AGQ Options History — February 2010

In February 2010, AGQ traded between $43.70 and $54.28. ATM implied volatility averaged 65.7%, placing in the 53.7% IV rank vs the trailing year. The 30-day expected move averaged 19.0%. IV traded below realized volatility by 8.4% (HV 20d: 74.1%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 2.15.

Notable Days

  • 2010-02-17: Highest Volume — 3,091 contracts
  • 2010-02-04: Largest IV spike — 26.7% change
  • 2010-02-04: Highest IV Rank — 73.7%
  • 2010-02-05: Largest Expected Move — 21.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$48.93$43.70$54.28$54.28$51.86
Max Pain$60.53$55.00$65.00$65.00$55.00
ATM IV65.7%58.3%73.8%62.5%59.8%
Expected Move19.0%16.7%21.7%17.9%17.1%
HV 20d74.1%62.9%83.4%70.2%74.0%
HV 60d65.2%60.1%67.3%60.2%66.0%
IV Rank53.7%35.1%73.7%45.7%38.8%
IV Percentile27.6%3.8%68.1%14.5%6.3%
Term Structure3.5%-1.7%13.7%4.3%4.3%
VWIV66.3%57.5%76.3%62.0%57.5%
Skew 25d2.4%-3.2%7.5%7.5%3.1%
Skew 10d6.0%-8.9%21.0%7.5%21.0%
Call IV 25d65.1%56.0%76.0%58.5%56.0%
Put IV 25d67.5%59.1%75.8%66.0%59.1%
Bid-Ask Spread %51.8928.6281.1735.3176.74
Gamma HHI0.210.140.440.140.23
Net GEX-235.7K-830.9K-153.6K-172.2K-194.4K
Net DEX18.9M8.8M28.9M14.0M8.8M
Net VEX-65.0K-80.7K-56.9K-80.7K-62.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.150.468.950.460.47
Total Volume1,233.2633363,091908632
Total OI17,307.31613,41422,86215,82914,190

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$54.28$65.0062.5%17.9%70.2%45.7%62.0%7.5%4.3%-172.2K14.0M-80.7K0.4635.31N/AN/A6242847,1778,652
2010-02-02$54.20$65.0062.3%17.9%63.5%45.1%61.5%3.1%3.4%-192.7K13.3M-80.7K0.5450.55N/AN/A4902637,1598,727
2010-02-03$52.24$65.0058.3%16.7%62.9%35.1%60.1%-3.2%13.7%-171.6K15.9M-75.6K2.6739.74N/AN/A3569497,3578,803
2010-02-04$45.56$65.0073.8%21.2%74.7%73.7%73.6%-2.6%-1.7%-164.4K23.1M-62.0K2.4028.62N/AN/A6631,5927,4739,266
2010-02-05$44.78$60.0073.5%21.7%74.3%72.8%75.5%-0.8%0.3%-169.9K24.9M-58.8K0.9157.16N/AN/A1,0951,0007,5239,531
2010-02-08$43.70$60.0069.8%21.5%72.2%63.7%76.3%3.9%-1.5%-153.9K25.3M-57.4K1.1635.87N/AN/A4435127,9479,931
2010-02-09$46.13$60.0065.7%19.6%76.5%53.7%68.7%2.2%4.8%-154.0K24.0M-62.2K1.0629.68N/AN/A4765048,10910,169
2010-02-10$44.97$60.0068.2%20.2%76.2%59.7%69.2%2.9%6.0%-153.6K24.6M-56.9K0.9735.11N/AN/A6246058,17310,048
2010-02-11$47.30$60.0068.5%19.6%77.2%60.4%68.3%3.4%0.6%-167.8K23.2M-61.5K0.6377.59N/AN/A5023188,37110,532
2010-02-12$46.55$60.0065.9%18.9%76.7%54.1%61.7%3.4%3.4%-157.3K24.0M-58.9K8.9535.93N/AN/A1511,3518,54910,615
2010-02-16$50.12$60.0066.5%19.1%83.4%55.5%67.7%2.1%4.4%-202.5K21.4M-68.6K0.8676.38N/AN/A8066968,61711,622
2010-02-17$49.44$60.0067.4%19.3%80.9%57.8%66.4%0.3%1.7%-225.8K23.7M-67.6K8.7852.34N/AN/A3162,7758,56212,044
2010-02-18$50.48$60.0066.1%19.0%76.1%54.6%66.3%1.5%3.3%-830.9K28.9M-74.1K4.3053.29N/AN/A1878058,57714,285
2010-02-19$51.10$60.0068.3%19.6%74.3%60.1%69.1%4.0%-0.5%-608.1K19.9M-65.4K1.6372.28N/AN/A9291,5188,47513,166
2010-02-22$50.42$60.0064.9%18.6%73.5%51.5%65.0%5.2%6.6%-198.3K9.6M-63.2K1.2681.17N/AN/A3394275,5697,845
2010-02-23$48.19$60.0062.8%18.0%74.6%46.5%64.7%3.5%3.7%-181.1K12.1M-58.9K1.1356.12N/AN/A1892145,8397,895
2010-02-24$48.62$60.0062.8%18.0%73.4%46.4%63.6%1.7%4.0%-183.6K11.8M-59.8K1.6330.00N/AN/A1282085,9128,011
2010-02-25$49.71$55.0062.2%17.8%73.8%44.8%61.6%4.2%4.7%-195.5K11.2M-59.5K1.0062.08N/AN/A2302315,9978,121
2010-02-26$51.86$55.0059.8%17.1%74.0%38.8%57.5%3.1%4.3%-194.4K8.8M-62.8K0.4776.74N/AN/A4292036,0248,166