AGQ Options History — November 2010

In November 2010, AGQ traded between $104.74 and $133.31. ATM implied volatility averaged 83.3%, placing in the 76.9% IV rank vs the trailing year. The 30-day expected move averaged 23.6%. IV traded above realized volatility by 0.9% (HV 20d: 82.4%). Max pain ranged from $84.00 to $110.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.59.

Notable Days

2010-11-09: Highest Volume — 8,310 contracts
2010-11-09: Largest IV spike — 28.7% change
2010-11-08: Highest IV Rank — 100.0%
2010-11-10: Largest Expected Move — 27.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$121.02	$104.74	$133.31	$104.74	$133.31
Max Pain	$99.14	$84.00	$110.00	$96.00	$110.00
ATM IV	83.3%	70.3%	105.9%	72.0%	85.9%
Expected Move	23.6%	20.2%	27.3%	20.7%	24.6%
HV 20d	82.4%	67.5%	93.3%	71.7%	92.0%
HV 60d	59.8%	49.3%	68.0%	49.5%	68.0%
IV Rank	76.9%	58.5%	100.0%	84.4%	71.2%
IV Percentile	96.6%	89.7%	100.0%	93.3%	98.0%
Term Structure	-1.2%	-6.6%	3.8%	-0.4%	-3.5%
VWIV	83.2%	71.9%	95.2%	72.3%	85.7%
Skew 25d	-0.9%	-4.7%	3.9%	-1.1%	0.4%
Skew 10d	-1.9%	-13.3%	6.6%	-0.2%	-0.8%
Call IV 25d	83.8%	69.4%	96.5%	73.2%	85.4%
Put IV 25d	82.9%	72.0%	95.7%	72.0%	85.8%
Bid-Ask Spread %	65.72	37.53	82.77	37.53	77.85
Gamma HHI	0.06	0.04	0.10	0.04	0.07
Net GEX	737.6K	461.3K	1.3M	552.3K	786.3K
Net DEX	-74.7M	-119.8M	-46.2M	-49.0M	-80.4M
Net VEX	-198.6K	-231.8K	-134.5K	-134.5K	-212.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.27	1.31	0.27	0.34
Total Volume	2,637.048	639	8,310	2,505	1,631
Total OI	24,667.333	17,699	32,240	17,699	23,153

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-11-01	$104.74	$96.00	72.0%	20.7%	71.7%	84.4%	72.3%	-1.1%	-0.4%	552.3K	-49.0M	-134.5K	0.27	37.53	N/A	N/A	1,968	537	8,767	8,932
2010-11-02	$106.54	$96.00	71.3%	20.5%	67.9%	82.7%	72.7%	1.4%	1.8%	669.2K	-53.0M	-149.2K	1.31	38.90	N/A	N/A	515	675	9,447	9,319
2010-11-03	$106.11	$96.00	71.0%	20.3%	67.5%	81.8%	72.3%	0.7%	2.0%	628.2K	-50.7M	-154.1K	1.17	38.05	N/A	N/A	1,721	2,007	9,644	9,567
2010-11-04	$118.49	$97.00	70.3%	20.2%	72.2%	80.3%	71.9%	3.9%	1.8%	980.8K	-86.6M	-152.9K	0.52	46.35	N/A	N/A	2,631	1,361	10,729	9,788
2010-11-05	$123.64	$84.00	75.6%	22.3%	71.0%	92.8%	78.8%	-0.6%	-0.5%	919.5K	-97.2M	-162.3K	0.45	64.74	N/A	N/A	2,425	1,089	11,279	10,606
2010-11-08	$132.37	$85.00	82.3%	23.4%	73.5%	100.0%	82.3%	-2.3%	0.2%	882.3K	-119.8M	-155.3K	0.48	66.10	N/A	N/A	3,154	1,512	12,014	11,321
2010-11-09	$122.61	$88.00	105.9%	27.0%	80.6%	100.0%	95.2%	-1.4%	-6.1%	652.8K	-87.6M	-202.6K	0.75	70.22	N/A	N/A	4,738	3,572	12,639	12,236
2010-11-10	$128.03	$95.00	105.9%	27.3%	79.9%	100.0%	95.1%	-0.7%	-4.2%	632.4K	-93.1M	-217.4K	0.75	64.33	N/A	N/A	1,630	1,222	13,207	13,428
2010-11-11	$131.45	$95.00	92.0%	26.4%	79.1%	80.0%	92.7%	-0.3%	-5.0%	668.2K	-107.5M	-213.8K	0.48	67.58	N/A	N/A	1,219	586	13,732	13,952
2010-11-12	$116.32	$95.00	91.0%	26.1%	91.6%	78.6%	91.0%	-0.5%	-6.6%	461.3K	-58.7M	-229.2K	0.88	65.98	N/A	N/A	1,443	1,273	14,064	14,240
2010-11-15	$111.02	$95.00	92.0%	26.4%	93.3%	80.0%	91.5%	-3.6%	-6.3%	511.6K	-46.2M	-206.4K	0.31	67.99	N/A	N/A	2,342	734	14,548	14,234
2010-11-16	$110.81	$100.00	84.1%	24.1%	85.6%	68.7%	87.2%	-0.6%	0.7%	696.6K	-48.8M	-217.5K	0.63	69.76	N/A	N/A	1,927	1,215	15,982	14,353
2010-11-17	$111.43	$103.00	81.0%	23.2%	84.7%	64.1%	84.9%	-2.6%	2.7%	847.1K	-49.5M	-220.6K	0.55	70.02	N/A	N/A	1,357	753	16,656	14,790
2010-11-18	$123.36	$103.00	85.0%	24.4%	87.1%	69.8%	85.1%	-1.3%	-2.3%	1.3M	-98.5M	-231.8K	0.44	70.72	N/A	N/A	1,811	805	17,088	15,019
2010-11-19	$127.00	$104.00	79.4%	22.8%	87.2%	61.9%	79.8%	-4.4%	3.8%	861.5K	-112.5M	-223.4K	0.48	75.75	N/A	N/A	1,669	803	16,870	15,370
2010-11-22	$131.32	$105.00	85.2%	24.4%	87.3%	70.1%	85.7%	1.5%	-3.7%	662.0K	-74.2M	-217.8K	0.39	74.85	N/A	N/A	802	310	11,408	9,916
2010-11-23	$128.06	$105.00	84.2%	24.1%	88.5%	68.7%	84.6%	-1.1%	-3.4%	670.3K	-69.2M	-222.1K	0.55	73.52	N/A	N/A	1,169	642	11,651	10,017
2010-11-24	$128.86	$110.00	77.1%	22.1%	87.7%	58.5%	79.4%	-0.5%	2.0%	710.8K	-69.5M	-224.8K	0.42	75.30	N/A	N/A	449	190	12,055	10,352
2010-11-26	$121.00	$110.00	78.3%	22.4%	91.6%	60.2%	79.1%	-4.7%	2.0%	665.6K	-54.5M	-214.5K	0.81	82.77	N/A	N/A	364	294	12,236	10,467
2010-11-29	$125.00	$110.00	79.1%	22.7%	90.1%	61.4%	80.4%	-2.0%	-0.3%	701.8K	-61.8M	-208.4K	0.50	81.82	N/A	N/A	556	277	12,360	10,578
2010-11-30	$133.31	$110.00	85.9%	24.6%	92.0%	71.2%	85.7%	0.4%	-3.5%	786.3K	-80.4M	-212.2K	0.34	77.85	N/A	N/A	1,219	412	12,466	10,687