AGQ Options History — July 2010

In July 2010, AGQ traded between $55.06 and $60.57. ATM implied volatility averaged 56.5%, placing in the 44.6% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded above realized volatility by 4.7% (HV 20d: 51.8%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.68.

Notable Days

  • 2010-07-15: Highest Volume — 2,388 contracts
  • 2010-07-15: Largest IV drop — 20.9% change
  • 2010-07-06: Highest IV Rank — 76.1%
  • 2010-07-06: Largest Expected Move — 18.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.76$55.06$60.57$57.23$57.74
Max Pain$64.10$60.00$65.00$65.00$65.00
ATM IV56.5%47.6%70.6%60.7%48.0%
Expected Move15.9%13.6%18.4%17.4%13.8%
HV 20d51.8%40.9%65.4%65.4%40.9%
HV 60d60.2%57.2%61.4%61.4%57.2%
IV Rank44.6%24.9%76.1%54.1%25.7%
IV Percentile25.3%3.2%79.0%33.7%4.8%
Term Structure2.0%-6.4%10.1%4.7%10.1%
VWIV54.9%46.4%64.7%61.7%46.4%
Skew 25d1.6%-9.7%9.3%-9.7%9.3%
Skew 10d4.4%-3.7%9.7%-3.7%9.7%
Call IV 25d54.9%45.9%70.0%70.0%45.9%
Put IV 25d56.4%47.8%68.1%60.4%55.2%
Bid-Ask Spread %51.1320.5482.0582.0573.15
Gamma HHI0.120.080.190.120.11
Net GEX-267.3K-527.1K-156.1K-235.3K-187.7K
Net DEX15.4M10.7M23.9M13.7M14.9M
Net VEX-115.7K-128.4K-106.2K-107.2K-118.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.680.1615.241.790.82
Total Volume814.7621772,3881,361503
Total OI16,782.61913,94619,85313,94617,999

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$57.23$65.0060.7%17.4%65.4%54.1%61.7%-9.7%4.7%-235.3K13.7M-107.2K1.7982.05N/AN/A4888735,9607,986
2010-07-02$57.44$65.0062.1%17.8%60.6%57.2%63.7%1.2%1.9%-278.5K14.8M-112.6K1.0377.04N/AN/A2963066,1948,684
2010-07-06$57.22$63.0070.6%18.4%51.9%76.1%64.7%4.2%-1.9%-271.9K14.5M-110.3K0.8224.21N/AN/A2592136,3128,847
2010-07-07$58.60$63.0067.8%18.3%52.6%69.8%64.1%0.6%0.1%-268.2K13.2M-112.0K1.8824.51N/AN/A1382596,5128,895
2010-07-08$58.22$64.0063.9%17.9%52.3%61.2%64.5%2.2%0.5%-278.8K15.3M-110.0K3.0225.14N/AN/A1985986,5699,061
2010-07-09$59.13$63.0055.8%17.7%52.5%43.2%61.6%4.9%0.7%-397.4K14.7M-114.3K0.4720.54N/AN/A2131006,6459,546
2010-07-12$58.13$63.0063.3%17.5%52.8%59.9%60.0%1.5%3.0%-393.5K17.8M-106.2K0.1734.55N/AN/A6501136,8049,610
2010-07-13$59.70$60.0057.7%16.5%53.7%47.3%57.0%1.6%0.8%-401.0K13.2M-111.1K0.4736.49N/AN/A1,0304857,1879,630
2010-07-14$60.57$60.0067.1%16.3%52.3%68.2%55.2%2.7%0.4%-364.9K10.7M-117.0K2.0230.81N/AN/A7551,5227,8919,860
2010-07-15$60.26$65.0053.0%15.2%52.1%37.0%52.7%2.1%2.8%-527.1K15.3M-127.4K15.2433.64N/AN/A1472,2418,34611,185
2010-07-16$57.35$65.0058.2%16.7%53.5%48.5%55.1%-5.8%-6.4%-283.8K23.9M-121.5K1.5577.17N/AN/A3875998,43811,415
2010-07-19$55.87$65.0052.2%15.0%50.4%35.1%50.2%1.0%5.3%-234.3K18.2M-110.4K0.6553.62N/AN/A5093326,8029,006
2010-07-20$56.40$65.0052.3%15.0%48.5%35.4%51.9%2.6%3.2%-210.7K17.0M-112.8K0.6452.06N/AN/A3972557,1059,148
2010-07-21$55.99$65.0052.8%15.1%48.1%36.5%50.4%3.9%2.3%-204.3K16.9M-119.1K0.2164.55N/AN/A310647,2649,352
2010-07-22$58.76$65.0047.6%13.6%51.2%24.9%47.7%1.0%2.1%-199.0K11.8M-125.6K0.3958.21N/AN/A3761467,4709,377
2010-07-23$58.69$65.0048.7%14.0%51.0%27.4%48.1%2.8%4.0%-170.6K11.0M-128.4K0.4054.58N/AN/A152617,6719,441
2010-07-26$59.14$65.0050.8%14.6%48.0%32.1%48.7%3.1%-0.7%-172.7K11.0M-125.0K0.8169.17N/AN/A1491217,7439,479
2010-07-27$55.98$65.0054.4%15.6%50.4%40.1%49.3%-1.7%2.1%-156.1K15.9M-116.6K1.6468.02N/AN/A3425607,8519,561
2010-07-28$55.06$65.0049.3%14.1%49.8%28.7%50.5%1.9%4.0%-185.7K19.6M-110.7K1.1957.13N/AN/A3594277,8199,877
2010-07-29$55.55$65.0049.5%14.2%49.8%29.1%49.1%3.6%3.0%-190.9K19.0M-112.5K0.1657.07N/AN/A152257,78110,112
2010-07-30$57.74$65.0048.0%13.8%40.9%25.7%46.4%9.3%10.1%-187.7K14.9M-118.1K0.8273.15N/AN/A2762277,87510,124