AGQ Options History — April 2009

In April 2009, AGQ traded between $32.20 and $39.26. ATM implied volatility averaged 80.1%. The 30-day expected move averaged 23.2%. IV traded above realized volatility by 11.9% (HV 20d: 68.2%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.26.

Notable Days

  • 2009-04-29: Highest Volume — 1,178 contracts
  • 2009-04-09: Largest IV spike — 4.9% change
  • 2009-04-06: Largest Expected Move — 24.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.94$32.20$39.26$39.26$34.72
Max Pain$40.48$35.00$45.00$40.00$35.00
ATM IV80.1%76.8%83.0%81.8%76.8%
Expected Move23.2%22.0%24.0%23.5%22.0%
HV 20d68.2%60.5%79.3%63.6%79.3%
HV 60d69.5%69.5%69.5%69.5%69.5%
Term Structure0.8%-1.6%3.3%3.0%1.8%
VWIV79.9%75.1%84.4%82.2%76.7%
Skew 25d0.8%-5.3%6.9%1.7%4.6%
Skew 10d1.0%-8.9%26.6%-0.5%-5.2%
Call IV 25d80.4%72.3%85.3%79.9%76.4%
Put IV 25d81.1%78.1%84.8%81.6%81.0%
Bid-Ask Spread %32.4817.4063.1743.4643.39
Gamma HHI0.360.300.480.350.48
Net GEX22.4K-36.5K78.2K21.3K78.2K
Net DEX-20.7K-1.8M2.3M-426.6K-1.2M
Net VEX-7.8K-12.3K-5.0K-6.3K-12.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.260.024.880.644.88
Total Volume291.952511,17854770
Total OI2,134.5241,1613,3721,1613,372

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-04-01$39.26$40.0081.8%23.5%63.6%0.0%82.2%1.7%3.0%21.3K-426.6K-6.3K0.6443.46N/AN/A3321823338
2009-04-02$38.96$40.0080.4%23.1%60.5%0.0%78.5%2.7%2.7%21.9K-443.5K-6.3K0.3757.17N/AN/A6223841342
2009-04-03$37.90$45.0080.3%23.7%61.0%0.0%82.3%4.7%-1.6%21.0K-257.9K-5.9K4.2517.40N/AN/A65276872355
2009-04-06$33.90$45.0080.0%24.0%69.4%0.0%84.4%-4.7%-0.8%-2.2K914.0K-5.0K4.5720.78N/AN/A77352866613
2009-04-07$34.75$45.0078.5%23.9%67.7%0.0%82.7%5.1%-0.2%-13.6K1.5M-5.6K4.2219.24N/AN/A64270906823
2009-04-08$34.81$45.0078.5%23.7%67.0%0.0%82.9%-0.1%-0.1%-36.5K1.9M-6.3K0.0520.54N/AN/A716369511,082
2009-04-09$35.02$45.0082.3%23.6%65.4%0.0%83.9%6.9%1.4%2.7K1.1M-8.7K0.2121.74N/AN/A119251,5761,099
2009-04-13$37.34$45.0083.0%23.8%68.7%0.0%83.4%0.2%0.9%-15.2K-73.7K-8.8K0.0218.62N/AN/A5011,6711,124
2009-04-14$37.43$45.0083.0%23.8%67.5%0.0%79.6%-1.4%-0.4%-12.3K-12.8K-8.6K1.6523.68N/AN/A51841,6821,123
2009-04-15$37.24$45.0082.8%23.7%66.6%0.0%81.0%0.1%0.7%-16.5K12.7K-8.5K0.2519.95N/AN/A96241,7001,153
2009-04-16$34.42$45.0081.5%23.4%70.7%0.0%80.0%-5.3%-0.8%48.1K1.8M-6.8K0.6825.85N/AN/A105711,6881,119
2009-04-17$32.20$40.0080.5%23.1%62.2%0.0%79.1%-1.0%0.5%23.5K2.3M-5.7K1.5524.94N/AN/A42651,7661,115
2009-04-20$33.40$40.0080.8%23.2%63.6%0.0%78.6%-0.7%1.7%21.4K-246.4K-6.3K0.3619.48N/AN/A114411,117354
2009-04-21$33.09$40.0080.4%23.0%63.6%0.0%79.0%-4.9%1.0%22.5K-178.1K-6.1K0.7629.74N/AN/A80611,179366
2009-04-22$34.66$35.0079.9%22.9%66.8%0.0%77.3%0.3%1.2%27.4K-403.5K-7.1K0.3026.47N/AN/A171521,249426
2009-04-23$37.20$35.0078.2%22.4%72.5%0.0%78.3%1.4%0.7%41.3K-1.1M-8.6K0.0963.03N/AN/A399361,363438
2009-04-24$38.04$35.0078.6%22.5%73.2%0.0%76.7%3.9%-0.1%60.7K-1.7M-10.5K0.1635.75N/AN/A132211,745444
2009-04-27$37.81$35.0077.9%22.3%72.7%0.0%79.3%-2.4%2.2%66.0K-1.8M-10.4K1.2663.17N/AN/A72911,840460
2009-04-28$35.45$35.0078.4%22.5%74.3%0.0%77.8%1.0%3.3%50.5K-766.6K-9.3K0.0336.07N/AN/A17961,872538
2009-04-29$37.05$35.0078.7%22.6%76.3%0.0%75.1%3.8%-0.0%60.2K-1.3M-10.1K0.0951.67N/AN/A1,082961,892542
2009-04-30$34.72$35.0076.8%22.0%79.3%0.0%76.7%4.6%1.8%78.2K-1.2M-12.3K4.8843.39N/AN/A1316392,788584