AGQ Options History — March 2011

In March 2011, AGQ traded between $185.75 and $225.09. ATM implied volatility averaged 72.1%, placing in the 51.4% IV rank vs the trailing year. The 30-day expected move averaged 20.8%. IV traded above realized volatility by 4.5% (HV 20d: 67.6%). Max pain ranged from $155.00 to $210.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 11 of 23 days. Put/call ratio averaged 0.75.

Notable Days

2011-03-24: Highest Volume — 5,690 contracts
2011-03-21: Largest IV drop — 12.0% change
2011-03-15: Highest IV Rank — 67.2%
2011-03-15: Largest Expected Move — 23.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$206.30	$185.75	$225.09	$194.80	$225.09
Max Pain	$189.09	$155.00	$210.00	$155.00	$210.00
ATM IV	72.1%	62.3%	83.1%	72.4%	62.3%
Expected Move	20.8%	17.9%	23.8%	20.8%	17.9%
HV 20d	67.6%	58.8%	76.6%	62.2%	58.8%
HV 60d	63.3%	60.4%	65.5%	65.1%	62.8%
IV Rank	51.4%	37.2%	67.2%	51.8%	37.2%
IV Percentile	76.0%	44.8%	93.3%	86.5%	44.8%
Term Structure	-0.5%	-5.4%	4.8%	1.3%	4.3%
VWIV	73.2%	60.9%	83.4%	75.0%	60.9%
Skew 25d	2.3%	-0.2%	5.1%	3.0%	1.3%
Skew 10d	4.3%	-2.5%	10.0%	3.0%	0.8%
Call IV 25d	72.4%	60.5%	82.1%	72.7%	60.5%
Put IV 25d	74.7%	61.8%	87.0%	75.7%	61.8%
Bid-Ask Spread %	43.82	19.53	78.58	78.58	73.73
Gamma HHI	0.07	0.04	0.14	0.09	0.06
Net GEX	669.8K	-31.9K	1.4M	521.8K	569.1K
Net DEX	-118.7M	-154.3M	-80.3M	-107.7M	-132.3M
Net VEX	-435.4K	-534.1K	-301.1K	-301.1K	-524.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.75	0.43	1.57	1.57	0.82
Total Volume	2,525.217	1,125	5,690	3,818	1,958
Total OI	23,558.217	15,963	28,753	20,163	23,545

Daily Data (23 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
2011-03-01	$194.80	$155.00	72.4%	20.8%	62.2%	51.8%	75.0%	3.0%	1.3%	521.8K	-107.7M	-301.1K	1.57	78.58	N/A	N/A	1,487	2,331	9,202	10,961
2011-03-02	$194.25	$160.00	71.7%	20.6%	62.5%	50.8%	73.9%	1.3%	1.7%	475.5K	-106.0M	-319.7K	0.79	70.05	N/A	N/A	1,585	1,254	9,448	11,276
2011-03-03	$189.60	$165.00	67.4%	19.3%	63.4%	44.6%	69.6%	0.8%	3.1%	364.7K	-97.0M	-326.9K	0.43	71.91	N/A	N/A	2,287	980	9,820	11,868
2011-03-04	$204.19	$170.00	71.5%	21.4%	66.0%	50.5%	75.0%	0.8%	-2.5%	835.0K	-139.2M	-380.3K	0.58	19.53	N/A	N/A	2,474	1,435	10,855	12,107
2011-03-07	$210.27	$177.00	77.8%	22.4%	66.0%	59.5%	78.2%	0.1%	-3.7%	1.0M	-154.3M	-386.8K	0.63	26.94	N/A	N/A	1,908	1,193	11,412	12,686
2011-03-08	$209.35	$180.00	75.3%	22.4%	66.6%	56.0%	77.9%	3.4%	-4.2%	1.1M	-151.5M	-410.5K	0.71	21.69	N/A	N/A	1,252	891	11,960	12,993
2011-03-09	$210.33	$185.00	71.9%	22.0%	64.7%	51.0%	77.7%	3.2%	-4.3%	1.3M	-153.4M	-405.4K	0.74	23.26	N/A	N/A	1,670	1,230	12,249	13,301
2011-03-10	$199.56	$189.00	79.7%	22.9%	68.7%	62.3%	79.4%	4.5%	-5.4%	841.7K	-124.3M	-443.6K	0.62	23.06	N/A	N/A	1,587	980	13,068	13,753
2011-03-11	$206.41	$190.00	78.1%	22.4%	68.7%	60.0%	78.7%	2.3%	-3.5%	1.2M	-145.6M	-452.2K	0.55	31.62	N/A	N/A	1,937	1,068	13,432	13,973
2011-03-14	$206.20	$188.00	79.0%	22.6%	67.9%	61.2%	80.1%	2.5%	-4.3%	1.4M	-148.4M	-444.4K	0.75	23.19	N/A	N/A	859	645	13,848	14,146
2011-03-15	$189.26	$190.00	83.1%	23.8%	75.9%	67.2%	83.4%	4.9%	-4.3%	266.7K	-91.7M	-441.2K	0.74	27.35	N/A	N/A	1,548	1,145	13,870	14,272
2011-03-16	$185.75	$190.00	82.0%	23.5%	76.6%	65.5%	82.2%	3.1%	-4.1%	-31.9K	-80.3M	-440.5K	0.62	25.05	N/A	N/A	1,381	862	14,088	14,522
2011-03-17	$187.45	$188.00	80.9%	23.2%	76.4%	64.1%	80.0%	2.3%	-1.9%	78.8K	-84.4M	-432.8K	0.69	26.25	N/A	N/A	672	467	14,274	14,479
2011-03-18	$196.27	$187.00	75.7%	21.7%	74.5%	56.5%	76.4%	4.6%	0.7%	1.3M	-114.1M	-424.0K	0.53	28.68	N/A	N/A	1,197	640	14,235	14,491
2011-03-21	$207.75	$185.00	66.6%	19.1%	75.2%	43.5%	67.2%	3.3%	4.8%	708.6K	-97.8M	-411.5K	0.91	46.69	N/A	N/A	1,436	1,305	8,898	7,065
2011-03-22	$210.56	$200.00	69.3%	19.9%	74.9%	47.3%	69.9%	5.1%	-0.0%	637.1K	-101.8M	-443.8K	0.80	38.58	N/A	N/A	862	691	9,646	7,989
2011-03-23	$221.92	$200.00	68.0%	19.5%	76.2%	45.4%	69.1%	3.9%	-0.7%	803.2K	-124.3M	-455.3K	0.57	45.64	N/A	N/A	1,497	851	9,956	8,381
2011-03-24	$217.86	$200.00	66.0%	18.9%	66.4%	42.5%	65.8%	-0.1%	1.1%	762.9K	-117.9M	-465.1K	1.42	71.84	N/A	N/A	2,350	3,340	10,348	8,841
2011-03-25	$220.28	$210.00	66.3%	19.0%	61.6%	42.9%	67.2%	1.8%	2.0%	252.1K	-114.2M	-521.8K	0.82	52.84	N/A	N/A	1,335	1,098	11,134	10,704
2011-03-28	$218.00	$210.00	66.7%	19.1%	61.3%	43.6%	67.5%	0.4%	2.9%	241.6K	-110.1M	-523.4K	0.58	56.32	N/A	N/A	1,054	611	11,429	10,911
2011-03-29	$217.75	$210.00	64.5%	18.5%	59.8%	40.4%	65.6%	0.6%	2.4%	275.8K	-110.6M	-534.1K	0.69	61.22	N/A	N/A	664	461	11,902	11,185
2011-03-30	$221.91	$210.00	62.3%	17.9%	59.8%	37.2%	62.6%	-0.2%	4.0%	388.7K	-123.2M	-525.4K	0.60	63.84	N/A	N/A	1,003	599	11,955	11,361
2011-03-31	$225.09	$210.00	62.3%	17.9%	58.8%	37.2%	60.9%	1.3%	4.3%	569.1K	-132.3M	-524.7K	0.82	73.73	N/A	N/A	1,075	883	12,061	11,484