9%31.7%18.6%34.6%-0.7%0.3%-51.8K5.0M-23.4K0.5235.94N/AN/A2,1021,09216,3075,966
2018-09-18$22.58$23.0033.5%9.6%31.7%15.6%34.2%-0.9%1.6%-62.3K4.9M-24.9K0.5118.63N/AN/A2,2001,11916,8626,152
2018-09-19$22.88$23.0033.3%9.5%32.3%15.0%34.4%0.8%0.8%17.6K3.9M-25.9K0.5817.84N/AN/A1,7981,04717,1266,227
2018-09-20$23.07$23.0034.1%9.8%32.6%17.7%35.5%-0.4%-0.1%111.5K3.2M-26.3K0.2952.67N/AN/A3,47799617,3776,266
2018-09-21$22.98$23.0034.4%9.9%30.5%18.5%36.8%-1.7%-0.0%56.0K2.7M-28.8K0.4036.86N/AN/A2,9461,17219,1026,246
2018-09-24$23.00$23.0034.3%9.8%26.3%18.3%34.6%-1.4%0.4%180.4K-113.3K-28.0K0.6933.38N/AN/A1,09175010,1543,567
2018-09-25$23.58$23.0035.9%10.3%27.8%23.1%36.1%-2.9%-0.2%253.0K-1.6M-30.2K0.5747.20N/AN/A1,26271910,3973,615
2018-09-26$23.24$23.0034.5%9.9%26.9%19.0%34.5%-0.7%-1.2%244.1K-1.1M-30.0K0.5049.34N/AN/A1,29165110,8233,623
2018-09-27$22.93$23.0033.2%9.5%26.8%14.9%34.0%-1.5%1.0%211.6K-318.2K-28.8K0.4716.01N/AN/A1,18555810,8773,674
2018-09-28$24.12$23.0034.6%9.9%31.6%19.1%35.1%-0.5%-2.3%339.6K-3.4M-32.5K0.5031.00N/AN/A1,22961410,9603,704