AGQ Options History — January 2010

In January 2010, AGQ traded between $51.32 and $69.38. ATM implied volatility averaged 58.6%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 17.6%. IV traded below realized volatility by 3.0% (HV 20d: 61.6%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 3 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.79.

Notable Days

  • 2010-01-20: Highest Volume — 3,365 contracts
  • 2010-01-14: Largest IV spike — 34.3% change
  • 2010-01-28: Highest IV Rank — 52.6%
  • 2010-01-05: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.85$51.32$69.38$60.73$51.32
Max Pain$62.63$60.00$65.00$60.00$65.00
ATM IV58.6%44.1%65.3%64.4%64.7%
Expected Move17.6%15.5%19.4%18.3%18.6%
HV 20d61.6%52.6%68.6%60.4%66.9%
HV 60d62.7%61.2%66.4%61.2%62.6%
IV Rank31.1%0.0%52.6%39.1%51.1%
IV Percentile7.4%0.0%21.0%12.5%19.7%
Term Structure5.5%1.0%10.2%1.0%3.1%
VWIV61.7%54.7%67.1%64.9%64.6%
Skew 25d0.5%-3.4%4.6%1.8%-0.8%
Skew 10d1.6%-5.1%7.6%1.6%-1.1%
Call IV 25d61.7%55.3%67.6%65.0%65.5%
Put IV 25d62.2%55.3%68.1%66.8%64.8%
Bid-Ask Spread %23.4110.9848.8414.8324.67
Gamma HHI0.180.110.410.150.14
Net GEX-108.0K-294.2K137.9K-74.0K-171.0K
Net DEX1.4M-10.6M17.1M4.5M16.4M
Net VEX-81.0K-89.5K-75.2K-75.2K-78.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.222.450.680.22
Total Volume1,258.7375173,365772652
Total OI13,671.94710,43915,81012,28615,810

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$60.73$60.0064.4%18.3%60.4%39.1%64.9%1.8%1.0%-74.0K4.5M-75.2K0.6814.83N/AN/A4593135,4806,806
2010-01-05$62.66$60.0060.6%19.4%59.9%27.3%67.1%3.9%3.4%-64.5K1.6M-77.9K0.5615.72N/AN/A4782675,7286,963
2010-01-06$65.24$60.0059.5%18.3%60.4%24.1%64.6%-0.0%2.7%-68.1K-3.2M-81.6K0.3410.98N/AN/A8212755,8057,115
2010-01-07$65.43$60.0060.2%17.9%55.8%26.2%63.1%-0.1%3.2%-51.5K-4.4M-82.0K0.7012.84N/AN/A6444536,0327,159
2010-01-08$67.31$60.0054.4%17.7%55.9%8.7%62.3%-0.7%3.4%-39.8K-7.8M-82.5K0.8913.86N/AN/A5785176,2367,218
2010-01-11$67.80$60.0049.3%17.2%55.8%0.0%62.4%0.2%7.3%-98.4K-10.1M-81.5K0.2816.96N/AN/A1,0102846,4527,413
2010-01-12$65.31$60.0054.9%17.5%56.5%15.9%61.7%0.5%2.3%-9.2K-3.6M-80.8K0.9519.34N/AN/A4484246,6757,548
2010-01-13$68.06$60.0044.1%16.7%57.6%0.0%63.0%4.6%7.1%-176.8K-8.9M-77.6K1.3118.93N/AN/A4075326,6767,652
2010-01-14$68.51$60.0059.2%17.0%57.6%37.5%58.0%1.9%8.4%-294.2K-9.8M-78.0K0.3822.65N/AN/A8023016,7917,914
2010-01-15$66.64$65.0056.7%16.3%58.1%31.3%57.1%-0.4%7.1%91.9K-6.7M-80.3K0.6823.22N/AN/A3082097,2638,113
2010-01-19$69.38$65.0054.2%15.5%52.6%25.0%54.7%0.1%9.0%137.9K-10.6M-77.4K0.4920.28N/AN/A6012934,8945,545
2010-01-20$62.96$65.0055.1%15.8%64.5%27.2%55.6%0.3%10.2%53.0K-3.0M-79.5K2.4526.94N/AN/A9762,3895,1435,703
2010-01-21$59.34$65.0058.9%16.9%67.1%36.7%57.1%-1.4%8.8%-128.8K3.6M-87.1K1.8939.53N/AN/A8391,5895,5967,106
2010-01-22$57.15$65.0061.8%17.7%68.6%43.9%60.1%2.4%5.2%-256.1K11.8M-86.5K0.8231.60N/AN/A1,1069105,8388,118
2010-01-25$57.46$65.0063.1%18.1%68.3%47.0%61.9%1.2%4.7%-245.2K10.4M-89.5K0.3132.43N/AN/A6492036,1308,310
2010-01-26$54.79$65.0063.2%18.1%68.1%47.5%64.0%-0.8%8.2%-235.6K13.3M-84.0K0.8248.84N/AN/A9587876,2338,368
2010-01-27$53.70$65.0064.2%18.4%68.2%49.9%63.8%0.5%5.9%-218.6K15.2M-81.5K0.5124.85N/AN/A4702406,4058,408
2010-01-28$51.43$65.0065.3%18.7%67.7%52.6%65.6%-3.4%3.6%-203.7K17.1M-77.0K0.6326.23N/AN/A1,0556696,6268,495
2010-01-29$51.32$65.0064.7%18.6%66.9%51.1%64.6%-0.8%3.1%-171.0K16.4M-78.5K0.2224.67N/AN/A5331197,1548,656