AGQ Options History — March 2010

In March 2010, AGQ traded between $51.67 and $57.79. ATM implied volatility averaged 55.2%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded above realized volatility by 4.4% (HV 20d: 50.8%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 17 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 1.13.

Notable Days

  • 2010-03-19: Highest Volume — 1,902 contracts
  • 2010-03-02: Largest IV spike — 9.1% change
  • 2010-03-02: Highest IV Rank — 44.9%
  • 2010-03-02: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.65$51.67$57.79$51.67$57.77
Max Pain$57.17$55.00$65.00$55.00$60.00
ATM IV55.2%46.6%62.2%57.0%46.6%
Expected Move16.0%13.3%17.8%16.3%13.3%
HV 20d50.8%40.3%74.9%74.0%43.2%
HV 60d63.6%61.1%65.8%64.4%61.1%
IV Rank28.1%6.3%44.9%32.1%6.3%
IV Percentile4.1%0.4%14.7%3.6%0.4%
Term Structure2.8%-1.1%9.0%9.0%5.4%
VWIV54.8%34.7%62.0%56.1%47.9%
Skew 25d2.0%-1.9%4.9%2.9%3.5%
Skew 10d4.1%-9.3%14.8%5.8%4.9%
Call IV 25d54.7%46.7%60.6%56.2%46.7%
Put IV 25d56.7%50.3%63.1%59.1%50.3%
Bid-Ask Spread %35.2415.5477.3668.0442.09
Gamma HHI0.210.130.480.240.25
Net GEX-1.3K-264.4K173.8K-182.9K85.7K
Net DEX1.8M-3.6M8.4M8.4M286.2K
Net VEX-60.9K-75.3K-52.7K-62.6K-59.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.116.190.450.59
Total Volume684.0432101,902408594
Total OI13,052.6968,28816,02214,4869,703

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$51.67$55.0057.0%16.3%74.0%32.1%56.1%2.9%9.0%-182.9K8.4M-62.6K0.4568.04N/AN/A2811276,2478,239
2010-03-02$54.66$55.0062.2%17.8%74.1%44.9%62.0%1.3%1.8%-161.4K3.9M-68.0K1.5977.36N/AN/A6039586,3848,287
2010-03-03$56.45$55.0060.2%17.3%74.9%40.0%59.8%4.9%0.8%-135.9K762.2K-72.4K0.5015.54N/AN/A4652346,5738,480
2010-03-04$56.03$55.0060.4%17.3%73.6%40.4%60.1%3.6%1.5%-145.1K1.6M-71.7K6.1924.72N/AN/A1811,1206,6878,513
2010-03-05$57.44$55.0057.5%17.1%51.9%33.2%58.1%4.5%4.5%-264.4K872.4K-75.3K0.2517.07N/AN/A360906,6849,338
2010-03-08$56.66$55.0056.3%17.6%51.6%30.3%60.6%0.7%0.3%34.3K-1.0M-63.5K0.5023.26N/AN/A4422236,7427,645
2010-03-09$57.03$55.0058.0%17.0%49.9%34.5%61.0%-1.1%4.4%71.6K-2.0M-63.5K1.7127.80N/AN/A1793066,9467,619
2010-03-10$55.00$55.0056.1%17.2%50.4%30.1%58.8%-1.9%2.8%37.5K1.5M-61.4K1.3333.40N/AN/A5397186,9577,762
2010-03-11$56.02$55.0058.4%16.7%48.8%36.8%59.0%2.7%2.0%35.8K656.8K-62.5K0.2220.17N/AN/A260577,0667,947
2010-03-12$55.67$55.0057.6%16.5%46.9%34.8%56.8%1.0%3.2%50.5K990.3K-61.6K0.2929.82N/AN/A218637,2347,981
2010-03-15$55.35$55.0058.1%16.7%46.3%36.0%58.7%3.0%2.5%58.5K1.2M-58.5K3.3820.70N/AN/A1043517,3177,995
2010-03-16$57.59$55.0058.6%16.8%41.2%37.2%57.9%1.9%0.9%22.9K-2.6M-59.4K0.1232.54N/AN/A647767,3038,204
2010-03-17$57.79$55.0056.3%16.1%40.5%31.4%57.3%0.4%3.4%63.9K-3.6M-58.8K1.9129.84N/AN/A2995727,3868,073
2010-03-18$57.74$55.0053.2%15.3%40.3%23.5%53.3%0.7%5.5%64.3K-2.7M-55.4K0.1132.52N/AN/A467527,3918,067
2010-03-19$54.76$55.0052.2%15.0%45.5%20.9%34.7%2.6%5.1%173.8K3.2M-53.1K3.0241.42N/AN/A4731,4297,5767,765
2010-03-22$54.28$65.0052.9%15.2%45.3%22.7%52.8%1.8%2.0%-3.7K4.5M-53.5K0.6438.04N/AN/A4622943,9974,291
2010-03-23$55.09$65.0050.0%14.3%41.5%15.1%49.6%1.1%3.0%6.8K4.1M-57.4K0.3040.62N/AN/A239714,2394,641
2010-03-24$52.40$60.0053.3%15.3%46.1%23.8%51.9%2.6%-1.1%4.4K6.5M-52.7K0.3840.03N/AN/A3911484,3744,701
2010-03-25$52.39$60.0051.9%14.9%45.6%20.0%51.8%0.5%0.8%646.5M-53.4K0.6735.50N/AN/A2051374,4224,772
2010-03-26$54.36$60.0051.1%14.6%45.0%18.0%51.5%3.2%3.2%22.6K4.9M-56.3K0.6442.12N/AN/A3081984,5354,865
2010-03-29$57.14$60.0051.5%14.8%48.0%19.1%51.7%3.5%0.7%51.8K1.4M-59.7K0.6530.49N/AN/A3532294,6544,933
2010-03-30$56.71$60.0050.1%14.4%44.2%15.4%49.2%2.2%2.8%78.9K1.7M-59.3K0.5347.36N/AN/A137734,7714,906
2010-03-31$57.77$60.0046.6%13.3%43.2%6.3%47.9%3.5%5.4%85.7K286.2K-59.4K0.5942.09N/AN/A3732214,7834,920