AGQ Options History — December 2009

In December 2009, AGQ traded between $55.97 and $73.89. ATM implied volatility averaged 67.0%, placing in the 46.9% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded above realized volatility by 8.6% (HV 20d: 58.4%). Max pain ranged from $60.00 to $70.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.08.

Notable Days

  • 2009-12-04: Highest Volume — 3,180 contracts
  • 2009-12-22: Largest IV drop — 8.8% change
  • 2009-12-11: Highest IV Rank — 72.4%
  • 2009-12-08: Largest Expected Move — 22.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.73$55.97$73.89$73.00$56.15
Max Pain$65.91$60.00$70.00$60.00$70.00
ATM IV67.0%57.0%75.4%71.6%60.0%
Expected Move19.4%16.3%22.0%20.5%17.2%
HV 20d58.4%50.9%65.5%63.1%51.2%
HV 60d63.0%59.2%65.1%62.9%59.2%
IV Rank46.9%16.4%72.4%60.8%25.7%
IV Percentile28.8%0.5%68.8%46.9%2.8%
Term Structure1.2%-5.5%10.1%1.1%4.6%
VWIV68.2%56.0%74.9%73.8%60.7%
Skew 25d0.3%-2.9%3.8%1.2%-1.4%
Skew 10d-0.3%-13.8%6.7%-1.2%-13.8%
Call IV 25d67.9%56.1%75.9%72.9%60.9%
Put IV 25d68.3%56.8%75.3%74.0%59.5%
Bid-Ask Spread %50.8624.2371.9563.0536.20
Gamma HHI0.160.130.220.160.16
Net GEX-57.2K-245.2K399.3K392.7K-97.7K
Net DEX1.5M-24.6M12.7M-23.6M9.5M
Net VEX-80.8K-93.3K-70.6K-88.9K-72.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.080.262.860.670.62
Total Volume1,188.8181523,1801,977152
Total OI16,485.1829,51221,13016,50912,205

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$73.00$60.0071.6%20.5%63.1%60.8%73.8%1.2%1.1%392.7K-23.6M-88.9K0.6763.05N/AN/A1,1867918,4658,044
2009-12-02$73.89$60.0073.9%21.2%54.6%67.8%74.4%-1.8%-1.4%399.3K-24.6M-91.7K2.8663.89N/AN/A4391,2548,4298,333
2009-12-03$71.88$65.0069.4%19.9%56.2%54.4%73.7%-2.3%2.2%282.8K-20.0M-93.3K0.7264.94N/AN/A5974278,4979,006
2009-12-04$68.43$70.0070.0%20.3%59.7%55.9%72.4%-1.5%-2.3%148.1K-12.9M-88.6K1.5624.23N/AN/A1,2441,9368,8069,247
2009-12-07$65.79$65.0071.8%21.3%61.7%61.5%73.3%3.8%-4.1%25.9K-6.1M-93.0K0.6826.20N/AN/A7545129,21310,163
2009-12-08$61.81$65.0070.0%22.0%65.5%56.2%74.0%-2.9%-3.8%-107.4K2.1M-88.1K1.6734.74N/AN/A8931,4929,17810,349
2009-12-09$60.65$65.0070.3%21.5%64.8%57.1%74.3%0.3%-5.5%-213.8K7.5M-86.3K0.9636.91N/AN/A7236929,10411,000
2009-12-10$60.36$65.0074.1%21.2%63.9%68.4%73.4%0.2%-2.5%-239.3K8.4M-83.2K0.8041.30N/AN/A3843079,23711,165
2009-12-11$58.62$65.0075.4%21.6%63.0%72.4%74.9%-0.4%-4.1%-239.0K11.5M-80.9K0.8046.20N/AN/A5304269,35311,306
2009-12-14$59.98$65.0072.4%20.8%62.9%63.4%72.7%2.8%-1.4%-219.8K8.7M-77.8K1.4542.52N/AN/A4616679,20511,242
2009-12-15$60.28$65.0069.0%19.8%50.9%53.1%71.2%1.7%1.6%-193.4K8.1M-77.6K1.2040.52N/AN/A3524229,32211,374
2009-12-16$62.14$65.0067.0%19.2%52.2%47.0%68.3%1.1%3.9%-133.3K4.8M-79.3K0.8660.85N/AN/A3352889,46511,648
2009-12-17$57.97$65.0069.0%19.8%56.5%52.9%69.2%0.7%1.9%-245.2K12.7M-71.7K0.8943.90N/AN/A7396599,40111,679
2009-12-18$59.13$65.0068.2%19.6%57.4%50.7%68.7%3.2%0.3%-185.5K11.7M-72.8K2.0147.61N/AN/A5161,0399,62511,505
2009-12-21$57.28$65.0064.0%18.4%58.0%37.9%63.8%-0.3%1.8%-79.6K3.6M-70.6K0.2659.01N/AN/A9522434,2335,279
2009-12-22$57.09$65.0058.4%16.7%57.8%20.7%59.6%-1.1%10.1%-69.9K3.6M-73.5K0.8062.91N/AN/A4233404,6445,431
2009-12-23$58.02$65.0059.2%17.0%58.5%23.2%61.8%1.9%5.4%-70.2K3.0M-75.7K2.7159.85N/AN/A4271,1594,7045,598
2009-12-24$60.69$70.0057.0%16.3%60.1%16.4%56.0%0.7%5.3%-119.7K4.9M-82.3K0.5171.95N/AN/A4862504,9916,611
2009-12-28$60.87$70.0060.9%17.5%56.7%28.4%61.1%2.6%4.4%-98.8K4.2M-81.2K0.3364.05N/AN/A225755,1466,648
2009-12-29$57.95$70.0062.2%17.8%58.0%32.4%61.4%-1.7%2.5%-94.0K7.2M-76.1K1.1765.19N/AN/A2683145,2026,618
2009-12-30$55.97$70.0060.1%17.2%51.6%26.0%60.7%0.2%5.6%-100.7K9.7M-72.0K0.3062.89N/AN/A5961795,3126,691
2009-12-31$56.15$70.0060.0%17.2%51.2%25.7%60.7%-1.4%4.6%-97.7K9.5M-72.6K0.6236.20N/AN/A94585,4056,800