AGQ Options History — April 2010

In April 2010, AGQ traded between $59.16 and $64.95. ATM implied volatility averaged 48.5%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 2.9% (HV 20d: 45.6%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2010-04-19: Highest Volume — 1,882 contracts
  • 2010-04-13: Largest IV drop — 27.2% change
  • 2010-04-16: Highest IV Rank — 38.9%
  • 2010-04-16: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.06$59.16$64.95$60.63$64.95
Max Pain$59.76$55.00$65.00$60.00$65.00
ATM IV48.5%36.4%54.0%45.9%49.7%
Expected Move14.5%13.2%15.5%13.2%14.2%
HV 20d45.6%41.1%52.7%46.1%41.1%
HV 60d58.4%54.5%61.6%61.6%54.5%
IV Rank21.7%0.0%38.9%4.7%29.6%
IV Percentile3.6%0.0%9.5%0.4%5.6%
Term Structure2.6%-0.0%5.7%5.1%1.9%
VWIV50.7%45.4%54.3%48.5%48.2%
Skew 25d1.3%-2.5%4.6%4.6%2.1%
Skew 10d4.6%-1.2%11.4%11.4%3.1%
Call IV 25d50.5%44.5%55.0%44.5%48.4%
Put IV 25d51.9%47.4%55.2%49.1%50.5%
Bid-Ask Spread %30.6213.9446.3743.4837.56
Gamma HHI0.290.120.620.280.13
Net GEX47.9K-419.2K658.7K72.3K48.4K
Net DEX-5.8M-11.1M-56.5K-4.3M-9.7M
Net VEX-64.5K-77.9K-52.0K-63.3K-77.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.171.781.160.73
Total Volume6811211,882955314
Total OI10,737.3338,03312,0729,89612,072

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$60.63$60.0045.9%13.2%46.1%4.7%48.5%4.6%5.1%72.3K-4.3M-63.3K1.1643.48N/AN/A4435124,9754,921
2010-04-05$61.96$55.0051.5%15.3%46.0%19.1%53.3%0.6%0.1%40.7K-6.4M-61.4K0.3325.83N/AN/A6052025,0905,109
2010-04-06$61.05$55.0049.7%14.9%46.0%14.4%53.3%0.2%2.3%80.4K-5.1M-61.7K0.5118.70N/AN/A173895,5145,179
2010-04-07$62.22$55.0049.8%15.2%46.3%14.6%53.0%1.6%1.0%51.7K-7.3M-62.8K0.3722.28N/AN/A2851065,5835,194
2010-04-08$61.72$55.0048.8%15.0%44.1%12.1%53.2%0.2%1.6%69.4K-6.5M-61.2K0.2224.47N/AN/A99225,5835,194
2010-04-09$63.76$55.0046.5%15.0%44.9%6.2%52.7%0.4%1.9%4.7K-10.6M-61.7K0.1926.45N/AN/A474905,6995,208
2010-04-12$62.30$55.0050.0%15.1%45.9%15.1%53.3%-2.5%2.7%64.1K-7.8M-58.1K1.5517.72N/AN/A4076295,8425,234
2010-04-13$62.60$55.0036.4%15.1%45.7%0.0%52.6%2.8%2.7%-131.6K-5.8M-58.7K0.4129.09N/AN/A4571895,8965,728
2010-04-14$63.97$55.0043.2%15.0%44.4%14.6%52.7%0.5%1.7%-184.7K-11.1M-60.4K0.1715.14N/AN/A489846,0375,432
2010-04-15$64.01$55.0051.9%14.9%44.4%33.5%52.1%1.1%2.3%-419.2K-10.7M-59.8K0.8813.94N/AN/A2392116,0465,450
2010-04-16$59.39$55.0054.0%15.5%52.7%38.9%54.3%1.1%1.7%658.7K-56.5K-53.2K1.0922.55N/AN/A6216786,0625,401
2010-04-19$59.16$60.0049.9%14.3%48.7%29.9%51.4%2.1%3.5%126.7K-3.4M-52.0K1.7522.50N/AN/A6841,1984,6673,366
2010-04-20$59.73$65.0047.7%13.7%48.6%25.1%47.8%0.8%4.4%25.9K-664.2K-62.4K0.2429.68N/AN/A7571795,0474,478
2010-04-21$61.63$65.0047.1%13.5%49.4%23.8%47.4%1.9%5.0%52.0K-3.3M-67.7K0.8434.46N/AN/A3262755,4224,606
2010-04-22$60.90$65.0047.2%13.5%45.3%24.0%45.4%0.9%5.1%61.2K-2.2M-68.4K0.3241.30N/AN/A273865,6004,701
2010-04-23$62.60$65.0051.3%14.7%45.8%33.2%48.2%-1.1%2.5%70.4K-5.0M-69.3K0.5940.61N/AN/A3502065,7114,751
2010-04-26$62.81$65.0047.9%13.7%44.6%25.6%49.1%2.3%2.3%91.2K-6.2M-72.1K0.9241.26N/AN/A3122865,8644,830
2010-04-27$62.23$65.0048.6%13.9%42.0%27.2%48.5%3.9%5.7%85.0K-4.8M-72.4K0.3944.88N/AN/A220866,0024,973
2010-04-28$61.50$65.0051.8%14.9%42.1%34.3%51.7%2.5%-0.0%101.8K-3.9M-72.1K1.7844.80N/AN/A4367776,1304,974
2010-04-29$64.12$65.0049.7%14.2%44.0%29.5%48.9%1.9%1.2%36.8K-7.6M-77.5K1.0346.37N/AN/A2132196,3775,536
2010-04-30$64.95$65.0049.7%14.2%41.1%29.6%48.2%2.1%1.9%48.4K-9.7M-77.9K0.7337.56N/AN/A1811336,4455,627