AGQ Options History — June 2009

In June 2009, AGQ traded between $40.49 and $57.05. ATM implied volatility averaged 73.2%. The 30-day expected move averaged 21.2%. IV traded above realized volatility by 0.5% (HV 20d: 72.8%). Max pain ranged from $45.00 to $60.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.84.

Notable Days

  • 2009-06-08: Highest Volume — 1,409 contracts
  • 2009-06-11: Largest IV spike — 10.2% change
  • 2009-06-15: Largest Expected Move — 22.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.46$40.49$57.05$54.36$40.49
Max Pain$52.05$45.00$60.00$45.00$50.00
ATM IV73.2%67.7%78.5%74.3%67.8%
Expected Move21.2%19.4%22.5%21.3%19.4%
HV 20d72.8%46.2%83.8%50.8%74.2%
HV 60d71.1%66.6%73.4%66.6%73.4%
Term Structure1.5%-1.5%5.5%-1.5%4.7%
VWIV73.6%66.9%78.7%73.4%68.2%
Skew 25d0.6%-3.3%3.5%0.3%-1.2%
Skew 10d0.5%-9.2%8.5%-9.0%-9.2%
Call IV 25d73.7%67.5%78.2%74.8%70.6%
Put IV 25d74.3%68.0%78.7%75.1%69.4%
Bid-Ask Spread %51.5630.3168.8562.7162.86
Gamma HHI0.360.190.920.270.26
Net GEX188.3K-50.7K1.1M164.5K-11.8K
Net DEX-3.5M-14.7M4.1M-12.4M4.1M
Net VEX-35.2K-42.7K-26.0K-38.6K-27.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.063.131.121.39
Total Volume521.7271171,409476937
Total OI8,304.2735,91610,0107,1078,052

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-06-01$54.36$45.0074.3%21.3%50.8%0.0%73.4%0.3%-1.5%164.5K-12.4M-38.6K1.1262.71N/AN/A2252514,3982,709
2009-06-02$57.05$45.0074.6%21.4%46.2%0.0%74.1%3.2%-0.4%168.5K-14.7M-37.5K0.0742.02N/AN/A576384,4862,692
2009-06-03$52.50$45.0074.0%21.2%57.5%0.0%75.7%0.6%-0.1%183.4K-10.7M-39.0K0.4236.64N/AN/A4151744,6292,719
2009-06-04$55.97$45.0075.0%21.5%58.7%0.0%74.6%3.5%-0.7%185.5K-14.6M-38.8K0.8265.44N/AN/A2121744,8652,803
2009-06-05$51.59$60.0073.1%21.6%67.7%0.0%74.1%0.5%0.8%202.4K-10.1M-38.6K1.4030.31N/AN/A1442014,9512,937
2009-06-08$49.78$60.0074.4%22.1%69.3%0.0%77.4%2.3%-0.4%213.3K-7.8M-37.8K1.3635.52N/AN/A5968134,9963,057
2009-06-09$51.63$55.0070.3%21.4%70.0%0.0%75.9%0.7%2.6%183.6K-9.7M-42.1K0.9340.52N/AN/A1131055,3083,695
2009-06-10$51.29$55.0069.3%21.8%69.3%0.0%76.3%-1.1%2.0%193.6K-9.1M-41.7K0.2138.25N/AN/A308665,3663,758
2009-06-11$52.22$55.0076.3%21.9%68.0%0.0%76.4%-2.9%-0.5%181.6K-10.9M-42.7K0.5737.85N/AN/A1931105,5933,778
2009-06-12$48.83$55.0075.7%21.7%73.0%0.0%75.9%-3.3%2.2%212.9K-5.9M-40.6K0.9050.13N/AN/A1351215,6583,884
2009-06-15$43.76$55.0078.5%22.5%83.6%0.0%76.1%-0.9%-0.2%177.5K2.1M-33.9K1.2750.89N/AN/A2232835,7163,982
2009-06-16$44.55$55.0078.5%22.5%83.3%0.0%78.7%0.4%-0.4%241.8K1.3M-33.9K1.8237.25N/AN/A3316025,7994,042
2009-06-17$45.47$55.0078.5%22.5%81.4%0.0%73.0%1.7%-0.4%339.7K230.3K-33.7K0.3456.95N/AN/A240815,9093,929
2009-06-18$44.51$55.0077.6%22.3%81.6%0.0%76.6%1.2%0.3%433.8K1.7M-32.9K0.1756.31N/AN/A246426,0503,921
2009-06-19$44.56$55.0073.4%21.0%80.6%0.0%74.7%-0.5%3.2%1.1M2.5M-31.8K0.8456.78N/AN/A2372006,1673,843
2009-06-22$41.51$50.0073.1%21.0%83.5%0.0%73.6%2.3%5.5%-7.9K3.2M-26.0K3.1347.96N/AN/A2317243,4502,466
2009-06-23$42.12$50.0072.7%20.8%83.8%0.0%72.7%0.6%1.9%-45.8K3.6M-29.0K0.7865.26N/AN/A1981553,5543,035
2009-06-24$42.50$50.0070.2%20.1%83.0%0.0%68.7%1.1%3.2%-50.7K3.7M-29.1K0.0658.00N/AN/A1,275763,6913,080
2009-06-25$43.35$50.0067.7%19.4%81.6%0.0%68.2%2.5%4.9%22.4K2.1M-33.4K0.0868.85N/AN/A10894,7233,102
2009-06-26$43.85$50.0067.8%19.4%76.5%0.0%67.7%0.4%4.9%39.5K1.4M-34.7K0.2268.66N/AN/A131294,8013,099
2009-06-29$42.30$50.0068.3%19.6%77.0%0.0%66.9%1.0%2.2%13.2K2.8M-30.5K0.6065.07N/AN/A94564,9023,099
2009-06-30$40.49$50.0067.8%19.4%74.2%0.0%68.2%-1.2%4.7%-11.8K4.1M-27.6K1.3962.86N/AN/A3925454,9293,123