AGQ Options History — March 2009

In March 2009, AGQ traded between $37.31 and $44.30. ATM implied volatility averaged 81.1%. The 30-day expected move averaged 23.3%. IV traded above realized volatility by 14.3% (HV 20d: 66.8%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.09.

Notable Days

  • 2009-03-19: Highest Volume — 238 contracts
  • 2009-03-18: Largest IV drop — 6.6% change
  • 2009-03-10: Largest Expected Move — 24.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.57$37.31$44.30$39.80$38.99
Max Pain$40.00$35.00$45.00$45.00$40.00
ATM IV81.1%76.5%84.4%81.9%82.8%
Expected Move23.3%21.9%24.3%23.5%23.7%
HV 20d66.8%61.2%74.0%63.4%63.8%
Term Structure-0.8%-5.8%5.2%0.5%2.6%
VWIV80.5%74.3%90.3%83.7%82.1%
Skew 25d5.2%-2.2%10.7%8.8%8.2%
Skew 10d-0.2%-10.1%13.0%-10.1%8.5%
Call IV 25d78.1%74.1%85.0%77.4%77.3%
Put IV 25d83.2%79.7%86.2%86.2%85.5%
Bid-Ask Spread %34.2620.0445.3138.1445.31
Gamma HHI0.390.310.460.330.39
Net GEX7.8K-4.7K21.5K-69820.1K
Net DEX-334.7K-1.2M143.4K45.2K-398.5K
Net VEX-3.5K-6.0K-895-895-5.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.0010.001.490.27
Total Volume97.6822238192178
Total OI630.2271481,0821481,082

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$39.80$45.0081.9%23.5%0.0%0.0%83.7%0.0%0.5%-69845.2K-8951.4938.14N/AN/A771157969
2009-03-03$39.04$45.0081.1%23.3%0.0%0.0%85.8%0.0%0.1%-4.2K143.4K-1.9K0.7736.00N/AN/A2620156170
2009-03-04$39.55$45.0082.4%23.6%0.0%0.0%90.3%0.0%2.2%-3.9K100.7K-2.5K0.0040.75N/AN/A1270182190
2009-03-05$41.69$40.0081.4%23.3%0.0%0.0%78.5%0.0%1.7%2.4K-396.1K-3.1K0.2241.33N/AN/A9020309190
2009-03-06$41.92$45.0081.3%24.3%0.0%0.0%0.0%0.0%-5.8%-2.3K-191.8K-3.0K0.0020.47N/AN/A20244210
2009-03-09$39.51$45.0084.4%23.9%0.0%0.0%81.3%0.0%-3.6%5.1K125.2K-2.3K0.0920.04N/AN/A545246210
2009-03-10$37.31$45.0083.9%24.3%0.0%0.0%82.7%0.0%-5.8%-99594.3K-2.6K0.0024.40N/AN/A1160288210
2009-03-11$38.21$35.0081.5%23.3%0.0%0.0%81.8%0.0%-3.0%1.8K-99.0K-3.0K0.0922.03N/AN/A111336210
2009-03-12$39.59$35.0081.2%23.3%0.0%0.0%81.2%0.0%-2.6%1.2K-186.7K-3.0K0.0021.21N/AN/A100337211
2009-03-13$40.92$35.0078.8%22.6%0.0%0.0%74.3%0.0%-2.7%1.5K-297.3K-3.1K0.0226.62N/AN/A862343211
2009-03-16$39.35$35.0080.8%23.2%0.0%0.0%78.3%0.0%-3.7%5.7K-227.0K-3.0K0.0028.59N/AN/A70403212
2009-03-17$38.08$35.0081.9%23.5%0.0%0.0%0.0%0.0%-4.6%8.9K-11.4K-2.7K6.6727.64N/AN/A320405212
2009-03-18$39.35$35.0076.5%21.9%63.4%0.0%75.3%0.0%0.9%-4.7K-109.9K-2.9K2.3238.06N/AN/A62144408217
2009-03-19$43.37$40.0078.7%22.6%74.0%0.0%78.5%8.8%-1.7%10.9K-662.0K-3.4K0.4041.03N/AN/A17068422284
2009-03-20$44.30$40.0078.7%22.6%72.2%0.0%74.3%9.6%-1.6%14.5K-1.2M-3.7K0.0037.95N/AN/A730558254
2009-03-23$43.49$40.0078.6%22.5%70.4%0.0%78.6%6.8%-0.3%17.5K-684.2K-3.7K0.5341.09N/AN/A13572422151
2009-03-24$42.30$40.0081.5%23.4%69.1%0.0%79.8%10.7%0.7%18.6K-664.2K-4.8K0.4242.88N/AN/A7130549213
2009-03-25$42.50$40.0082.0%23.5%67.3%0.0%75.7%6.0%0.1%19.5K-755.9K-5.6K0.0041.02N/AN/A450599243
2009-03-26$42.58$40.0079.0%22.7%61.2%0.0%80.4%-1.0%5.2%21.2K-846.6K-5.7K0.4844.89N/AN/A10751622243
2009-03-27$41.34$40.0082.8%23.7%62.3%0.0%83.0%-0.4%1.1%21.5K-706.1K-6.0K10.0034.35N/AN/A220693279
2009-03-30$39.43$40.0082.2%23.6%64.0%0.0%84.2%-2.2%1.9%18.1K-413.0K-5.5K0.1239.87N/AN/A11514694299
2009-03-31$38.99$40.0082.8%23.7%63.8%0.0%82.1%8.2%2.6%20.1K-398.5K-5.8K0.2745.31N/AN/A14038780302