AGQ Options History — January 2020

In January 2020, AGQ traded between $30.05 and $33.40. ATM implied volatility averaged 35.1%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 3.9% (HV 20d: 31.3%). Max pain ranged from $30.00 to $31.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.47.

Notable Days

  • 2020-01-30: Highest Volume — 3,148 contracts
  • 2020-01-06: Largest IV spike — 9.2% change
  • 2020-01-06: Highest IV Rank — 41.3%
  • 2020-01-06: Largest Expected Move — 11.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.81$30.05$33.40$32.21$31.88
Max Pain$30.86$30.00$31.00$30.00$30.00
ATM IV35.1%31.5%40.7%35.4%36.3%
Expected Move9.9%9.0%11.2%10.2%10.4%
HV 20d31.3%21.4%40.1%33.7%40.0%
HV 60d33.6%32.2%36.7%33.2%36.7%
IV Rank28.5%20.1%41.3%29.1%31.2%
IV Percentile55.6%40.1%70.6%59.5%61.1%
Term Structure1.3%-1.2%2.4%0.9%0.1%
VWIV35.4%32.6%41.4%35.2%36.8%
Skew 25d-7.1%-10.4%-4.6%-6.0%-7.5%
Skew 10d-13.4%-19.2%-7.1%-7.1%-12.7%
Call IV 25d39.9%35.8%46.9%40.0%42.6%
Put IV 25d32.8%30.2%36.5%34.0%35.1%
Bid-Ask Spread %57.2321.5376.5276.5261.78
Gamma HHI0.110.080.240.080.13
Net GEX305.6K-103.9K713.6K271.5K682.3K
Net DEX-10.6M-15.7M-5.2M-11.5M-15.7M
Net VEX-84.3K-91.7K-76.5K-88.6K-91.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.012.460.240.02
Total Volume1,015.5241853,1487231,318
Total OI19,935.42918,36922,66718,49122,667

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-01-02$32.21$30.0035.4%10.2%33.7%29.1%35.2%-6.0%0.9%271.5K-11.5M-88.6K0.2476.52N/AN/A58413912,0696,422
2020-01-03$32.21$31.0037.2%10.7%29.4%33.3%38.8%-7.6%0.1%259.4K-11.2M-87.4K0.0575.24N/AN/A5032511,8496,520
2020-01-06$32.61$31.0040.7%11.2%29.4%41.3%40.2%-9.4%1.6%279.3K-12.8M-87.4K0.5757.56N/AN/A75842912,1276,519
2020-01-07$33.40$31.0040.3%11.1%21.4%40.5%41.4%-10.3%0.6%223.9K-14.6M-88.2K0.3958.62N/AN/A92636012,1376,906
2020-01-08$32.31$31.0038.0%10.2%26.2%35.0%33.8%-10.4%1.6%173.9K-10.7M-87.0K1.5454.76N/AN/A51779812,2217,226
2020-01-09$31.68$31.0036.6%10.1%28.1%31.9%34.8%-7.5%1.7%119.3K-7.9M-84.7K1.6235.22N/AN/A45273412,2207,568
2020-01-10$32.35$31.0034.8%9.9%27.8%27.7%35.5%-6.6%1.8%164.8K-10.6M-86.0K0.5321.53N/AN/A59931512,3457,560
2020-01-13$31.93$31.0036.3%9.9%28.6%31.2%35.2%-7.2%1.7%105.4K-8.8M-82.6K0.1434.44N/AN/A6208912,5647,872
2020-01-14$31.28$31.0036.1%9.4%29.9%30.7%34.0%-6.5%2.1%112.2K-5.9M-81.4K2.4652.85N/AN/A30474712,8947,886
2020-01-15$32.00$31.0034.1%9.8%30.5%26.1%35.0%-7.2%2.3%190.3K-9.9M-83.6K0.0760.42N/AN/A8435912,9297,576
2020-01-16$31.81$31.0035.3%10.1%30.5%28.8%35.2%-6.9%1.2%152.2K-10.7M-84.4K0.2475.35N/AN/A1664013,5247,572
2020-01-17$32.07$31.0033.1%9.5%30.5%23.7%34.0%-6.9%1.5%-103.9K-11.9M-83.1K0.0851.84N/AN/A1,0648513,5557,580
2020-01-21$31.27$31.0032.7%9.4%32.3%22.8%33.9%-7.8%1.8%394.3K-8.6M-81.3K0.3471.14N/AN/A65622012,9125,702
2020-01-22$31.39$31.0031.5%9.0%32.2%20.1%33.8%-5.7%1.6%404.6K-9.5M-81.8K0.2150.95N/AN/A1533213,3765,727
2020-01-23$31.24$31.0031.6%9.1%30.7%20.3%32.6%-5.6%2.4%435.7K-9.1M-81.4K0.0628.85N/AN/A4262713,4275,735
2020-01-24$32.27$31.0032.8%9.4%29.8%23.1%34.2%-6.0%2.3%448.4K-13.4M-83.7K0.1159.06N/AN/A4975413,6045,745
2020-01-27$32.25$31.0033.7%9.7%29.2%25.1%33.3%-6.4%1.6%483.1K-13.6M-83.1K0.8468.57N/AN/A34529113,8425,760
2020-01-28$30.05$31.0033.7%9.7%38.3%25.1%35.9%-5.7%0.2%418.3K-5.2M-76.5K0.2071.19N/AN/A1,31526313,9765,890
2020-01-29$30.33$31.0033.9%9.7%38.0%25.7%35.1%-4.6%-1.2%488.6K-7.0M-79.6K0.0171.45N/AN/A1,4052014,6385,969
2020-01-30$31.39$30.0033.8%9.7%40.1%25.4%34.6%-7.0%1.8%713.6K-13.9M-86.9K0.2064.56N/AN/A2,63051816,0595,974
2020-01-31$31.88$30.0036.3%10.4%40.0%31.2%36.8%-7.5%0.1%682.3K-15.7M-91.7K0.0261.78N/AN/A1,2892916,3186,349