AGQ Options History — December 2010

In December 2010, AGQ traded between $134.91 and $158.59. ATM implied volatility averaged 77.7%, placing in the 59.5% IV rank vs the trailing year. The 30-day expected move averaged 21.7%. IV traded above realized volatility by 1.8% (HV 20d: 75.9%). Max pain ranged from $95.00 to $123.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.74.

Notable Days

2010-12-08: Highest Volume — 3,445 contracts
2010-12-13: Largest IV spike — 17.3% change
2010-12-13: Highest IV Rank — 87.2%
2010-12-01: Largest Expected Move — 23.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$144.07	$134.91	$158.59	$136.84	$158.59
Max Pain	$107.55	$95.00	$123.00	$110.00	$123.00
ATM IV	77.7%	66.9%	97.0%	83.3%	67.9%
Expected Move	21.7%	19.2%	23.9%	23.9%	19.5%
HV 20d	75.9%	61.7%	93.0%	92.1%	62.2%
HV 60d	72.9%	68.0%	75.0%	68.0%	73.9%
IV Rank	59.5%	43.8%	87.2%	67.5%	45.3%
IV Percentile	88.9%	75.4%	99.2%	96.0%	76.6%
Term Structure	1.4%	-2.8%	6.4%	-2.4%	4.2%
VWIV	76.6%	67.6%	83.9%	83.8%	70.5%
Skew 25d	-1.0%	-4.9%	2.0%	1.8%	2.0%
Skew 10d	-0.9%	-7.1%	3.7%	2.3%	3.6%
Call IV 25d	77.7%	68.4%	86.4%	84.3%	68.6%
Put IV 25d	76.7%	67.3%	86.0%	86.0%	70.6%
Bid-Ask Spread %	74.14	63.76	84.84	80.78	78.02
Gamma HHI	0.07	0.05	0.17	0.06	0.06
Net GEX	707.3K	514.5K	1.0M	877.7K	817.6K
Net DEX	-79.3M	-122.4M	-54.1M	-88.4M	-88.6M
Net VEX	-212.9K	-227.3K	-186.9K	-216.5K	-226.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.27	1.53	0.57	1.11
Total Volume	1,660.5	618	3,445	1,456	1,261
Total OI	21,936.364	13,746	28,437	23,682	17,478

Daily Data (22 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
2010-12-01	$136.84	$110.00	83.3%	23.9%	92.1%	67.5%	83.8%	1.8%	-2.4%	877.7K	-88.4M	-216.5K	0.57	80.78	N/A	N/A	925	531	12,816	10,866
2010-12-02	$137.97	$115.00	80.0%	22.9%	91.9%	62.7%	82.0%	-0.5%	-0.3%	878.0K	-92.6M	-224.2K	0.88	82.02	N/A	N/A	923	815	13,136	11,123
2010-12-03	$144.57	$120.00	76.2%	21.8%	85.5%	57.2%	78.8%	0.5%	3.0%	902.2K	-107.0M	-220.3K	0.34	84.84	N/A	N/A	2,126	732	13,208	11,462
2010-12-06	$153.40	$95.00	83.9%	23.0%	86.6%	68.3%	80.6%	0.3%	-0.6%	1.0M	-122.4M	-209.5K	0.90	70.19	N/A	N/A	1,528	1,382	12,729	11,700
2010-12-07	$138.04	$97.00	86.9%	22.9%	93.0%	72.6%	80.5%	-1.3%	-2.1%	597.3K	-74.8M	-218.4K	0.57	73.53	N/A	N/A	1,933	1,111	12,604	12,403
2010-12-08	$134.91	$99.00	86.0%	23.3%	88.8%	71.4%	81.6%	-2.3%	-1.6%	584.6K	-63.3M	-227.1K	1.20	65.38	N/A	N/A	1,567	1,878	13,169	12,693
2010-12-09	$137.53	$99.00	85.9%	23.3%	87.9%	71.2%	82.4%	-4.9%	-0.6%	608.7K	-73.6M	-226.7K	0.46	63.80	N/A	N/A	653	301	13,325	12,659
2010-12-10	$137.58	$100.00	82.7%	23.4%	87.5%	66.6%	83.0%	-0.9%	-0.7%	620.6K	-73.6M	-227.3K	1.13	63.76	N/A	N/A	684	775	13,531	12,862
2010-12-13	$146.31	$100.00	97.0%	23.8%	76.4%	87.2%	83.9%	-3.2%	-1.7%	791.9K	-98.7M	-212.5K	1.19	68.94	N/A	N/A	1,506	1,785	13,694	13,311
2010-12-14	$145.41	$103.00	92.0%	23.7%	73.6%	80.0%	83.3%	-3.3%	-2.8%	970.0K	-98.1M	-214.2K	0.59	74.40	N/A	N/A	564	333	14,436	13,488
2010-12-15	$138.37	$103.00	78.7%	22.6%	76.8%	60.9%	79.8%	-2.8%	-2.2%	533.7K	-70.4M	-202.9K	0.89	69.19	N/A	N/A	709	629	14,525	13,529
2010-12-16	$139.72	$104.00	77.8%	22.3%	76.8%	59.5%	78.5%	-0.2%	1.4%	580.2K	-73.3M	-198.2K	0.81	66.72	N/A	N/A	895	723	14,646	13,685
2010-12-17	$142.07	$104.00	76.5%	21.9%	69.0%	57.7%	76.9%	1.4%	1.5%	514.5K	-81.4M	-193.7K	0.49	67.18	N/A	N/A	1,114	543	14,613	13,824
2010-12-20	$144.36	$104.00	71.8%	20.6%	68.6%	50.8%	72.2%	-1.9%	3.5%	550.6K	-54.6M	-186.9K	0.44	73.91	N/A	N/A	924	408	7,735	6,011
2010-12-21	$143.53	$110.00	70.6%	20.2%	68.0%	49.1%	71.1%	-2.4%	5.5%	546.1K	-54.1M	-190.7K	0.41	72.34	N/A	N/A	1,089	451	7,935	6,285
2010-12-22	$142.78	$110.00	67.6%	19.4%	67.2%	44.8%	67.6%	-1.7%	5.7%	550.0K	-61.0M	-209.0K	0.50	79.81	N/A	N/A	413	205	8,734	6,683
2010-12-23	$142.83	$110.00	66.9%	19.2%	67.2%	43.8%	67.6%	-0.0%	6.4%	590.3K	-61.7M	-212.5K	0.27	78.23	N/A	N/A	589	158	8,971	6,739
2010-12-27	$142.75	$110.00	72.0%	20.6%	62.3%	51.2%	70.7%	-0.6%	2.5%	633.3K	-63.2M	-207.6K	0.37	81.52	N/A	N/A	525	195	9,246	6,802
2010-12-28	$152.30	$110.00	69.5%	19.9%	65.0%	47.7%	70.1%	-0.9%	4.5%	764.0K	-79.4M	-213.3K	0.78	81.03	N/A	N/A	730	572	9,374	6,902
2010-12-29	$155.42	$120.00	68.9%	19.7%	61.9%	46.7%	70.8%	1.0%	4.0%	812.5K	-82.7M	-219.4K	0.80	77.50	N/A	N/A	798	638	9,405	7,132
2010-12-30	$154.27	$120.00	68.3%	19.6%	61.7%	45.9%	69.5%	-2.4%	3.2%	820.4K	-82.2M	-225.5K	1.53	77.95	N/A	N/A	359	551	9,729	7,402
2010-12-31	$158.59	$123.00	67.9%	19.5%	62.2%	45.3%	70.5%	2.0%	4.2%	817.6K	-88.6M	-226.8K	1.11	78.02	N/A	N/A	599	662	9,812	7,666