AGQ Options History — August 2010

In August 2010, AGQ traded between $57.04 and $66.19. ATM implied volatility averaged 49.5%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 7.3% (HV 20d: 42.2%). Max pain ranged from $62.00 to $65.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 1.19.

Notable Days

  • 2010-08-20: Highest Volume — 2,550 contracts
  • 2010-08-03: Largest IV spike — 15.7% change
  • 2010-08-03: Highest IV Rank — 41.6%
  • 2010-08-03: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.65$57.04$66.19$60.25$66.19
Max Pain$62.73$62.00$65.00$65.00$63.00
ATM IV49.5%44.5%55.1%47.6%51.8%
Expected Move14.3%12.8%15.8%13.6%14.9%
HV 20d42.2%38.8%46.0%43.6%40.3%
HV 60d50.8%45.0%57.6%57.6%45.0%
IV Rank29.2%18.1%41.6%24.9%34.4%
IV Percentile10.7%1.2%21.0%3.6%21.0%
Term Structure7.3%-1.3%13.6%5.3%4.0%
VWIV49.5%42.5%53.0%46.5%52.1%
Skew 25d2.6%-1.9%5.3%4.3%2.0%
Skew 10d5.9%0.6%13.2%4.1%5.2%
Call IV 25d49.4%43.1%52.2%44.8%50.9%
Put IV 25d52.0%46.2%55.3%49.1%52.9%
Bid-Ask Spread %62.6648.2678.1669.0853.08
Gamma HHI0.100.050.180.160.06
Net GEX28.5K-167.9K432.0K-167.9K234.4K
Net DEX5.3M-13.0M17.7M7.1M-13.0M
Net VEX-114.9K-126.0K-99.4K-124.9K-119.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.246.030.910.60
Total Volume739.1361942,5506821,565
Total OI18,616.31815,79920,42818,13818,331

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$60.25$65.0047.6%13.6%43.6%24.9%46.5%4.3%5.3%-167.9K7.1M-124.9K0.9169.08N/AN/A3583247,99810,140
2010-08-03$60.48$65.0055.1%15.8%43.5%41.6%52.3%2.3%-1.3%-151.3K6.1M-126.0K0.3362.50N/AN/A5691908,12110,170
2010-08-04$59.88$65.0050.8%14.6%43.0%32.1%42.5%2.4%7.5%-133.3K7.9M-123.3K0.8169.39N/AN/A3552878,30710,229
2010-08-05$60.12$65.0047.7%13.7%42.9%25.1%48.6%0.7%1.7%-104.0K7.6M-122.0K0.8749.91N/AN/A1411238,46310,217
2010-08-06$60.85$62.0046.6%14.3%42.8%22.8%50.2%2.2%9.3%-91.8K5.2M-123.7K6.0356.29N/AN/A724348,56110,238
2010-08-09$59.89$62.0049.2%14.5%42.7%28.5%50.9%0.6%8.3%-88.9K8.8M-117.9K0.8959.36N/AN/A1151028,57710,464
2010-08-10$60.07$62.0049.4%14.0%41.7%29.0%49.3%2.1%9.5%-70.3K9.6M-115.8K0.9473.18N/AN/A1391318,63510,517
2010-08-11$57.04$62.0047.2%15.6%45.2%24.1%51.6%4.0%5.7%-52.3K16.0M-108.4K0.7161.77N/AN/A3172248,68510,584
2010-08-12$58.24$62.0051.8%14.9%46.0%34.3%50.9%3.9%6.0%-49.4K13.2M-110.1K0.7664.49N/AN/A110848,78110,527
2010-08-13$58.51$62.0051.7%14.8%42.4%34.1%52.0%1.0%9.9%-9.3K12.9M-109.0K0.9364.96N/AN/A2091958,79410,596
2010-08-16$60.33$62.0051.9%14.9%42.4%34.6%51.7%3.3%11.2%15.5K7.4M-112.5K0.5070.44N/AN/A2321168,86210,742
2010-08-17$61.02$62.0048.3%13.8%42.4%26.4%49.9%3.5%8.8%14.4K5.2M-111.2K1.4261.33N/AN/A2102998,94210,839
2010-08-18$60.33$62.0051.7%14.8%42.6%34.1%53.0%3.7%6.8%123.2K8.8M-107.1K1.8565.28N/AN/A3356219,00910,964
2010-08-19$59.75$62.0049.9%14.3%39.4%30.1%48.6%2.4%11.6%432.0K9.2M-107.5K0.4873.95N/AN/A3001459,23610,935
2010-08-20$57.55$62.0050.4%14.5%41.7%31.2%49.2%3.5%10.2%35.6K17.7M-99.4K3.2855.44N/AN/A5961,9549,44810,980
2010-08-23$57.63$63.0044.5%12.8%41.5%18.1%44.4%3.0%9.4%-82.6K10.7M-99.6K0.2465.91N/AN/A8492047,1718,628
2010-08-24$59.94$63.0050.7%14.5%38.8%31.8%49.3%5.3%1.8%-2.3K5.3M-109.5K0.6370.80N/AN/A7884947,6878,844
2010-08-25$63.59$62.0044.9%12.9%42.7%18.9%47.9%5.2%13.6%107.5K-4.2M-117.6K0.3678.16N/AN/A9543408,0738,934
2010-08-26$63.92$62.0050.5%14.5%42.7%31.5%49.8%2.5%5.2%181.7K-7.3M-120.8K0.8254.45N/AN/A3783108,5588,990
2010-08-27$64.61$62.0048.1%13.8%41.1%26.2%48.8%-1.9%9.2%231.7K-9.4M-122.3K0.3550.53N/AN/A4911708,6909,029
2010-08-30$64.08$63.0049.3%14.1%38.9%28.6%50.3%1.0%6.9%254.3K-8.3M-119.6K2.5648.26N/AN/A1213108,9219,142
2010-08-31$66.19$63.0051.8%14.9%40.3%34.4%52.1%2.0%4.0%234.4K-13.0M-119.9K0.6053.08N/AN/A9775888,9749,357