AGQ Options History — November 2020

In November 2020, AGQ traded between $37.76 and $49.76. ATM implied volatility averaged 79.4%, placing in the 35.1% IV rank vs the trailing year. The 30-day expected move averaged 22.7%. IV traded above realized volatility by 3.9% (HV 20d: 75.5%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.44.

Notable Days

  • 2020-11-09: Highest Volume — 3,625 contracts
  • 2020-11-04: Largest IV drop — 23.3% change
  • 2020-11-03: Highest IV Rank — 50.1%
  • 2020-11-03: Largest Expected Move — 29.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.56$37.76$49.76$44.06$37.90
Max Pain$41.55$40.00$45.00$45.00$40.00
ATM IV79.4%63.9%102.0%99.5%71.4%
Expected Move22.7%18.3%29.3%28.5%20.5%
HV 20d75.5%63.9%82.6%70.4%76.7%
HV 60d87.3%82.7%106.2%106.2%82.7%
IV Rank35.1%24.9%50.1%48.4%29.8%
IV Percentile57.9%40.5%82.9%81.3%47.6%
Term Structure0.2%-10.2%3.9%-10.2%0.5%
VWIV82.4%66.4%104.0%103.7%74.1%
Skew 25d-8.2%-18.6%-0.4%-0.4%-3.9%
Skew 10d-14.0%-37.4%46.8%46.8%-11.8%
Call IV 25d86.9%70.8%108.3%103.2%78.5%
Put IV 25d78.7%64.1%105.6%102.9%74.6%
Bid-Ask Spread %57.6049.2869.2752.2059.67
Gamma HHI0.080.060.110.080.06
Net GEX637.0K381.4K902.3K556.6K413.7K
Net DEX-33.9M-57.0M-18.1M-35.7M-19.4M
Net VEX-188.9K-207.2K-168.4K-180.6K-170.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.121.590.120.19
Total Volume1,855.655133,6251,2233,036
Total OI30,290.926,76633,40626,76630,293

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$44.06$45.0099.5%28.5%70.4%48.4%103.7%-0.4%-10.2%556.6K-35.7M-180.6K0.1252.20N/AN/A1,09412921,6955,071
2020-11-03$44.26$45.00102.0%29.3%63.9%50.1%104.0%-1.3%-6.5%550.3K-36.7M-180.9K0.3549.28N/AN/A83529621,6955,071
2020-11-04$43.17$45.0078.3%22.4%63.9%34.4%81.3%-0.5%2.4%561.4K-32.4M-173.7K0.2960.96N/AN/A39811522,5955,365
2020-11-05$48.73$40.0096.2%27.2%77.0%46.2%98.1%-18.6%-1.9%729.4K-51.5M-200.3K0.1756.72N/AN/A1,87431322,6545,394
2020-11-06$49.76$40.0094.9%27.4%69.3%45.4%97.4%-17.7%-2.0%817.2K-57.0M-206.4K0.1855.21N/AN/A1,60728623,5655,427
2020-11-09$43.88$40.0095.7%26.4%82.6%45.9%95.7%-16.0%0.1%623.0K-38.2M-184.1K0.5158.63N/AN/A2,4041,22124,1245,533
2020-11-10$43.93$40.0087.8%24.7%77.5%40.7%91.0%-18.2%-2.0%641.5K-37.6M-192.7K0.2057.12N/AN/A1,34927024,8896,369
2020-11-11$44.09$40.0079.3%22.7%77.4%35.0%86.8%-14.2%0.2%715.7K-38.2M-191.7K0.6751.91N/AN/A1,6101,07825,4656,378
2020-11-12$44.06$40.0080.4%23.1%77.4%35.8%84.5%-9.5%1.5%704.2K-35.6M-202.0K1.5958.43N/AN/A50280025,5787,007
2020-11-13$45.52$41.0078.8%22.6%78.3%34.7%83.3%-7.7%1.1%833.4K-40.7M-205.4K0.4755.01N/AN/A1,67078225,6566,968
2020-11-16$45.85$41.0076.6%22.0%78.2%33.3%79.3%-9.6%2.1%902.3K-40.6M-207.2K0.3860.55N/AN/A69726525,8257,195
2020-11-17$44.73$42.0073.9%21.2%77.4%31.5%77.6%-10.3%-0.1%800.5K-35.3M-198.2K0.6665.29N/AN/A80452725,8397,154
2020-11-18$44.11$42.0068.5%19.6%77.1%27.9%71.4%-7.9%3.3%752.9K-32.3M-195.7K0.5063.39N/AN/A90745726,0237,352
2020-11-19$43.39$42.0068.2%19.5%76.8%27.7%70.3%-4.9%3.9%622.3K-28.6M-191.3K0.5869.27N/AN/A95755525,8787,402
2020-11-20$43.90$42.0063.9%18.3%76.9%24.9%66.4%-6.7%3.6%767.3K-28.9M-190.5K0.2658.62N/AN/A1,74945125,8767,530
2020-11-23$41.50$42.0067.2%19.3%79.1%27.0%70.0%-3.5%3.6%460.6K-24.1M-179.3K0.2658.86N/AN/A1,45937321,3025,800
2020-11-24$40.07$42.0071.5%20.5%79.7%29.9%73.1%-1.5%-0.4%434.4K-22.6M-179.1K0.9556.15N/AN/A1,2701,20621,8646,023
2020-11-25$40.60$41.0065.6%18.8%73.1%26.0%68.4%-5.6%2.7%472.3K-24.5M-181.2K0.3253.15N/AN/A91128922,5736,177
2020-11-27$37.76$41.0068.0%19.5%77.4%27.6%72.2%-5.2%2.6%381.4K-18.1M-168.4K0.2151.55N/AN/A2,11445322,9516,262
2020-11-30$37.90$40.0071.4%20.5%76.7%29.8%74.1%-3.9%0.5%413.7K-19.4M-170.2K0.1959.67N/AN/A2,55348323,8186,475