AGQ Options History — April 2011

In April 2011, AGQ traded between $225.80 and $365.26. ATM implied volatility averaged 72.9%, placing in the 49.4% IV rank vs the trailing year. The 30-day expected move averaged 21.3%. IV traded above realized volatility by 22.3% (HV 20d: 50.5%). Max pain ranged from $210.00 to $320.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2011-04-25: Highest Volume — 21,173 contracts
  • 2011-04-11: Largest IV spike — 24.8% change
  • 2011-04-28: Highest IV Rank — 89.7%
  • 2011-04-28: Largest Expected Move — 28.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$290.51$225.80$365.26$225.80$358.96
Max Pain$269.50$210.00$320.00$210.00$320.00
ATM IV72.9%53.0%99.6%60.0%97.2%
Expected Move21.3%17.2%28.6%17.2%27.9%
HV 20d50.5%40.1%67.9%53.4%67.9%
HV 60d60.7%56.7%63.1%62.2%63.1%
IV Rank49.4%23.9%89.7%33.9%85.7%
IV Percentile66.3%20.6%99.2%39.7%98.4%
Term Structure-0.4%-5.8%5.5%5.5%-0.3%
VWIV74.8%59.7%101.2%59.7%98.6%
Skew 25d-0.7%-9.5%3.0%1.7%-4.9%
Skew 10d0.3%-12.2%9.2%5.9%-10.7%
Call IV 25d75.6%59.2%105.9%59.2%102.1%
Put IV 25d74.9%60.9%97.3%60.9%97.2%
Bid-Ask Spread %48.5832.4075.1075.1046.66
Gamma HHI0.060.030.270.060.03
Net GEX1.5M175.8K3.7M605.9K3.3M
Net DEX-293.6M-569.9M-126.4M-126.4M-536.1M
Net VEX-940.0K-1.8M-490.1K-523.8K-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.361.690.571.01
Total Volume7,528.71,28821,1731,2889,579
Total OI33,50823,59652,68823,59652,688

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$225.80$210.0060.0%17.2%53.4%33.9%59.7%1.7%5.5%605.9K-126.4M-523.8K0.5775.10N/AN/A81847011,93011,666
2011-04-04$234.97$220.0058.1%17.8%54.2%31.2%61.8%3.0%1.6%1.2M-157.3M-490.1K1.4032.40N/AN/A1,3771,92312,02411,753
2011-04-05$243.98$230.0055.7%17.8%55.2%27.7%61.4%0.0%0.3%1.3M-167.1M-497.9K0.9136.16N/AN/A1,9751,78911,67912,559
2011-04-06$247.32$240.0058.3%17.6%55.2%31.5%61.4%1.5%2.3%880.2K-166.9M-535.3K1.0039.26N/AN/A2,3452,35011,82813,708
2011-04-07$248.75$250.0053.0%17.7%50.4%23.9%61.6%0.9%2.1%754.2K-167.2M-559.2K1.6937.05N/AN/A6341,07112,18314,902
2011-04-08$263.16$250.0055.5%17.6%52.3%27.4%62.1%0.8%2.8%1.3M-207.6M-538.4K0.8645.56N/AN/A2,8022,41912,16114,875
2011-04-11$254.30$250.0069.2%19.1%54.7%47.2%66.4%0.0%-0.1%175.8K-162.0M-592.2K0.7438.16N/AN/A5,8624,35712,37216,055
2011-04-12$252.93$260.0067.0%18.6%41.9%37.9%65.3%0.9%1.0%184.3K-177.7M-753.9K0.8542.39N/AN/A2,2831,94414,94316,795
2011-04-13$258.98$260.0061.7%19.5%40.1%28.0%68.3%1.5%-0.9%487.8K-201.1M-798.2K1.1239.87N/AN/A1,7701,97915,27217,417
2011-04-14$278.64$260.0068.3%19.6%44.7%38.6%69.0%2.6%-1.0%2.4M-281.8M-800.9K0.5355.31N/AN/A4,3862,32115,93317,766
2011-04-15$289.07$260.0066.8%19.1%44.1%36.2%67.4%1.8%1.1%3.7M-339.5M-861.3K0.6461.63N/AN/A4,4742,84417,12518,460
2011-04-18$296.51$270.0073.5%21.1%41.9%47.1%73.8%1.5%-2.0%672.1K-265.1M-934.1K0.8956.70N/AN/A3,3883,00014,39612,632
2011-04-19$305.12$280.0070.0%20.1%42.1%41.4%70.2%1.7%1.4%994.5K-296.4M-987.7K0.8862.56N/AN/A2,6382,32715,65413,715
2011-04-20$320.56$280.0076.5%21.9%41.7%52.1%76.5%0.5%-1.4%1.3M-347.9M-1.0M0.5952.98N/AN/A6,3333,71716,54313,997
2011-04-21$340.96$290.0084.7%24.3%42.1%65.4%84.8%0.7%-4.2%1.8M-416.3M-1.1M1.0349.68N/AN/A5,5985,76518,79615,917
2011-04-25$344.75$300.0091.9%26.3%42.1%77.1%93.1%-8.3%-2.6%1.8M-435.6M-1.2M0.7250.26N/AN/A12,3378,83620,26218,188
2011-04-26$318.44$320.0092.9%26.6%54.5%78.7%94.6%-5.9%-3.5%872.0K-321.9M-1.5M0.8349.27N/AN/A6,2505,16524,30021,876
2011-04-27$361.75$320.0097.9%28.1%66.1%86.9%98.4%-4.5%-5.8%2.8M-527.1M-1.6M0.5048.46N/AN/A6,8053,40625,75322,116
2011-04-28$365.26$320.0099.6%28.6%66.3%89.7%101.2%-9.5%-4.6%3.4M-569.9M-1.6M0.3652.17N/AN/A9,7283,50927,13922,782
2011-04-29$358.96$320.0097.2%27.9%67.9%85.7%98.6%-4.9%-0.3%3.3M-536.1M-1.8M1.0146.66N/AN/A4,7544,82528,65324,035