AGQ Options History — June 2010

In June 2010, AGQ traded between $55.56 and $66.79. ATM implied volatility averaged 60.8%, placing in the 54.3% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded below realized volatility by 0.2% (HV 20d: 61.1%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.97.

Notable Days

  • 2010-06-07: Highest Volume — 2,614 contracts
  • 2010-06-22: Largest IV spike — 17.8% change
  • 2010-06-01: Highest IV Rank — 72.2%
  • 2010-06-07: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.07$55.56$66.79$62.12$62.67
Max Pain$62.50$60.00$65.00$65.00$65.00
ATM IV60.8%48.5%68.9%68.9%60.8%
Expected Move17.7%13.9%20.3%19.7%17.4%
HV 20d61.1%52.6%74.8%74.8%58.3%
HV 60d58.3%55.1%59.6%55.2%58.6%
IV Rank54.3%26.9%72.2%72.2%54.3%
IV Percentile31.6%4.4%63.5%63.5%34.1%
Term Structure0.9%-7.5%10.4%0.9%3.1%
VWIV62.6%56.4%72.7%67.8%62.5%
Skew 25d1.2%-16.5%9.8%6.7%0.5%
Skew 10d5.4%-0.1%15.9%9.2%-0.1%
Call IV 25d63.1%57.3%71.6%64.2%65.5%
Put IV 25d64.2%53.4%74.2%70.9%66.0%
Bid-Ask Spread %56.1438.9377.0258.2877.02
Gamma HHI0.130.060.280.100.15
Net GEX26.5K-200.4K972.1K5.6K-200.4K
Net DEX6.4M-11.0M18.5M3.0M4.9M
Net VEX-111.0K-124.1K-94.4K-124.1K-123.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.113.381.430.21
Total Volume809.3182112,614493283
Total OI18,149.0919,94122,90919,19013,746

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$62.12$65.0068.9%19.7%74.8%72.2%67.8%6.7%0.9%5.6K3.0M-124.1K1.4358.28N/AN/A2032909,7049,486
2010-06-02$61.82$65.0063.0%18.1%66.4%59.1%63.3%4.0%4.0%-38.5K7.0M-118.5K1.0447.53N/AN/A1781859,6879,684
2010-06-03$59.42$65.0057.5%16.5%64.6%47.0%58.9%1.0%10.4%-96.0K12.5M-109.9K1.1257.75N/AN/A3373779,7589,781
2010-06-04$55.56$60.0062.5%19.2%68.4%58.0%66.1%0.8%-2.6%-166.7K18.5M-102.3K0.7549.45N/AN/A3732799,72810,057
2010-06-07$60.52$60.0062.0%20.3%69.8%56.9%72.7%9.8%-7.5%-131.1K12.9M-105.2K0.3250.11N/AN/A1,9806349,87310,222
2010-06-08$61.02$60.0063.9%19.6%69.8%61.2%67.4%1.7%-0.6%131.9K8.0M-117.6K0.1951.46N/AN/A62611811,34510,502
2010-06-09$59.92$60.0063.7%19.3%61.7%60.8%67.2%1.3%-1.4%86.2K11.5M-110.1K1.2738.93N/AN/A13417011,40810,510
2010-06-10$60.64$60.0065.4%18.8%61.4%64.6%65.3%0.4%-0.0%106.7K11.2M-108.4K0.4248.21N/AN/A43018211,45510,596
2010-06-11$60.51$60.0066.3%19.0%61.4%66.6%67.0%3.4%-2.3%94.0K12.0M-106.9K0.6048.96N/AN/A25515311,52310,734
2010-06-14$60.70$60.0064.1%18.4%61.5%61.5%64.5%0.1%-0.4%125.6K10.9M-102.4K1.4847.98N/AN/A22333111,64710,864
2010-06-15$62.95$60.0061.5%17.6%61.5%55.8%60.3%-0.4%0.5%237.4K6.8M-100.1K0.8459.46N/AN/A49341511,73211,012
2010-06-16$62.05$60.0060.4%17.3%61.5%53.4%59.9%1.4%0.3%230.6K9.5M-97.8K1.3740.53N/AN/A8912211,80511,068
2010-06-17$63.84$60.0059.5%17.1%55.2%51.4%59.6%1.8%0.5%295.5K4.2M-97.2K0.8750.26N/AN/A43537711,78911,107
2010-06-18$66.79$62.0055.8%16.0%52.6%43.2%56.4%0.4%2.4%972.1K-11.0M-94.4K1.1346.39N/AN/A1,0491,18211,75011,159
2010-06-21$63.59$63.0048.5%13.9%56.1%26.9%58.5%-8.3%5.6%-11.6K-1.0M-104.0K3.3875.71N/AN/A5691,9244,4315,510
2010-06-22$64.22$65.0057.1%16.4%55.1%46.1%57.4%-0.3%3.3%-178.6K2.3M-118.2K1.4649.38N/AN/A2223234,8106,939
2010-06-23$62.44$65.0058.1%16.6%56.2%48.2%58.8%5.3%0.8%-197.2K5.6M-116.2K0.7670.20N/AN/A3342535,0007,168
2010-06-24$62.99$65.0058.7%16.8%55.8%49.6%59.5%8.9%-4.5%-174.9K4.3M-120.4K0.9863.19N/AN/A2772725,2157,300
2010-06-25$65.85$65.0059.2%17.0%56.1%50.7%58.5%1.1%1.9%-156.9K-46.1K-123.0K0.1158.86N/AN/A301325,3207,470
2010-06-28$63.82$65.0061.0%17.5%57.2%54.7%62.3%-16.5%0.5%-157.8K2.1M-120.7K1.0174.84N/AN/A3733775,4777,495
2010-06-29$62.01$65.0060.3%17.3%58.2%53.2%63.1%2.4%4.1%-193.9K6.1M-119.8K0.5670.50N/AN/A4142315,6497,764
2010-06-30$62.67$65.0060.8%17.4%58.3%54.3%62.5%0.5%3.1%-200.4K4.9M-123.5K0.2177.02N/AN/A233505,8007,946