AGQ Options History — November 2009

In November 2009, AGQ traded between $54.88 and $71.24. ATM implied volatility averaged 70.8%, placing in the 58.4% IV rank vs the trailing year. The 30-day expected move averaged 20.4%. IV traded above realized volatility by 2.9% (HV 20d: 67.8%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.18.

Notable Days

  • 2009-11-03: Highest Volume — 6,603 contracts
  • 2009-11-27: Largest IV spike — 11.2% change
  • 2009-11-20: Highest IV Rank — 68.7%
  • 2009-11-20: Largest Expected Move — 21.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.79$54.88$71.24$54.88$68.37
Max Pain$56.75$55.00$60.00$60.00$60.00
ATM IV70.8%65.0%74.2%72.0%71.7%
Expected Move20.4%18.6%21.3%20.6%20.5%
HV 20d67.8%59.7%75.3%64.1%60.2%
HV 60d63.4%60.8%66.0%63.4%61.6%
IV Rank58.4%40.9%68.7%62.1%61.2%
IV Percentile43.3%11.6%63.3%50.0%48.2%
Term Structure0.7%-4.3%4.8%-0.9%2.1%
VWIV71.7%67.1%74.7%72.4%74.7%
Skew 25d1.5%-1.4%5.0%-1.4%1.8%
Skew 10d3.0%-7.2%10.1%-7.2%4.9%
Call IV 25d71.0%65.8%74.1%73.1%73.9%
Put IV 25d72.5%66.4%76.4%71.6%75.6%
Bid-Ask Spread %50.8630.3168.4036.8264.32
Gamma HHI0.180.110.350.110.14
Net GEX346.6K56.0K626.3K56.0K277.1K
Net DEX-17.0M-33.5M-749.9K-749.9K-15.4M
Net VEX-79.3K-88.1K-63.9K-63.9K-84.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.093.830.091.76
Total Volume1,402.054226,6031,9341,290
Total OI16,814.3512,68819,97812,68815,982

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$54.88$60.0072.0%20.6%64.1%62.1%72.4%-1.4%-0.9%56.0K-749.9K-63.9K0.0936.82N/AN/A1,7711636,4816,207
2009-11-03$60.58$60.0073.4%21.0%67.3%66.4%73.4%3.1%2.6%358.7K-11.5M-78.5K0.6733.02N/AN/A3,9562,6478,0116,329
2009-11-04$61.52$60.0073.5%21.1%67.0%66.7%74.0%0.9%0.2%375.0K-13.2M-84.1K0.4842.44N/AN/A5972868,8067,091
2009-11-05$61.45$60.0070.1%20.1%66.0%56.4%71.3%-0.7%4.8%394.4K-13.9M-88.1K2.6241.91N/AN/A1263308,9897,277
2009-11-06$61.21$55.0068.5%20.1%65.9%51.6%72.3%0.7%2.9%251.6K-10.5M-88.0K1.3139.67N/AN/A2553339,0318,241
2009-11-09$62.55$55.0068.5%19.6%66.5%51.6%70.2%1.2%3.7%319.5K-14.1M-87.8K0.6750.85N/AN/A4503009,1188,473
2009-11-10$60.58$55.0068.9%19.9%67.3%52.7%69.8%1.2%2.7%249.9K-9.0M-86.1K0.1955.31N/AN/A5581079,2548,664
2009-11-11$62.44$55.0068.7%20.5%68.2%52.0%69.8%-0.2%-1.3%308.0K-13.6M-83.8K3.8352.80N/AN/A3261,2489,2188,722
2009-11-12$59.90$55.0069.7%20.0%66.7%55.3%70.5%-0.7%-0.1%245.0K-7.9M-82.8K0.9554.19N/AN/A2162069,3688,757
2009-11-13$61.37$55.0072.0%20.6%67.1%62.2%70.6%4.6%-4.3%295.5K-10.1M-77.7K2.9154.06N/AN/A2266579,3248,749
2009-11-16$67.71$55.0072.4%20.8%75.3%63.5%73.4%2.5%-1.8%456.4K-27.6M-77.0K1.2230.31N/AN/A1,1301,3749,4119,074
2009-11-17$68.51$55.0073.2%21.0%74.6%65.7%74.5%2.7%-4.0%504.9K-30.5M-76.2K1.3645.31N/AN/A4075529,8179,250
2009-11-18$69.33$55.0073.7%21.1%74.5%67.3%73.1%0.1%-2.2%538.3K-32.8M-77.0K0.5657.40N/AN/A1,1496489,9339,382
2009-11-19$69.38$55.0071.1%20.4%74.5%59.5%72.9%5.0%-1.3%573.7K-33.5M-77.6K0.8037.57N/AN/A56044610,2039,720
2009-11-20$69.11$55.0074.2%21.3%74.5%68.7%72.7%3.3%-2.2%626.3K-30.8M-72.9K0.2266.67N/AN/A78517310,1519,827
2009-11-23$69.48$55.0070.0%20.1%69.5%56.1%70.4%-0.7%2.4%279.3K-16.6M-72.6K0.7260.66N/AN/A5814186,9266,846
2009-11-24$69.22$55.0065.0%18.6%65.3%40.9%67.1%1.6%3.8%276.7K-16.0M-73.0K1.7860.78N/AN/A2975297,2366,969
2009-11-25$71.24$60.0065.5%18.8%59.7%42.5%67.7%0.6%4.3%310.2K-18.7M-75.5K0.8664.65N/AN/A6755807,3757,177
2009-11-27$66.98$60.0072.9%20.9%62.5%64.9%72.7%4.0%2.6%235.8K-13.4M-78.9K0.6168.40N/AN/A1,0516387,6357,263
2009-11-30$68.37$60.0071.7%20.5%60.2%61.2%74.7%1.8%2.1%277.1K-15.4M-84.2K1.7664.32N/AN/A4678238,2637,719