AGQ Options History — November 2019

In November 2019, AGQ traded between $28.38 and $33.03. ATM implied volatility averaged 37.6%, placing in the 34.1% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 2.8% (HV 20d: 34.7%). Max pain ranged from $24.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.24.

Notable Days

  • 2019-11-01: Highest Volume — 1,278 contracts
  • 2019-11-13: Largest IV drop — 20.7% change
  • 2019-11-11: Highest IV Rank — 59.1%
  • 2019-11-04: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$29.60$28.38$33.03$33.03$28.98
Max Pain$25.00$24.00$30.00$30.00$25.00
ATM IV37.6%31.4%48.4%40.6%33.2%
Expected Move10.5%9.0%12.5%11.6%9.5%
HV 20d34.7%28.6%38.3%29.1%33.3%
HV 60d52.0%44.1%54.6%52.1%44.1%
IV Rank34.1%19.8%59.1%41.1%24.0%
IV Percentile58.4%35.3%86.1%70.2%45.6%
Term Structure1.2%-2.8%4.4%2.9%-2.8%
VWIV38.2%32.2%44.6%40.1%34.4%
Skew 25d-5.6%-9.5%-3.2%-6.2%-3.2%
Skew 10d-11.3%-18.6%-5.0%-5.0%-12.6%
Call IV 25d41.1%34.0%50.6%45.4%35.0%
Put IV 25d35.5%29.6%41.0%39.2%31.8%
Bid-Ask Spread %75.9444.5790.1473.0383.60
Gamma HHI0.140.080.180.080.15
Net GEX519.5K401.0K755.4K586.7K510.8K
Net DEX-8.8M-22.1M-4.7M-20.6M-5.8M
Net VEX-85.7K-109.3K-72.9K-109.3K-73.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.010.850.010.02
Total Volume557.31581,2781,278515
Total OI22,289.720,88124,31221,44021,581

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2019-11-01$33.03$30.0040.6%11.6%29.1%41.1%40.1%-6.2%2.9%586.7K-20.6M-109.3K0.0173.03N/AN/A1,2681015,5885,852
2019-11-04$32.83$24.0041.5%12.5%28.6%43.3%44.6%-9.5%1.4%755.4K-22.1M-107.6K0.0560.10N/AN/A188916,5455,853
2019-11-05$31.29$24.0040.3%11.5%31.1%40.4%42.8%-7.2%2.3%705.0K-15.3M-101.5K0.3568.24N/AN/A78427716,6575,849
2019-11-06$31.25$24.0039.9%11.6%31.1%39.5%43.1%-8.5%2.5%701.4K-15.3M-103.2K0.1971.01N/AN/A2154116,8556,039
2019-11-07$29.44$24.0040.6%10.9%36.3%41.1%44.2%-5.9%4.4%511.2K-7.8M-91.9K0.2983.28N/AN/A91126216,8776,074
2019-11-08$28.38$24.0041.9%11.3%38.3%44.2%42.1%-6.1%1.1%406.8K-4.9M-84.7K0.5377.10N/AN/A67336017,0445,987
2019-11-11$28.51$25.0048.4%11.5%37.6%59.1%41.1%-5.4%0.5%405.7K-5.3M-84.9K0.1173.90N/AN/A5966417,3556,111
2019-11-12$28.39$25.0046.6%10.9%36.5%55.1%38.8%-6.1%1.4%401.0K-4.7M-83.3K0.0978.86N/AN/A5054317,6006,154
2019-11-13$28.75$25.0037.0%10.6%37.0%32.8%36.9%-3.7%1.8%469.2K-5.6M-80.4K0.0189.91N/AN/A9321417,7366,171
2019-11-14$29.04$25.0036.8%10.5%36.5%32.2%39.5%-5.8%2.6%516.0K-7.3M-85.2K0.0379.93N/AN/A4021118,1416,153
2019-11-15$28.80$25.0033.9%9.7%36.5%25.5%35.7%-5.4%3.4%530.2K-6.1M-81.5K0.2982.84N/AN/A2025818,1586,154
2019-11-18$29.12$25.0035.6%10.2%36.9%29.5%36.9%-5.3%-0.7%466.8K-7.3M-81.5K0.2081.55N/AN/A3146415,2005,681
2019-11-19$29.45$25.0034.8%10.0%37.2%27.7%36.9%-5.4%0.1%478.9K-8.1M-81.9K0.3779.42N/AN/A30911315,2775,735
2019-11-20$29.53$25.0036.3%10.4%37.2%31.2%36.9%-5.6%1.0%491.4K-8.3M-83.0K0.3280.60N/AN/A33910715,3655,725
2019-11-21$29.38$25.0034.2%9.8%35.4%26.4%37.4%-4.9%1.2%487.1K-7.8M-80.5K0.0877.71N/AN/A2512015,3795,733
2019-11-22$29.02$25.0033.9%9.7%33.5%25.6%34.4%-4.3%0.4%477.3K-6.5M-78.2K0.0490.14N/AN/A3121415,4395,752
2019-11-25$28.65$25.0032.5%9.3%33.2%22.3%33.1%-3.6%0.5%475.1K-5.0M-73.1K0.3081.44N/AN/A1223615,5065,736
2019-11-26$29.34$25.0031.9%9.2%34.8%21.1%32.3%-5.1%0.2%528.6K-7.3M-76.3K0.8561.54N/AN/A25321415,5515,751
2019-11-27$28.78$25.0031.4%9.0%35.0%19.8%32.2%-4.4%0.1%485.7K-5.1M-72.9K0.6344.57N/AN/A20713115,5485,882
2019-11-29$28.98$25.0033.2%9.5%33.3%24.0%34.4%-3.2%-2.8%510.8K-5.8M-73.2K0.0283.60N/AN/A5051015,6325,949