AGQ Options History — September 2010

In September 2010, AGQ traded between $66.40 and $83.97. ATM implied volatility averaged 55.0%, placing in the 42.4% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 21.1% (HV 20d: 33.9%). Max pain ranged from $61.00 to $80.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.10.

Notable Days

  • 2010-09-16: Highest Volume — 1,839 contracts
  • 2010-09-03: Largest IV spike — 12.9% change
  • 2010-09-09: Highest IV Rank — 53.8%
  • 2010-09-09: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.12$66.40$83.97$66.40$83.26
Max Pain$68.57$61.00$80.00$63.00$80.00
ATM IV55.0%50.3%60.6%51.4%54.3%
Expected Move15.7%14.4%17.4%14.7%15.6%
HV 20d33.9%25.9%41.1%39.9%26.8%
HV 60d42.7%37.1%45.3%45.0%37.2%
IV Rank42.4%31.0%53.8%33.4%42.3%
IV Percentile30.1%15.9%46.8%18.7%31.0%
Term Structure5.1%-0.6%12.4%6.0%1.9%
VWIV55.2%49.9%61.1%52.6%54.1%
Skew 25d2.2%-5.1%12.0%1.1%-5.1%
Skew 10d4.2%-0.2%12.9%6.8%0.6%
Call IV 25d54.6%49.3%59.2%50.8%56.7%
Put IV 25d56.8%51.6%62.1%51.9%51.6%
Bid-Ask Spread %46.0119.4575.6454.8658.18
Gamma HHI0.070.040.230.060.06
Net GEX491.8K7.9K1.3M322.0K7.9K
Net DEX-27.4M-54.8M-13.7M-13.7M-21.3M
Net VEX-108.9K-123.1K-98.2K-122.4K-107.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.100.174.391.530.83
Total Volume1,050.194241,839458800
Total OI17,585.09510,83123,10819,11114,249

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$66.40$63.0051.4%14.7%39.9%33.4%52.6%1.1%6.0%322.0K-13.7M-122.4K1.5354.86N/AN/A1812779,6659,446
2010-09-02$68.48$63.0050.3%14.4%41.0%31.0%49.9%3.3%8.0%352.8K-20.1M-120.7K0.2065.62N/AN/A8411679,7229,586
2010-09-03$69.58$61.0056.8%15.9%41.1%45.4%55.6%2.4%4.6%420.8K-25.0M-123.1K0.1726.25N/AN/A1,44724410,3039,622
2010-09-07$69.19$61.0059.4%16.6%40.5%51.1%61.1%3.5%4.9%650.2K-27.5M-120.2K1.0026.19N/AN/A63864011,2959,614
2010-09-08$70.11$65.0057.8%17.0%40.5%47.5%60.0%3.7%4.1%729.6K-30.1M-122.8K1.2319.45N/AN/A40249411,50810,052
2010-09-09$68.79$65.0060.6%17.4%35.5%53.8%58.0%2.8%4.0%622.0K-25.2M-120.3K0.4924.88N/AN/A38118511,55210,367
2010-09-10$69.60$65.0054.0%15.5%35.2%39.1%56.5%2.2%9.5%674.1K-27.6M-118.6K0.9529.00N/AN/A22921711,71710,445
2010-09-13$70.48$65.0054.2%15.5%35.2%39.5%56.3%4.0%12.4%742.6K-32.4M-108.3K0.6232.55N/AN/A60337111,72710,480
2010-09-14$74.15$65.0059.1%17.0%37.5%50.6%58.6%0.8%3.6%1.1M-46.1M-101.6K0.2539.76N/AN/A1,43035811,75810,494
2010-09-15$74.90$65.0056.5%16.2%37.5%44.7%56.6%1.4%5.4%1.2M-48.8M-101.0K0.5631.74N/AN/A27115311,86210,767
2010-09-16$76.30$65.0053.6%15.4%36.7%38.3%55.3%0.6%6.6%1.3M-54.8M-98.2K0.5534.54N/AN/A1,18565411,94710,893
2010-09-17$75.77$70.0052.7%15.1%36.5%36.3%54.8%0.2%11.0%1.1M-51.5M-100.8K1.0439.30N/AN/A76780111,65611,452
2010-09-20$75.77$70.0057.2%16.4%31.9%48.9%54.5%-1.9%5.7%146.7K-15.4M-98.7K1.1146.02N/AN/A3614025,0185,813
2010-09-21$78.01$70.0053.7%15.4%32.0%41.0%56.8%2.0%-0.6%183.7K-17.0M-100.1K1.2475.64N/AN/A5827195,2116,053
2010-09-22$78.89$70.0052.9%15.2%30.7%39.2%53.7%3.0%4.4%160.0K-17.8M-101.5K0.7058.38N/AN/A5263685,2376,463
2010-09-23$78.61$72.0055.0%15.8%26.1%44.1%50.7%2.4%1.6%132.2K-16.7M-105.4K3.2159.03N/AN/A1243985,2936,663
2010-09-24$81.05$75.0051.2%14.7%27.0%35.0%50.5%0.8%5.7%128.8K-19.8M-101.9K4.3959.48N/AN/A2761,2125,3606,948
2010-09-27$80.98$76.0053.9%15.5%27.3%41.5%54.0%0.9%4.0%95.9K-19.4M-102.9K0.6358.78N/AN/A3021905,5117,142
2010-09-28$83.22$76.0054.8%15.7%26.9%43.6%55.2%12.0%0.9%121.8K-21.7M-103.8K1.0163.92N/AN/A7437515,5797,193
2010-09-29$83.97$78.0054.6%15.7%25.9%43.1%54.8%5.6%2.8%104.2K-23.1M-106.5K1.3062.67N/AN/A5927725,9247,700
2010-09-30$83.26$80.0054.3%15.6%26.8%42.3%54.1%-5.1%1.9%7.9K-21.3M-107.5K0.8358.18N/AN/A4363646,1058,144