AGQ Options History — August 2009

In August 2009, AGQ traded between $40.52 and $48.27. ATM implied volatility averaged 67.3%, placing in the 46.1% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded above realized volatility by 7.3% (HV 20d: 60.0%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.59.

Notable Days

  • 2009-08-17: Highest Volume — 2,319 contracts
  • 2009-08-13: Largest IV spike — 12.8% change
  • 2009-08-26: Highest IV Rank — 47.8%
  • 2009-08-17: Largest Expected Move — 20.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.21$40.52$48.27$43.76$46.68
Max Pain$44.05$40.00$45.00$40.00$45.00
ATM IV67.3%60.8%72.1%60.8%66.5%
Expected Move19.5%17.4%20.7%17.4%19.1%
HV 20d60.0%51.1%69.3%54.5%59.9%
HV 60d64.3%60.0%67.2%63.1%60.0%
IV Rank46.1%43.5%47.8%45.7%45.5%
IV Percentile21.9%19.4%23.6%21.4%21.5%
Term Structure3.6%0.2%7.6%3.7%5.6%
VWIV67.4%60.5%71.9%60.5%66.7%
Skew 25d1.0%-4.0%4.8%0.9%4.8%
Skew 10d0.2%-10.1%7.6%-1.4%7.5%
Call IV 25d67.3%59.3%72.2%59.3%64.1%
Put IV 25d68.3%60.2%72.5%60.2%68.9%
Bid-Ask Spread %53.0720.0972.4762.2043.55
Gamma HHI0.220.150.300.180.26
Net GEX67.3K-68.9K139.3K62.2K105.0K
Net DEX-1.4M-5.7M2.6M-1.8M-3.0M
Net VEX-31.8K-35.9K-28.6K-29.2K-35.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.590.069.791.340.16
Total Volume535.0481012,319304162
Total OI7,529.1436,1199,1716,1197,615

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$43.76$40.0060.8%17.4%54.5%0.0%60.5%0.9%3.7%62.2K-1.8M-29.2K1.3462.20N/AN/A1301743,6602,459
2009-08-04$45.79$40.0064.2%18.4%54.8%0.0%65.2%-1.1%3.3%64.4K-3.0M-30.5K0.1754.45N/AN/A8631473,6922,557
2009-08-05$46.81$40.0064.4%18.5%52.1%0.0%65.0%0.2%4.1%126.2K-4.3M-32.7K0.3760.65N/AN/A201744,3032,590
2009-08-06$45.77$40.0067.5%19.4%53.4%0.0%67.4%-4.0%3.2%113.8K-3.5M-32.3K0.7865.46N/AN/A2411874,3022,623
2009-08-07$45.72$45.0068.6%20.6%51.1%0.0%71.9%-1.2%0.2%110.6K-3.7M-32.8K1.9266.76N/AN/A601154,3022,691
2009-08-10$44.44$45.0067.9%20.1%53.0%0.0%68.3%-0.5%0.5%91.0K-2.0M-30.4K1.4658.54N/AN/A1221784,3172,795
2009-08-11$44.07$45.0066.6%20.0%53.4%0.0%68.8%3.6%1.9%87.2K-1.6M-30.6K1.7170.24N/AN/A661134,3432,886
2009-08-12$45.57$45.0061.9%19.7%51.6%0.0%68.4%4.1%4.0%100.6K-2.7M-31.5K1.0558.97N/AN/A4975244,4022,961
2009-08-13$48.27$45.0069.8%20.0%54.4%0.0%69.0%3.3%3.7%139.3K-5.7M-35.0K0.1072.24N/AN/A616624,6693,319
2009-08-14$46.06$45.0070.3%20.2%58.2%0.0%68.3%0.7%1.8%120.6K-3.7M-34.1K9.7959.61N/AN/A1321,2924,7783,314
2009-08-17$41.71$45.0072.1%20.7%68.4%0.0%71.3%1.7%2.5%-68.9K2.3M-31.6K3.8672.47N/AN/A4771,8424,8844,287
2009-08-18$41.46$45.0070.1%20.1%68.0%0.0%69.2%0.1%3.5%5.8K1.8M-30.0K1.9259.09N/AN/A1913665,0013,795
2009-08-19$40.52$45.0071.9%20.6%68.3%0.0%69.6%2.0%2.9%4922.6M-28.6K0.9520.09N/AN/A1811725,0003,737
2009-08-20$41.04$45.0067.2%19.3%68.4%0.0%67.4%0.6%5.3%-9.7K1.7M-29.0K1.4641.27N/AN/A801175,0903,744
2009-08-21$42.58$45.0068.3%19.6%69.3%0.0%67.8%0.1%4.4%29.7K-69.5K-29.9K0.4943.33N/AN/A68335,0923,744
2009-08-24$42.29$45.0068.6%19.7%69.0%0.0%66.5%-1.2%1.8%46.6K311.4K-30.2K0.5558.51N/AN/A2821563,8542,759
2009-08-25$43.24$45.0066.6%19.1%67.3%45.7%67.1%0.8%5.4%58.3K-240.4K-32.0K0.0637.62N/AN/A285174,0442,858
2009-08-26$43.39$45.0067.3%19.3%62.4%47.8%66.9%1.7%4.4%68.1K-529.0K-32.9K0.5756.02N/AN/A105604,2262,845
2009-08-27$43.16$45.0067.3%19.3%62.2%47.8%65.5%2.3%5.3%69.5K-476.5K-32.7K4.0626.13N/AN/A863494,2782,887
2009-08-28$45.98$45.0065.9%18.9%61.3%43.5%65.0%1.6%7.6%92.8K-2.6M-35.9K0.7027.30N/AN/A2431704,3043,105
2009-08-31$46.68$45.0066.5%19.1%59.9%45.5%66.7%4.8%5.6%105.0K-3.0M-35.6K0.1643.55N/AN/A140224,3943,221