AGQ Options History — May 2009

In May 2009, AGQ traded between $35.31 and $55.10. ATM implied volatility averaged 70.3%. The 30-day expected move averaged 20.5%. IV traded above realized volatility by 1.8% (HV 20d: 68.5%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.84.

Notable Days

  • 2009-05-18: Highest Volume — 1,176 contracts
  • 2009-05-13: Largest IV drop — 8.0% change
  • 2009-05-04: Largest Expected Move — 22.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.06$35.31$55.10$35.31$55.10
Max Pain$42.25$35.00$45.00$35.00$45.00
ATM IV70.3%64.9%76.3%72.8%69.6%
Expected Move20.5%18.6%22.0%20.9%20.0%
HV 20d68.5%49.2%85.3%79.7%49.2%
HV 60d68.6%65.4%71.8%68.9%67.2%
Term Structure3.1%-0.0%5.8%2.8%2.8%
VWIV71.3%64.2%76.5%73.5%70.1%
Skew 25d1.8%-1.5%5.5%4.3%1.1%
Skew 10d3.5%-3.2%11.2%3.6%4.3%
Call IV 25d71.3%62.7%77.1%74.3%70.6%
Put IV 25d73.1%66.5%79.2%78.6%71.7%
Bid-Ask Spread %48.0719.2070.2745.5819.20
Gamma HHI0.400.250.640.330.25
Net GEX166.9K37.0K216.5K37.0K168.4K
Net DEX-6.6M-13.5M-468.7K-468.7K-13.5M
Net VEX-24.1K-36.6K-14.8K-14.8K-36.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.073.101.380.84
Total Volume422.41421,176209852
Total OI5,050.73,5756,6264,1116,626

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$35.31$35.0072.8%20.9%79.7%0.0%73.5%4.3%2.8%37.0K-468.7K-14.8K1.3845.58N/AN/A881212,9061,205
2009-05-04$38.45$40.0074.1%22.0%85.3%0.0%74.6%4.8%1.9%71.3K-2.3M-17.6K0.2849.69N/AN/A317882,9881,308
2009-05-05$40.38$40.0072.1%21.8%75.8%0.0%74.7%0.2%2.1%117.0K-3.8M-19.0K0.4757.67N/AN/A154733,1731,356
2009-05-06$42.53$40.0071.0%21.3%77.1%0.0%75.0%0.7%3.6%157.6K-5.6M-19.8K0.0733.79N/AN/A551373,2271,379
2009-05-07$43.27$40.0072.1%21.9%77.1%0.0%76.5%-0.7%1.4%182.9K-6.7M-20.9K0.8032.91N/AN/A2291843,4841,401
2009-05-08$44.24$40.0071.6%21.5%77.2%0.0%75.2%0.0%1.6%207.5K-7.3M-21.8K0.3054.05N/AN/A121363,6081,499
2009-05-11$44.05$40.0076.3%21.7%74.8%0.0%76.5%2.7%-0.0%206.4K-7.0M-20.6K0.3853.31N/AN/A103393,5651,509
2009-05-12$45.70$40.0073.8%21.8%75.4%0.0%75.1%0.5%0.9%214.3K-8.6M-21.3K1.0254.33N/AN/A1021043,5991,528
2009-05-13$44.25$40.0067.9%21.2%76.8%0.0%74.0%2.2%1.3%209.9K-7.3M-20.9K0.5632.25N/AN/A139783,6141,574
2009-05-14$44.45$40.0073.0%20.9%69.5%0.0%71.9%-0.9%3.9%216.5K-7.3M-21.2K3.1031.83N/AN/A993073,6431,622
2009-05-15$44.25$45.0070.1%20.1%63.3%0.0%69.9%-1.5%5.8%205.3K-6.4M-21.7K1.3362.92N/AN/A1582103,6801,844
2009-05-18$43.14$45.0068.7%19.7%64.5%0.0%68.7%1.9%2.9%137.0K-3.6M-20.2K1.4067.53N/AN/A4896872,646929
2009-05-19$45.48$45.0066.3%19.0%65.4%0.0%64.2%5.5%5.6%144.1K-5.3M-26.1K0.4470.03N/AN/A3161392,9821,519
2009-05-20$46.09$45.0065.6%18.8%64.4%0.0%64.8%3.9%4.2%161.4K-5.9M-27.6K0.4169.34N/AN/A190773,2701,613
2009-05-21$47.62$45.0064.9%18.6%61.3%0.0%65.2%3.8%4.7%174.4K-7.1M-27.7K0.6470.27N/AN/A2181403,3511,673
2009-05-22$48.62$45.0065.8%18.9%61.3%0.0%65.8%-0.4%5.5%180.5K-8.1M-29.1K1.2465.18N/AN/A961193,4941,786
2009-05-26$47.83$45.0069.6%20.0%61.8%0.0%69.4%3.3%5.1%175.6K-7.4M-28.8K0.1244.95N/AN/A475583,5191,868
2009-05-27$49.17$45.0070.5%20.2%55.0%0.0%70.5%2.6%1.9%189.3K-8.9M-32.2K1.3527.41N/AN/A2773753,8591,915
2009-05-28$51.33$45.0070.1%20.1%55.0%0.0%69.6%1.7%4.5%181.3K-10.3M-34.7K0.7619.20N/AN/A3422604,0272,225
2009-05-29$55.10$45.0069.6%20.0%49.2%0.0%70.1%1.1%2.8%168.4K-13.5M-36.6K0.8419.20N/AN/A4633894,2122,414