AGQ Options History — May 2011

In May 2011, AGQ traded between $158.70 and $296.50. ATM implied volatility averaged 107.5%, placing in the 59.4% IV rank vs the trailing year. The 30-day expected move averaged 30.1%. IV traded below realized volatility by 52.2% (HV 20d: 159.6%). Max pain ranged from $200.00 to $325.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.70.

Notable Days

2011-05-05: Highest Volume — 23,167 contracts
2011-05-05: Largest IV spike — 38.8% change
2011-05-02: Highest IV Rank — 100.0%
2011-05-05: Largest Expected Move — 45.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$196.29	$158.70	$296.50	$296.50	$207.20
Max Pain	$237.86	$200.00	$325.00	$325.00	$240.00
ATM IV	107.5%	81.2%	159.4%	117.1%	86.5%
Expected Move	30.1%	23.3%	45.7%	33.6%	24.8%
HV 20d	159.6%	102.0%	175.6%	102.0%	158.7%
HV 60d	107.1%	76.0%	115.6%	76.0%	113.3%
IV Rank	59.4%	31.9%	100.0%	100.0%	36.5%
IV Percentile	94.0%	81.7%	100.0%	100.0%	88.9%
Term Structure	-10.6%	-28.7%	2.2%	-9.6%	0.1%
VWIV	106.7%	82.8%	161.8%	121.3%	85.9%
Skew 25d	4.1%	-8.6%	12.5%	-8.6%	6.3%
Skew 10d	10.3%	-1.8%	43.3%	-1.8%	8.7%
Call IV 25d	105.0%	77.7%	161.3%	125.1%	81.9%
Put IV 25d	109.1%	83.1%	159.0%	116.5%	88.2%
Bid-Ask Spread %	57.42	28.72	70.47	44.77	70.38
Gamma HHI	0.04	0.02	0.08	0.03	0.03
Net GEX	392.9K	-1.8M	3.0M	67.4K	1.2M
Net DEX	83.6M	-213.9M	258.3M	-213.9M	-54.2M
Net VEX	-1.5M	-1.9M	-1.2M	-1.9M	-1.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.27	1.13	0.97	0.50
Total Volume	8,371.857	2,630	23,167	13,992	3,863
Total OI	72,605.905	47,014	93,134	57,523	47,014

Daily Data (21 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
2011-05-02	$296.50	$325.00	117.1%	33.6%	102.0%	100.0%	121.3%	-8.6%	-9.6%	67.4K	-213.9M	-1.9M	0.97	44.77	N/A	N/A	7,114	6,878	30,245	27,278
2011-05-03	$264.97	$320.00	123.4%	35.4%	110.8%	100.0%	125.1%	4.3%	-10.1%	-1.1M	-51.3M	-1.9M	0.96	28.72	N/A	N/A	8,393	8,098	32,681	29,853
2011-05-04	$234.20	$320.00	114.9%	32.9%	119.1%	89.1%	118.0%	4.7%	-7.9%	-1.8M	77.6M	-1.7M	0.70	41.18	N/A	N/A	9,561	6,738	34,616	31,335
2011-05-05	$179.34	$315.00	159.4%	45.7%	151.5%	100.0%	161.8%	-2.4%	-28.7%	-806.7K	195.3M	-1.5M	1.10	46.14	N/A	N/A	11,017	12,150	38,175	32,087
2011-05-06	$186.56	$250.00	137.0%	33.8%	152.6%	80.5%	119.5%	1.0%	-15.5%	-855.8K	179.6M	-1.6M	0.62	41.89	N/A	N/A	8,747	5,428	40,544	33,630
2011-05-09	$214.34	$235.00	125.3%	31.9%	160.3%	70.3%	115.2%	7.3%	-12.8%	-472.0K	78.7M	-1.8M	0.69	49.22	N/A	N/A	4,605	3,155	43,383	34,677
2011-05-10	$220.40	$230.00	105.0%	29.6%	160.5%	52.6%	106.5%	1.9%	-9.2%	-331.7K	48.8M	-1.8M	0.81	51.26	N/A	N/A	3,204	2,609	44,336	35,505
2011-05-11	$182.60	$230.00	124.6%	31.6%	172.9%	69.8%	109.8%	4.3%	-16.2%	-545.5K	200.9M	-1.5M	0.62	61.04	N/A	N/A	6,337	3,918	45,160	36,790
2011-05-12	$165.54	$230.00	116.8%	33.5%	174.6%	62.9%	116.1%	2.8%	-18.5%	-668.9K	242.5M	-1.3M	0.75	60.73	N/A	N/A	5,991	4,512	45,813	37,789
2011-05-13	$174.74	$220.00	111.2%	31.9%	173.3%	58.0%	112.4%	8.3%	-17.1%	-358.5K	223.7M	-1.4M	0.37	61.72	N/A	N/A	5,358	1,990	47,941	38,598
2011-05-16	$158.70	$220.00	121.2%	34.7%	173.6%	66.8%	125.5%	6.3%	-26.1%	-322.1K	244.6M	-1.3M	0.85	63.05	N/A	N/A	2,662	2,268	49,737	39,136
2011-05-17	$161.46	$220.00	110.1%	31.6%	173.3%	57.1%	111.8%	8.1%	-19.3%	-170.2K	258.3M	-1.3M	1.13	54.17	N/A	N/A	2,509	2,830	50,646	39,113
2011-05-18	$172.85	$220.00	101.3%	29.0%	175.6%	49.4%	102.4%	7.9%	-14.6%	612.1K	226.5M	-1.3M	0.89	58.73	N/A	N/A	3,466	3,074	51,238	39,158
2011-05-19	$172.99	$210.00	94.8%	27.2%	173.6%	43.8%	96.3%	5.6%	-10.9%	1.2M	231.6M	-1.3M	0.51	68.79	N/A	N/A	2,170	1,099	52,629	40,006
2011-05-20	$171.94	$205.00	85.1%	24.4%	170.5%	35.3%	86.5%	5.1%	-3.8%	1.5M	240.8M	-1.3M	0.74	69.66	N/A	N/A	3,141	2,309	53,161	39,973
2011-05-23	$172.73	$205.00	83.1%	23.8%	170.3%	33.6%	83.7%	8.0%	0.3%	1.1M	6.1M	-1.2M	0.49	65.12	N/A	N/A	1,946	962	33,186	20,389
2011-05-24	$188.12	$200.00	84.2%	24.1%	174.5%	34.5%	84.2%	12.5%	-1.3%	1.7M	-41.5M	-1.3M	0.40	68.16	N/A	N/A	3,559	1,424	33,849	20,768
2011-05-25	$200.18	$200.00	89.6%	25.7%	168.3%	39.2%	90.9%	3.5%	-3.5%	2.5M	-109.1M	-1.5M	0.27	63.09	N/A	N/A	5,591	1,496	35,348	21,266
2011-05-26	$195.70	$200.00	85.1%	24.4%	167.7%	35.3%	84.8%	-3.9%	0.3%	2.8M	-105.9M	-1.5M	0.77	70.47	N/A	N/A	1,695	1,312	37,182	21,185
2011-05-27	$201.00	$200.00	81.2%	23.3%	168.9%	31.9%	82.8%	3.5%	2.2%	3.0M	-124.3M	-1.6M	0.51	67.61	N/A	N/A	1,741	889	37,495	21,809
2011-05-31	$207.20	$240.00	86.5%	24.8%	158.7%	36.5%	85.9%	6.3%	0.1%	1.2M	-54.2M	-1.2M	0.50	70.38	N/A	N/A	2,577	1,286	27,754	19,260