AGQ Options History — July 2009

In July 2009, AGQ traded between $35.01 and $42.65. ATM implied volatility averaged 63.0%. The 30-day expected move averaged 18.5%. IV traded above realized volatility by 8.7% (HV 20d: 54.4%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.57.

Notable Days

  • 2009-07-20: Highest Volume — 593 contracts
  • 2009-07-16: Largest IV spike — 27.4% change
  • 2009-07-08: Largest Expected Move — 20.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.04$35.01$42.65$41.53$42.00
Max Pain$41.59$40.00$50.00$50.00$40.00
ATM IV63.0%51.6%72.3%65.8%60.0%
Expected Move18.5%17.1%20.4%18.9%17.2%
HV 20d54.4%46.9%71.3%71.3%53.5%
HV 60d66.9%61.9%70.9%69.7%62.7%
Term Structure5.4%2.0%9.4%6.9%5.4%
VWIV64.6%59.2%72.0%67.6%59.3%
Skew 25d1.0%-2.2%5.8%-0.7%5.8%
Skew 10d0.8%-19.6%16.7%3.0%16.7%
Call IV 25d64.9%56.9%72.9%67.4%56.9%
Put IV 25d65.9%59.7%75.8%66.8%62.7%
Bid-Ask Spread %45.7618.6876.1776.1767.79
Gamma HHI0.280.100.590.270.20
Net GEX-8.2K-86.3K54.2K-10.3K54.2K
Net DEX4.0M-797.8K8.3M3.8M-448.7K
Net VEX-23.9K-31.9K-18.5K-31.9K-26.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.042.110.230.34
Total Volume261.72763593174428
Total OI7,511.3644,6049,6328,6505,966

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-07-01$41.53$50.0065.8%18.9%71.3%0.0%67.6%-0.7%6.9%-10.3K3.8M-31.9K0.2376.17N/AN/A141335,1543,496
2009-07-02$39.20$50.0065.4%18.7%67.2%0.0%67.7%-2.0%5.7%-38.1K5.6M-27.8K0.3542.83N/AN/A119425,2253,512
2009-07-06$38.56$45.0072.3%20.3%62.8%0.0%72.0%4.1%3.3%-41.3K6.3M-25.2K0.5818.68N/AN/A104605,3063,515
2009-07-07$37.57$45.0068.0%20.2%62.5%0.0%72.0%0.9%4.3%-46.2K6.7M-24.0K1.0924.58N/AN/A1411535,3593,531
2009-07-08$36.23$45.0070.9%20.4%60.0%0.0%69.8%-1.2%5.4%-44.4K7.6M-21.9K0.2934.78N/AN/A153455,4563,658
2009-07-09$36.13$40.0066.4%19.4%60.1%0.0%67.5%1.3%4.5%-41.3K7.6M-21.2K0.6523.39N/AN/A151985,5483,686
2009-07-10$35.01$40.0065.3%19.6%58.7%0.0%69.2%1.1%4.7%-32.2K8.3M-18.5K1.0543.42N/AN/A1321385,5973,730
2009-07-13$35.93$40.0064.4%20.2%58.1%0.0%69.5%3.1%2.0%-36.8K8.3M-18.7K0.6744.12N/AN/A1971315,6703,780
2009-07-14$36.34$40.0060.1%19.1%46.9%0.0%65.3%0.1%5.8%-33.8K8.0M-20.4K0.4742.58N/AN/A91435,7573,822
2009-07-15$38.35$40.0051.6%19.1%51.2%0.0%66.3%1.3%4.9%-86.3K7.2M-21.8K0.0438.10N/AN/A481185,7923,840
2009-07-16$38.57$40.0065.7%18.8%50.4%0.0%65.7%0.1%4.9%-63.3K7.0M-21.5K2.1145.86N/AN/A36765,8933,678
2009-07-17$39.03$40.0063.5%18.2%50.6%0.0%62.6%1.1%7.4%-23.2K7.2M-20.9K0.3225.16N/AN/A136445,6193,676
2009-07-20$40.56$40.0062.0%17.8%53.0%0.0%62.9%1.1%9.4%2.8K781.5K-21.9K0.3936.87N/AN/A4281652,6811,923
2009-07-21$39.85$40.0061.5%17.6%47.3%0.0%63.3%-2.2%4.7%12.5K875.1K-23.3K0.6551.73N/AN/A2431592,9872,073
2009-07-22$40.54$40.0061.2%17.6%47.4%0.0%60.6%1.6%5.5%20.3K677.4K-25.6K0.7734.05N/AN/A64493,1462,194
2009-07-23$40.96$40.0060.6%17.4%47.4%0.0%60.4%2.5%5.4%23.2K415.2K-26.0K0.1452.94N/AN/A264373,1752,227
2009-07-24$41.76$40.0060.5%17.3%47.4%0.0%59.7%2.0%5.9%39.3K-171.9K-27.1K0.2655.63N/AN/A50133,3612,258
2009-07-27$42.65$40.0059.6%17.1%47.9%0.0%59.5%2.1%5.6%49.4K-797.8K-27.6K0.1152.03N/AN/A175203,4102,260
2009-07-28$40.75$40.0061.0%17.5%48.9%0.0%59.2%-0.8%3.3%46.5K172.2K-25.1K0.7161.90N/AN/A2461753,3972,194
2009-07-29$38.22$40.0060.3%17.3%51.7%0.0%60.7%-0.6%5.7%31.5K1.5M-23.8K0.2165.85N/AN/A277593,5502,290
2009-07-30$39.17$40.0060.7%17.4%51.6%0.0%60.7%1.1%7.2%37.7K871.3K-24.6K1.1768.35N/AN/A66773,5562,302
2009-07-31$42.00$40.0060.0%17.2%53.5%0.0%59.3%5.8%5.4%54.2K-448.7K-26.8K0.3467.79N/AN/A3191093,5952,371