AGQ Options History — May 2010

In May 2010, AGQ traded between $56.68 and $70.53. ATM implied volatility averaged 65.4%, placing in the 64.6% IV rank vs the trailing year. The 30-day expected move averaged 18.7%. IV traded below realized volatility by 1.3% (HV 20d: 66.7%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 1.22.

Notable Days

  • 2010-05-24: Highest Volume — 4,314 contracts
  • 2010-05-11: Largest IV spike — 13.9% change
  • 2010-05-21: Highest IV Rank — 93.9%
  • 2010-05-21: Largest Expected Move — 22.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.88$56.68$70.53$66.05$62.09
Max Pain$62.65$60.00$65.00$65.00$65.00
ATM IV65.4%47.7%78.6%47.7%62.6%
Expected Move18.7%13.7%22.5%13.7%17.9%
HV 20d66.7%40.8%75.3%40.8%75.1%
HV 60d53.3%46.1%56.4%46.1%55.4%
IV Rank64.6%25.1%93.9%25.1%58.2%
IV Percentile48.8%3.2%96.8%3.2%34.9%
Term Structure-0.4%-6.4%6.0%3.5%2.6%
VWIV65.4%47.7%77.9%47.7%64.2%
Skew 25d1.3%-9.9%7.0%-0.4%3.8%
Skew 10d3.7%-7.1%11.7%6.1%6.6%
Call IV 25d65.8%50.7%78.4%50.7%61.7%
Put IV 25d67.1%50.3%79.9%50.3%65.5%
Bid-Ask Spread %48.5534.0887.0844.2952.60
Gamma HHI0.230.060.450.130.09
Net GEX163.5K-95.0K546.2K79.4K-6.6K
Net DEX-4.5M-26.9M15.0M-11.6M4.5M
Net VEX-104.5K-130.8K-67.1K-76.2K-127.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.176.220.430.52
Total Volume1,561.42584,314258320
Total OI17,125.8512,14920,77312,14919,004

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$66.05$65.0047.7%13.7%40.8%25.1%47.7%-0.4%3.5%79.4K-11.6M-76.2K0.4344.29N/AN/A181776,5125,637
2010-05-04$60.05$65.0053.6%15.4%53.5%38.2%57.3%-0.7%0.2%-210-603.1K-71.1K0.1753.00N/AN/A2,0743486,4915,677
2010-05-05$56.68$65.0059.5%17.1%56.6%51.3%55.0%7.0%1.3%46.2K5.1M-67.1K0.2144.90N/AN/A1,2012548,1745,764
2010-05-06$58.20$60.0059.9%17.2%57.6%52.3%60.0%4.6%0.7%156.2K1.9M-76.7K3.5787.08N/AN/A4021,4358,7775,968
2010-05-07$62.83$60.0063.5%18.7%63.1%60.3%65.4%4.6%-1.4%213.4K-7.6M-103.0K1.2850.92N/AN/A6318098,9517,222
2010-05-10$63.52$60.0059.5%18.0%62.6%51.3%62.3%-0.4%-1.4%287.7K-9.3M-96.4K1.2056.56N/AN/A2262718,9267,028
2010-05-11$69.20$60.0067.7%18.6%69.5%69.6%65.5%0.8%-0.2%474.3K-25.0M-100.1K1.2341.95N/AN/A1,1931,4668,9547,154
2010-05-12$70.53$60.0066.5%18.0%69.4%66.9%63.8%-0.9%1.0%480.5K-26.9M-112.6K0.4940.61N/AN/A1,3336589,1897,925
2010-05-13$69.54$60.0064.1%18.4%69.7%61.5%65.0%-2.2%0.1%546.2K-26.1M-113.7K0.8736.74N/AN/A8997839,5088,023
2010-05-14$68.94$60.0068.4%19.6%63.5%71.2%67.9%-0.6%-3.8%477.1K-23.1M-119.1K1.8934.08N/AN/A4799079,9148,439
2010-05-17$65.91$62.0069.3%19.9%66.0%73.2%71.3%-9.9%-3.4%355.0K-14.7M-117.9K1.8639.22N/AN/A42278510,0268,813
2010-05-18$66.35$64.0068.5%19.6%66.0%71.4%69.5%-1.9%-3.1%389.0K-14.2M-116.5K0.4435.91N/AN/A51422810,3288,947
2010-05-19$61.20$64.0072.3%20.7%71.9%79.7%73.2%-0.9%-6.4%-18.1K3.7M-106.2K0.6534.51N/AN/A92559710,6489,058
2010-05-20$57.86$63.0077.1%22.1%74.5%90.5%77.9%1.6%-4.9%-33.1K11.9M-103.2K0.3836.14N/AN/A1,02838711,0889,163
2010-05-21$57.34$60.0078.6%22.5%73.7%93.9%74.3%2.1%-4.5%31.2K15.0M-100.4K6.2249.49N/AN/A5313,30511,5309,243
2010-05-24$59.28$65.0070.3%20.2%74.8%75.4%68.8%4.3%0.8%-62.2K5.1M-108.3K0.9259.37N/AN/A2,2442,0707,5617,476
2010-05-25$58.91$65.0068.0%19.5%74.8%70.2%68.1%6.9%1.5%-95.0K11.9M-116.4K1.1260.82N/AN/A4414959,0059,009
2010-05-26$60.29$65.0066.1%18.9%75.3%66.0%66.6%4.0%6.0%-49.4K7.0M-126.1K0.4658.21N/AN/A5992759,2549,288
2010-05-27$62.81$65.0065.7%18.8%75.2%65.1%65.0%4.3%3.6%-1.5K2.8M-130.8K0.4354.52N/AN/A3041319,5029,341
2010-05-28$62.09$65.0062.6%17.9%75.1%58.2%64.2%3.8%2.6%-6.6K4.5M-127.9K0.5252.60N/AN/A2111099,6009,404