AGQ Options History — February 2011

In February 2011, AGQ traded between $131.70 and $186.26. ATM implied volatility averaged 63.9%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 18.6%. IV traded above realized volatility by 1.9% (HV 20d: 62.0%). Max pain ranged from $115.00 to $150.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.75.

Notable Days

  • 2011-02-18: Highest Volume — 6,418 contracts
  • 2011-02-10: Largest IV spike — 8.5% change
  • 2011-02-24: Highest IV Rank — 52.0%
  • 2011-02-24: Largest Expected Move — 20.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$156.03$131.70$186.26$133.41$186.26
Max Pain$127.63$115.00$150.00$130.00$150.00
ATM IV63.9%55.9%72.6%64.1%70.2%
Expected Move18.6%17.5%20.8%18.4%20.1%
HV 20d62.0%51.2%67.8%66.4%61.8%
HV 60d64.8%60.3%71.4%71.4%64.6%
IV Rank39.6%28.0%52.0%39.9%48.7%
IV Percentile60.0%33.7%86.9%59.5%81.3%
Term Structure2.7%-0.6%5.7%2.4%1.1%
VWIV65.6%61.3%73.5%65.1%71.9%
Skew 25d0.9%-2.4%4.5%2.7%2.5%
Skew 10d1.7%-4.7%6.1%4.9%2.5%
Call IV 25d65.5%61.0%73.9%62.8%70.2%
Put IV 25d66.3%61.7%73.7%65.5%72.7%
Bid-Ask Spread %71.0442.9979.9242.9977.03
Gamma HHI0.100.070.250.070.08
Net GEX1.1M177.8K1.9M898.4K470.1K
Net DEX-93.1M-163.8M-44.3M-48.5M-107.6M
Net VEX-259.7K-316.0K-228.1K-258.8K-303.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.241.480.580.55
Total Volume2,475.6846626,4181,3103,058
Total OI21,449.15816,52225,23920,17920,553

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$133.41$130.0064.1%18.4%66.4%39.9%65.1%2.7%2.4%898.4K-48.5M-258.8K0.5842.99N/AN/A83147911,2858,894
2011-02-02$131.70$130.0063.0%18.1%63.5%38.3%64.4%0.3%4.4%888.1K-44.3M-254.6K0.7148.38N/AN/A38827411,3268,882
2011-02-03$137.08$130.0062.5%17.9%64.4%37.5%63.5%4.5%5.3%1.0M-58.7M-254.7K0.2448.75N/AN/A1,21128611,3938,834
2011-02-04$138.20$115.0057.7%18.2%64.4%30.7%63.8%2.4%5.7%1.2M-64.9M-251.2K0.7371.11N/AN/A77256511,6478,910
2011-02-07$141.04$115.0059.5%17.5%64.2%33.2%62.1%1.9%5.5%1.3M-73.0M-240.6K0.7073.09N/AN/A79655811,8219,047
2011-02-08$150.36$115.0055.9%17.5%67.8%28.0%61.8%1.8%3.0%1.6M-101.6M-228.1K0.9373.10N/AN/A1,7641,63611,8169,056
2011-02-09$149.13$115.0057.6%17.9%66.5%30.6%62.5%1.6%1.9%1.3M-94.4M-244.0K1.0173.29N/AN/A1,1811,19812,0219,685
2011-02-10$148.50$120.0062.5%17.9%66.5%37.6%62.7%1.4%2.9%1.2M-90.2M-258.1K0.4173.65N/AN/A65126812,23210,386
2011-02-11$146.11$120.0061.0%17.5%61.6%35.4%61.9%0.9%4.0%1.2M-82.9M-257.1K1.0174.06N/AN/A72473112,33710,485
2011-02-14$153.41$120.0062.2%17.8%62.9%37.1%61.3%-1.3%2.9%1.4M-109.0M-237.4K0.8178.23N/AN/A1,5841,28012,46210,884
2011-02-15$153.96$120.0063.5%18.2%62.3%39.0%62.3%-2.4%1.6%1.4M-111.3M-247.2K0.7675.30N/AN/A1,16088312,94511,327
2011-02-16$153.29$120.0061.5%17.6%62.2%36.2%62.2%-1.3%2.4%1.2M-108.9M-245.1K0.9776.15N/AN/A1,02699912,96311,483
2011-02-17$164.17$125.0063.0%18.1%55.2%38.3%64.4%1.0%2.6%1.9M-145.2M-238.4K0.7076.43N/AN/A2,0471,42513,19911,524
2011-02-18$172.27$130.0066.9%19.2%56.1%43.8%68.3%0.1%0.3%1.7M-163.8M-239.6K0.4076.55N/AN/A4,5811,83713,07312,166
2011-02-22$177.26$135.0070.5%20.2%52.3%49.1%72.8%-0.8%2.4%611.3K-98.7M-257.9K0.8377.74N/AN/A3,0212,5048,6857,837
2011-02-23$182.54$140.0071.9%20.6%51.2%51.0%72.6%-0.2%-0.6%531.6K-104.1M-289.4K0.8277.80N/AN/A1,4451,1889,5029,254
2011-02-24$165.98$145.0072.6%20.8%64.7%52.0%73.5%-0.3%-0.4%177.8K-69.0M-312.2K1.4879.92N/AN/A1,3542,0039,5689,818
2011-02-25$179.82$150.0068.3%19.6%64.6%45.9%70.1%1.7%3.8%309.7K-93.4M-316.0K0.5576.24N/AN/A8584729,74810,486
2011-02-28$186.26$150.0070.2%20.1%61.8%48.7%71.9%2.5%1.1%470.1K-107.6M-303.6K0.5577.03N/AN/A1,9681,0909,90910,644