AGQ Options History — November 2018

In November 2018, AGQ traded between $21.79 and $24.31. ATM implied volatility averaged 38.7%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 1.6% (HV 20d: 37.1%). Max pain ranged from $23.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2018-11-12: Highest Volume — 2,164 contracts
  • 2018-11-12: Largest IV spike — 15.1% change
  • 2018-11-13: Highest IV Rank — 44.7%
  • 2018-11-26: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.96$21.79$24.31$24.29$22.34
Max Pain$24.62$23.00$25.00$23.00$24.00
ATM IV38.7%35.0%42.9%39.0%37.0%
Expected Move10.8%9.8%11.8%11.2%10.6%
HV 20d37.1%29.9%40.0%37.7%29.9%
HV 60d34.0%31.4%38.2%38.2%31.6%
IV Rank31.8%20.3%44.7%32.8%26.7%
IV Percentile88.2%57.9%97.6%95.2%78.2%
Term Structure-0.6%-2.1%0.4%-2.1%0.4%
VWIV37.7%32.1%42.0%32.1%39.3%
Skew 25d-1.4%-2.8%1.0%-2.6%-1.5%
Skew 10d-2.6%-6.7%2.1%-6.7%-6.7%
Call IV 25d39.6%36.1%43.1%40.7%40.1%
Put IV 25d38.3%34.3%41.7%38.1%38.6%
Bid-Ask Spread %55.1522.0092.5057.1190.68
Gamma HHI0.140.100.190.180.13
Net GEX76.8K14.4K234.1K226.8K34.1K
Net DEX236.6K-3.3M2.8M-3.3M1.4M
Net VEX-20.5K-25.8K-17.4K-25.6K-18.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.390.940.550.68
Total Volume1,898.3811,4132,1641,9681,890
Total OI12,220.1910,33714,15512,32911,425

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2018-11-01$24.29$23.0039.0%11.2%37.7%32.8%32.1%-2.6%-2.1%226.8K-3.3M-25.6K0.5557.11N/AN/A1,2696998,8613,468
2018-11-02$24.31$23.0037.0%10.6%37.6%26.7%32.1%-2.3%-0.3%234.1K-3.2M-25.8K0.6133.86N/AN/A1,2097388,9083,566
2018-11-05$23.91$25.0039.1%10.6%35.5%32.9%36.6%-1.6%-0.8%191.1K-1.8M-24.1K0.5429.45N/AN/A1,2016549,0403,744
2018-11-06$23.50$25.0038.5%10.3%36.1%31.2%36.4%-1.8%-0.4%139.3K-659.5K-22.4K0.6056.26N/AN/A1,1837129,0483,766
2018-11-07$23.68$25.0035.9%9.9%35.8%23.1%34.5%-1.8%0.2%165.0K-1.1M-22.0K0.5524.62N/AN/A1,1796529,0843,757
2018-11-08$23.23$25.0035.0%9.8%33.6%20.3%35.3%-1.7%-0.1%109.8K-186.0K-21.5K0.3978.91N/AN/A1,4325599,1993,785
2018-11-09$22.45$25.0036.3%10.2%35.5%24.3%36.1%0.0%-0.2%55.5K1.6M-19.4K0.4371.08N/AN/A1,3485809,4893,773
2018-11-12$21.90$25.0041.8%10.5%36.0%41.2%37.3%1.0%-1.3%42.2K2.4M-17.9K0.6072.93N/AN/A1,3568089,6833,887
2018-11-13$21.79$25.0042.9%10.3%36.0%44.7%37.2%0.7%0.1%30.8K2.8M-17.4K0.6538.71N/AN/A1,1977759,8084,021
2018-11-14$22.30$25.0037.4%10.7%37.3%27.7%37.5%0.2%-0.3%49.0K1.7M-19.1K0.6033.75N/AN/A1,2557589,9214,070
2018-11-15$22.82$25.0037.8%10.8%38.5%29.0%38.5%-1.9%-0.4%52.6K439.9K-20.4K0.6555.79N/AN/A1,10471810,0404,067
2018-11-16$23.13$25.0037.3%10.7%38.7%27.3%38.9%-2.2%-0.9%27.4K-261.8K-21.1K0.7382.92N/AN/A1,05076210,0554,100
2018-11-19$23.18$25.0039.8%11.4%38.6%35.1%37.1%-1.2%-1.9%43.4K-13.5K-21.0K0.5826.80N/AN/A8925216,9683,369
2018-11-20$22.83$25.0040.8%11.7%37.7%38.2%41.3%-1.4%-0.2%40.0K527.5K-20.2K0.9467.38N/AN/A9048467,0913,370
2018-11-21$23.37$24.0039.0%11.2%38.7%32.8%40.3%-2.3%-0.3%41.0K-319.9K-21.3K0.5876.89N/AN/A1,2927487,0393,551
2018-11-23$22.69$25.0040.3%11.6%40.0%36.8%41.7%-2.5%-0.7%22.9K915.9K-18.9K0.5780.78N/AN/A1,2597157,1593,504
2018-11-26$22.61$25.0041.0%11.8%39.7%38.9%42.0%-1.4%-1.8%25.3K982.6K-19.1K0.6122.00N/AN/A1,1757127,2613,579
2018-11-27$22.20$25.0039.5%11.3%38.2%34.3%40.7%-1.2%-0.1%14.4K1.7M-17.7K0.6323.01N/AN/A1,0966947,2783,597
2018-11-28$22.76$24.0039.6%11.4%39.4%34.7%39.8%-0.2%-0.5%25.7K749.5K-18.5K0.4742.76N/AN/A1,4576867,3223,597
2018-11-29$22.79$24.0037.7%10.8%38.1%28.7%37.9%-2.8%-0.3%43.4K679.8K-19.0K0.5792.50N/AN/A1,1326497,7083,666
2018-11-30$22.34$24.0037.0%10.6%29.9%26.7%39.3%-1.5%0.4%34.1K1.4M-18.1K0.6890.68N/AN/A1,1247667,7523,673