AGQ Options History — October 2010

In October 2010, AGQ traded between $84.98 and $105.59. ATM implied volatility averaged 63.9%, placing in the 65.1% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded above realized volatility by 11.0% (HV 20d: 52.9%). Max pain ranged from $75.00 to $96.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2010-10-14: Highest Volume — 2,463 contracts
  • 2010-10-13: Largest IV spike — 32.5% change
  • 2010-10-13: Highest IV Rank — 92.4%
  • 2010-10-15: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$96.02$84.98$105.59$85.82$105.59
Max Pain$89.29$75.00$96.00$80.00$95.00
ATM IV63.9%53.8%75.5%53.8%64.1%
Expected Move18.1%15.4%20.1%15.4%18.4%
HV 20d52.9%26.7%71.7%26.7%71.7%
HV 60d44.1%37.5%49.4%37.5%49.4%
IV Rank65.1%41.1%92.4%41.1%65.5%
IV Percentile64.6%29.0%99.2%29.0%66.3%
Term Structure2.2%-1.2%5.0%4.2%3.4%
VWIV63.3%53.0%70.2%53.0%65.2%
Skew 25d1.0%-5.4%8.2%1.0%1.5%
Skew 10d3.7%-2.0%11.1%5.5%5.1%
Call IV 25d63.3%53.7%76.1%53.7%64.4%
Put IV 25d64.3%54.7%70.6%54.7%65.8%
Bid-Ask Spread %35.5513.9663.9447.6937.91
Gamma HHI0.050.030.130.050.04
Net GEX288.7K80.1K578.4K80.1K578.4K
Net DEX-38.9M-69.8M-21.4M-26.2M-49.6M
Net VEX-116.9K-139.0K-91.2K-110.1K-134.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.341.890.370.46
Total Volume1,226.194122,4635171,249
Total OI16,365.66713,88420,74714,63717,304

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$85.82$80.0053.8%15.4%26.7%41.1%53.0%1.0%4.2%80.1K-26.2M-110.1K0.3747.69N/AN/A3781396,3348,303
2010-10-04$84.98$75.0056.5%16.2%27.7%47.5%57.0%0.8%3.4%87.2K-25.4M-102.7K1.8913.96N/AN/A1502836,3728,269
2010-10-05$91.36$80.0055.1%16.1%34.8%44.3%55.5%5.0%5.0%243.6K-37.3M-95.7K0.8536.09N/AN/A1,2481,0676,3728,367
2010-10-06$94.20$80.0056.6%15.9%35.3%48.0%56.4%0.4%3.8%271.8K-43.8M-91.2K1.2632.96N/AN/A1,0691,3436,8118,932
2010-10-07$88.65$82.0063.4%17.3%42.9%63.9%59.9%2.1%0.3%222.7K-30.9M-108.1K0.6331.61N/AN/A1,3008216,9449,169
2010-10-08$94.13$85.0063.3%17.6%46.0%63.6%62.5%0.2%3.4%359.5K-43.1M-108.9K0.5936.28N/AN/A9975907,3759,515
2010-10-11$94.57$85.0066.7%17.6%46.2%71.7%61.2%8.2%-1.2%515.2K-47.3M-97.0K1.6163.94N/AN/A4176707,6049,786
2010-10-12$94.97$86.0057.0%17.2%44.3%48.7%62.2%1.4%4.4%541.6K-47.7M-104.8K1.1726.47N/AN/A6667817,65110,036
2010-10-13$100.30$87.0075.5%18.7%46.7%92.4%61.2%6.9%-0.1%432.1K-61.7M-92.8K0.5642.07N/AN/A1,0585947,85110,394
2010-10-14$105.00$91.0069.2%19.8%48.0%77.7%69.6%-3.2%4.2%200.4K-69.8M-95.5K0.4046.81N/AN/A1,7607038,23510,843
2010-10-15$102.38$94.0070.0%20.1%49.6%79.6%70.2%-5.4%1.4%257.5K-67.8M-123.2K0.5039.70N/AN/A8244089,43111,316
2010-10-18$104.25$94.0065.5%18.8%49.3%69.0%67.5%0.5%3.5%270.0K-37.2M-117.1K1.1830.74N/AN/A4725586,3157,569
2010-10-19$94.64$95.0067.2%19.3%63.1%73.0%67.3%-0.1%1.0%141.2K-24.0M-128.2K1.0032.76N/AN/A5795806,5507,833
2010-10-20$98.69$95.0066.6%19.1%64.1%71.6%67.4%-0.1%1.7%194.8K-30.3M-131.6K0.3431.29N/AN/A4261466,7418,154
2010-10-21$92.70$96.0065.0%18.6%69.2%67.7%65.3%-2.1%1.2%120.0K-21.4M-129.7K0.9930.93N/AN/A6956916,9388,187
2010-10-22$93.83$95.0064.4%18.5%68.7%66.3%64.3%1.6%2.4%169.2K-23.2M-134.1K0.6930.05N/AN/A2441687,3648,339
2010-10-25$96.43$95.0067.3%19.3%69.0%73.3%67.2%0.5%0.4%252.0K-29.2M-134.3K0.3432.49N/AN/A6292157,5248,429
2010-10-26$98.21$95.0065.0%18.6%68.7%67.6%65.3%0.7%2.3%355.5K-33.5M-138.3K0.4832.16N/AN/A4812327,9858,495
2010-10-27$96.32$95.0065.1%18.7%69.4%67.9%65.1%-0.2%0.8%340.5K-30.5M-139.0K0.7235.84N/AN/A4022888,2638,606
2010-10-28$99.36$95.0065.0%18.6%69.7%67.6%65.5%1.4%0.9%428.8K-37.0M-138.3K0.8334.82N/AN/A2341958,4598,714
2010-10-29$105.59$95.0064.1%18.4%71.7%65.5%65.2%1.5%3.4%578.4K-49.6M-134.1K0.4637.91N/AN/A8543958,5288,776