AGQ Options History — October 2009

In October 2009, AGQ traded between $53.13 and $65.48. ATM implied volatility averaged 69.3%, placing in the 54.0% IV rank vs the trailing year. The 30-day expected move averaged 20.4%. IV traded above realized volatility by 5.9% (HV 20d: 63.4%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.89.

Notable Days

  • 2009-10-27: Highest Volume — 1,374 contracts
  • 2009-10-15: Largest IV spike — 13.2% change
  • 2009-10-12: Highest IV Rank — 68.5%
  • 2009-10-12: Largest Expected Move — 21.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.90$53.13$65.48$55.24$54.59
Max Pain$59.55$55.00$60.00$55.00$60.00
ATM IV69.3%63.8%74.1%67.7%71.6%
Expected Move20.4%18.5%21.9%19.4%20.5%
HV 20d63.4%53.5%68.0%63.8%68.0%
HV 60d61.0%58.6%63.4%58.6%63.4%
IV Rank54.0%37.1%68.5%49.1%61.0%
IV Percentile34.6%9.3%56.0%24.3%47.4%
Term Structure0.9%-2.8%5.3%5.2%-0.9%
VWIV71.3%64.9%76.2%69.3%71.2%
Skew 25d-0.3%-4.0%3.6%-3.8%0.5%
Skew 10d-1.1%-7.0%4.7%-3.3%-7.0%
Call IV 25d71.6%66.0%77.3%70.5%70.6%
Put IV 25d71.3%64.9%75.9%66.7%71.2%
Bid-Ask Spread %23.038.1849.8746.0829.32
Gamma HHI0.130.090.210.120.11
Net GEX135.8K23.6K284.0K69.4K44.1K
Net DEX-8.5M-15.2M787.7K-5.4M-45.2K
Net VEX-59.3K-65.7K-51.7K-52.6K-63.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.381.630.740.71
Total Volume639.6362021,374510377
Total OI10,432.9098,89712,4769,14612,476

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$55.24$55.0067.7%19.4%63.8%49.1%69.3%-3.8%5.2%69.4K-5.4M-52.6K0.7446.08N/AN/A2932174,6474,499
2009-10-02$53.65$55.0064.7%18.5%57.6%39.8%64.9%-1.1%5.3%50.3K-3.6M-51.7K1.0344.54N/AN/A2933034,7874,629
2009-10-05$57.07$60.0068.5%20.6%61.7%51.5%72.1%3.3%-2.8%75.1K-5.7M-53.9K0.8411.91N/AN/A1771494,8464,870
2009-10-06$61.92$60.0070.8%21.2%67.7%58.5%73.9%-1.3%-0.1%136.3K-11.0M-57.0K0.7610.75N/AN/A7285554,9014,911
2009-10-07$63.37$60.0071.3%21.5%67.6%59.9%75.3%-0.3%-0.9%173.5K-12.5M-58.7K0.699.23N/AN/A2861965,0615,047
2009-10-08$65.24$60.0071.3%21.4%66.9%60.0%75.7%-2.3%0.9%188.1K-14.6M-59.8K0.7810.72N/AN/A5474265,1145,113
2009-10-09$64.54$60.0066.7%21.7%67.1%46.1%74.6%-1.4%-1.5%198.3K-13.8M-61.6K1.078.49N/AN/A2522695,1945,340
2009-10-12$64.84$60.0074.1%21.9%66.0%68.5%76.2%-0.5%-2.0%221.1K-14.1M-61.0K1.0611.76N/AN/A1081145,2215,398
2009-10-13$64.86$60.0065.7%21.2%63.3%43.1%73.9%1.8%2.7%252.1K-14.0M-59.7K0.638.18N/AN/A3041935,2645,418
2009-10-14$65.48$60.0063.8%21.1%61.7%37.1%73.9%2.8%0.9%284.0K-15.2M-59.6K0.5610.00N/AN/A1951105,3635,460
2009-10-15$61.78$60.0072.2%20.7%64.8%62.7%71.7%0.1%1.3%238.2K-10.1M-55.0K1.4012.81N/AN/A2583615,2635,489
2009-10-16$62.56$60.0071.7%20.6%64.0%61.3%71.5%-3.9%0.8%120.3K-10.5M-57.6K0.888.95N/AN/A3022675,3535,672
2009-10-19$64.35$60.0069.9%20.0%64.0%55.7%69.5%3.6%4.4%115.8K-9.4M-55.6K0.9410.05N/AN/A3303094,5944,303
2009-10-20$62.72$60.0066.5%19.1%63.5%45.5%68.4%-4.0%3.5%119.2K-8.8M-59.3K0.3815.09N/AN/A7142734,7604,433
2009-10-21$63.69$60.0067.3%19.3%62.1%48.0%67.8%0.6%1.2%152.4K-10.0M-63.6K0.6736.79N/AN/A3662465,2784,597
2009-10-22$63.49$60.0068.1%19.5%55.5%50.3%67.9%-0.6%3.8%150.1K-9.4M-64.7K1.1731.66N/AN/A931095,5004,744
2009-10-23$64.11$60.0066.2%19.0%53.5%44.6%66.1%0.2%4.6%158.6K-10.1M-65.7K0.7431.34N/AN/A3422525,5474,840
2009-10-26$59.87$60.0070.2%20.1%60.0%56.6%70.2%-1.3%-1.5%101.9K-5.7M-61.6K0.7241.06N/AN/A4763455,7244,997
2009-10-27$56.53$60.0071.5%20.5%64.0%60.5%70.4%0.9%0.0%60.7K-2.2M-60.5K1.6349.87N/AN/A5238515,8785,130
2009-10-28$53.13$60.0072.0%20.6%64.2%62.0%72.2%-2.3%-1.9%23.6K787.7K-59.6K0.8327.10N/AN/A4603806,0925,727
2009-10-29$56.68$60.0073.0%20.9%67.4%65.2%71.4%2.1%-2.5%55.4K-1.8M-63.4K1.2741.00N/AN/A3184056,1575,887
2009-10-30$54.59$60.0071.6%20.5%68.0%61.0%71.2%0.5%-0.9%44.1K-45.2K-63.4K0.7129.32N/AN/A2201576,3666,110