AGQ Options History — September 2009

In September 2009, AGQ traded between $47.64 and $63.23. ATM implied volatility averaged 75.2%, placing in the 71.9% IV rank vs the trailing year. The 30-day expected move averaged 21.7%. IV traded above realized volatility by 16.2% (HV 20d: 59.1%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.99.

Notable Days

  • 2009-09-03: Highest Volume — 1,420 contracts
  • 2009-09-02: Largest IV spike — 12.2% change
  • 2009-09-17: Highest IV Rank — 90.7%
  • 2009-09-08: Largest Expected Move — 23.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.82$47.64$63.23$47.64$57.25
Max Pain$49.52$45.00$55.00$45.00$55.00
ATM IV75.2%64.6%81.4%64.6%69.5%
Expected Move21.7%18.5%23.4%18.5%19.9%
HV 20d59.1%47.3%66.4%58.2%64.5%
HV 60d58.6%56.5%62.8%59.8%58.6%
IV Rank71.9%39.6%90.7%39.6%54.6%
IV Percentile58.4%13.7%86.6%13.7%31.8%
Term Structure2.0%-1.6%6.9%6.9%1.4%
VWIV76.3%66.0%83.9%66.0%67.1%
Skew 25d0.7%-1.4%4.3%2.7%4.3%
Skew 10d2.1%-3.2%8.5%1.7%7.0%
Call IV 25d75.8%65.0%82.1%65.0%66.7%
Put IV 25d76.5%67.7%82.1%67.7%71.0%
Bid-Ask Spread %35.1415.6253.0338.4450.99
Gamma HHI0.220.080.950.260.12
Net GEX294.8K47.7K3.0M120.8K76.6K
Net DEX-11.1M-20.4M-4.2M-4.2M-6.4M
Net VEX-47.9K-53.3K-36.4K-36.4K-53.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.990.183.020.740.40
Total Volume733.0482741,420479535
Total OI9,205.2866,70911,1077,7489,013

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$47.64$45.0064.6%18.5%58.2%39.6%66.0%2.7%6.9%120.8K-4.2M-36.4K0.7438.44N/AN/A2752044,5163,232
2009-09-02$50.45$45.0072.5%20.8%61.1%63.5%72.2%-0.6%1.2%122.8K-6.6M-37.6K0.4032.09N/AN/A5842354,5903,377
2009-09-03$54.82$45.0071.3%20.4%66.4%60.1%72.7%1.6%6.9%139.7K-11.1M-42.6K0.9323.14N/AN/A7376834,9033,464
2009-09-04$55.45$45.0076.0%22.5%66.3%74.5%79.6%2.2%-1.6%134.9K-11.3M-45.9K0.1834.65N/AN/A1,1482035,2103,850
2009-09-08$56.58$45.0081.1%23.4%64.8%89.8%82.2%0.0%0.3%242.2K-14.2M-48.2K0.9018.16N/AN/A4343925,9933,997
2009-09-09$55.82$50.0076.0%23.1%65.0%74.2%79.9%0.5%-1.1%222.1K-13.1M-48.9K0.7035.90N/AN/A4413086,1224,206
2009-09-10$58.24$50.0080.4%23.0%65.5%87.7%80.4%0.1%1.1%234.1K-15.8M-48.4K0.3028.42N/AN/A6591966,2064,277
2009-09-11$58.84$50.0080.8%23.2%63.3%89.0%80.0%-1.4%0.3%247.5K-17.3M-51.1K0.6715.62N/AN/A3212166,4264,375
2009-09-14$57.26$50.0080.0%22.9%61.3%86.5%80.6%1.2%-0.6%245.2K-15.2M-49.2K0.6038.55N/AN/A3442066,4804,446
2009-09-15$60.57$50.0080.5%23.1%47.6%88.1%80.8%-0.5%-1.5%294.4K-18.3M-48.8K0.6031.55N/AN/A3682216,3914,599
2009-09-16$63.23$50.0080.6%23.1%47.4%88.4%83.9%1.2%0.8%307.9K-20.4M-49.4K0.6425.31N/AN/A5773686,1954,638
2009-09-17$61.84$50.0081.4%23.3%47.3%90.7%81.7%1.2%-0.1%353.6K-18.7M-50.1K1.2628.27N/AN/A1832316,2094,846
2009-09-18$60.10$50.0079.0%22.6%50.4%83.5%79.1%-0.8%1.3%3.0M-16.6M-49.1K3.0238.74N/AN/A2668036,1984,909
2009-09-21$58.84$50.0076.5%21.9%51.9%75.8%79.1%-0.5%5.2%62.6K-7.2M-46.4K0.7038.08N/AN/A4703283,4983,211
2009-09-22$61.16$50.0074.5%21.4%51.7%69.8%76.6%2.4%4.0%90.8K-9.1M-49.9K1.3738.93N/AN/A1902603,7993,350
2009-09-23$58.98$50.0072.8%20.9%55.2%64.6%73.1%-0.1%4.9%85.2K-8.1M-50.1K0.6553.03N/AN/A3572333,9313,560
2009-09-24$54.90$50.0071.8%20.6%63.3%61.7%73.6%-0.2%3.9%71.6K-5.8M-49.1K1.1738.30N/AN/A5146004,1053,560
2009-09-25$53.16$50.0070.9%20.3%64.9%58.6%71.2%0.5%2.5%57.8K-4.3M-49.7K1.8241.03N/AN/A2424404,3693,892
2009-09-28$54.15$55.0069.7%20.0%62.0%55.0%71.5%0.9%3.2%47.7K-4.3M-51.1K1.4039.96N/AN/A1452034,4044,184
2009-09-29$54.00$55.0069.7%20.0%62.0%55.1%69.9%0.5%2.0%51.9K-4.2M-50.5K2.4248.75N/AN/A801944,4784,302
2009-09-30$57.25$55.0069.5%19.9%64.5%54.6%67.1%4.3%1.4%76.6K-6.4M-53.3K0.4050.99N/AN/A3821534,5504,463