AGQ Options History — January 2011

In January 2011, AGQ traded between $118.36 and $156.59. ATM implied volatility averaged 66.4%, placing in the 43.1% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded above realized volatility by 11.6% (HV 20d: 54.8%). Max pain ranged from $125.00 to $140.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.77.

Notable Days

  • 2011-01-20: Highest Volume — 3,434 contracts
  • 2011-01-13: Largest IV spike — 16.5% change
  • 2011-01-20: Highest IV Rank — 51.0%
  • 2011-01-20: Largest Expected Move — 20.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$134.12$118.36$156.59$156.59$128.76
Max Pain$135.30$125.00$140.00$125.00$130.00
ATM IV66.4%56.6%71.9%68.5%65.8%
Expected Move19.4%18.2%20.6%19.6%18.8%
HV 20d54.8%46.5%65.6%60.7%64.4%
HV 60d72.7%70.1%74.5%72.6%74.5%
IV Rank43.1%29.1%51.0%46.1%42.2%
IV Percentile69.2%36.9%84.9%79.0%64.7%
Term Structure1.7%-1.8%4.0%3.3%3.7%
VWIV68.3%64.0%72.2%69.7%68.0%
Skew 25d1.2%-4.4%7.4%-1.9%1.3%
Skew 10d2.6%-7.6%11.4%-2.7%4.2%
Call IV 25d67.9%60.9%73.0%71.0%68.0%
Put IV 25d69.1%62.8%75.0%69.2%69.3%
Bid-Ask Spread %43.5524.1284.8083.0644.93
Gamma HHI0.070.050.160.060.07
Net GEX336.8K-588.0K768.7K757.3K691.2K
Net DEX-41.3M-85.2M-3.9M-85.2M-36.5M
Net VEX-236.2K-255.2K-213.2K-224.0K-250.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.441.350.680.87
Total Volume2,075.651,0023,4342,1692,101
Total OI20,378.714,79624,73717,96819,242

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$156.59$125.0068.5%19.6%60.7%46.1%69.7%-1.9%3.3%757.3K-85.2M-224.0K0.6883.06N/AN/A1,2918789,9897,979
2011-01-04$147.39$130.0069.5%19.9%61.1%47.6%70.2%-1.9%4.0%529.0K-66.8M-234.0K0.4584.80N/AN/A1,94588110,3018,257
2011-01-05$142.30$130.0069.6%20.0%49.3%47.8%70.0%-3.2%3.9%490.1K-63.7M-253.2K0.7780.19N/AN/A1,17390311,2508,704
2011-01-06$140.34$130.0067.9%19.5%48.8%45.3%68.3%-0.1%3.7%494.9K-60.4M-255.2K0.9081.40N/AN/A75367411,6758,887
2011-01-07$136.95$140.0063.1%19.6%49.2%38.4%68.7%-1.1%0.9%403.1K-51.4M-253.5K0.6124.12N/AN/A1,29678511,8689,086
2011-01-10$139.06$140.0064.0%19.6%49.5%39.7%69.3%0.8%0.8%557.6K-58.3M-247.2K0.7924.44N/AN/A56144112,1769,120
2011-01-11$144.69$139.0059.0%19.4%46.5%32.5%67.6%3.0%1.3%763.0K-73.7M-243.2K0.7524.24N/AN/A68651612,3069,277
2011-01-12$145.74$139.0056.6%18.2%46.5%29.1%64.0%-3.1%2.4%768.7K-69.2M-237.8K0.6229.14N/AN/A69043011,9419,506
2011-01-13$136.02$140.0066.0%18.9%49.6%42.6%65.5%-4.4%0.0%318.3K-43.1M-233.9K1.1532.75N/AN/A1,3331,53712,1559,673
2011-01-14$133.22$140.0067.5%19.3%50.0%44.7%66.2%0.8%0.3%53.8K-32.4M-242.3K0.5027.72N/AN/A1,67583712,48910,575
2011-01-18$137.34$140.0066.3%19.0%50.9%42.9%64.1%0.9%1.0%212.9K-45.6M-231.7K0.8432.08N/AN/A61851912,77010,814
2011-01-19$136.13$140.0067.6%19.4%50.5%44.8%68.0%-2.1%-1.8%128.6K-42.4M-229.7K0.9032.77N/AN/A1,1711,05212,88110,991
2011-01-20$124.62$140.0071.9%20.6%58.9%51.0%72.2%2.0%0.0%-578.1K-3.9M-215.0K0.8335.94N/AN/A1,8811,55312,97811,353
2011-01-21$124.25$139.0068.7%19.7%58.9%46.5%69.7%5.5%2.3%-588.0K-5.2M-215.6K1.2733.32N/AN/A1,3891,76513,42511,312
2011-01-24$119.49$139.0070.2%20.1%59.9%48.7%70.8%6.8%0.3%159.9K-10.7M-213.2K0.5341.91N/AN/A1,4487748,3286,468
2011-01-25$118.36$135.0068.8%19.7%59.9%46.6%71.3%6.4%2.4%218.5K-10.4M-222.5K1.3533.88N/AN/A9851,3259,0186,950
2011-01-26$124.38$130.0064.3%18.4%57.6%40.2%65.4%7.4%2.4%377.6K-20.3M-234.4K0.4442.46N/AN/A1,2795609,5927,714
2011-01-27$118.84$130.0065.1%18.7%57.7%41.3%68.2%0.8%3.1%374.5K-14.7M-234.7K0.6840.67N/AN/A1,07672910,0387,975
2011-01-28$127.99$130.0066.9%19.2%65.6%43.9%67.9%6.0%1.2%602.3K-32.8M-252.3K0.5841.09N/AN/A1,26873510,3048,207
2011-01-31$128.76$130.0065.8%18.8%64.4%42.2%68.0%1.3%3.7%691.2K-36.5M-250.9K0.8744.93N/AN/A1,12397810,7548,488