AGQ Options History — June 2011

In June 2011, AGQ traded between $153.50 and $195.39. ATM implied volatility averaged 78.2%, placing in the 29.3% IV rank vs the trailing year. The 30-day expected move averaged 22.6%. IV traded below realized volatility by 10.6% (HV 20d: 88.8%). Max pain ranged from $170.00 to $200.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.68.

Notable Days

2011-06-13: Highest Volume — 6,989 contracts
2011-06-29: Largest IV drop — 11.5% change
2011-06-01: Highest IV Rank — 45.5%
2011-06-01: Largest Expected Move — 27.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$176.05	$153.50	$195.39	$187.12	$164.93
Max Pain	$182.86	$170.00	$200.00	$200.00	$170.00
ATM IV	78.2%	61.2%	96.8%	96.8%	61.2%
Expected Move	22.6%	17.5%	27.8%	27.8%	17.5%
HV 20d	88.8%	65.6%	157.9%	157.9%	65.6%
HV 60d	115.3%	113.5%	116.7%	115.0%	116.4%
IV Rank	29.3%	14.5%	45.5%	45.5%	14.5%
IV Percentile	71.9%	30.2%	92.5%	92.5%	30.2%
Term Structure	0.8%	-7.1%	6.8%	-7.1%	5.6%
VWIV	79.4%	61.0%	97.6%	97.6%	61.0%
Skew 25d	4.0%	-3.3%	11.3%	3.4%	-2.4%
Skew 10d	8.4%	-1.7%	21.0%	11.2%	6.8%
Call IV 25d	78.4%	63.1%	98.6%	98.6%	64.5%
Put IV 25d	82.4%	62.1%	102.0%	102.0%	62.1%
Bid-Ask Spread %	34.64	18.39	74.86	74.86	54.95
Gamma HHI	0.06	0.03	0.12	0.07	0.04
Net GEX	1.5M	-556.6K	3.4M	2.6M	1.7M
Net DEX	-24.1M	-85.1M	56.9M	-72.8M	-28.3M
Net VEX	-1.2M	-1.5M	-1.0M	-1.5M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.30	1.45	0.53	0.39
Total Volume	3,076.091	1,235	6,989	4,003	1,356
Total OI	55,595.773	38,513	70,207	60,891	46,858

Daily Data (22 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
2011-06-01	$187.12	$200.00	96.8%	27.8%	157.9%	45.5%	97.6%	3.4%	-7.1%	2.6M	-72.8M	-1.5M	0.53	74.86	N/A	N/A	2,613	1,390	38,773	22,118
2011-06-02	$182.01	$200.00	95.5%	27.4%	152.9%	44.4%	97.5%	5.9%	-3.7%	2.2M	-45.8M	-1.4M	0.52	64.33	N/A	N/A	2,796	1,446	38,592	22,561
2011-06-03	$181.82	$190.00	86.7%	25.1%	119.8%	36.7%	90.6%	7.9%	-2.3%	2.0M	-32.2M	-1.4M	0.62	18.98	N/A	N/A	1,857	1,157	38,122	23,139
2011-06-06	$185.88	$190.00	85.9%	24.6%	119.2%	36.0%	87.1%	-1.0%	-1.2%	2.4M	-48.6M	-1.4M	0.54	20.82	N/A	N/A	2,083	1,128	38,521	23,391
2011-06-07	$189.95	$190.00	80.4%	24.1%	107.8%	31.2%	85.5%	5.9%	-1.5%	2.8M	-63.3M	-1.4M	0.48	23.07	N/A	N/A	2,279	1,091	38,998	23,922
2011-06-08	$188.54	$190.00	76.0%	23.8%	107.1%	27.4%	82.3%	3.9%	-0.7%	2.7M	-49.8M	-1.4M	0.62	21.28	N/A	N/A	1,112	693	39,591	24,176
2011-06-09	$195.39	$190.00	82.9%	23.8%	84.1%	33.4%	83.2%	5.7%	-1.6%	3.4M	-85.1M	-1.4M	0.66	18.39	N/A	N/A	1,890	1,248	39,845	24,418
2011-06-10	$180.29	$185.00	80.6%	23.1%	81.5%	31.4%	81.4%	0.6%	-0.8%	1.8M	-10.4M	-1.3M	0.62	25.07	N/A	N/A	1,822	1,123	39,773	24,975
2011-06-13	$166.02	$185.00	80.1%	23.0%	84.7%	30.9%	81.3%	-1.9%	1.2%	412.1K	56.9M	-1.1M	0.77	24.99	N/A	N/A	3,952	3,037	39,781	25,028
2011-06-14	$173.89	$185.00	78.5%	22.5%	78.7%	29.6%	78.2%	8.1%	1.5%	835.4K	36.0M	-1.2M	0.34	24.83	N/A	N/A	3,064	1,027	40,975	25,971
2011-06-15	$176.07	$185.00	81.2%	23.3%	78.6%	31.9%	80.8%	6.1%	-0.9%	1.1M	23.5M	-1.2M	1.29	32.27	N/A	N/A	2,180	2,805	41,450	26,162
2011-06-16	$173.60	$184.00	80.8%	23.2%	75.1%	31.5%	81.3%	5.2%	-0.1%	-556.6K	38.8M	-1.2M	0.79	27.56	N/A	N/A	1,760	1,385	41,635	27,235
2011-06-17	$176.70	$175.00	76.1%	21.8%	75.4%	27.5%	75.3%	2.5%	4.2%	-108.5K	21.9M	-1.2M	1.45	30.19	N/A	N/A	1,698	2,459	42,311	27,896
2011-06-20	$178.07	$177.00	73.0%	20.9%	75.4%	24.8%	73.8%	9.3%	4.0%	1.2M	-58.1M	-1.2M	0.30	27.88	N/A	N/A	1,483	440	24,502	14,011
2011-06-21	$182.40	$177.00	71.2%	20.4%	75.8%	23.2%	71.1%	11.3%	5.0%	1.5M	-72.2M	-1.3M	0.87	34.34	N/A	N/A	1,212	1,060	25,315	14,277
2011-06-22	$182.14	$178.00	69.7%	20.0%	69.2%	21.9%	70.5%	6.4%	3.0%	1.6M	-78.1M	-1.3M	1.09	34.87	N/A	N/A	591	644	26,081	14,644
2011-06-23	$170.89	$178.00	73.8%	21.2%	68.3%	25.5%	74.2%	7.7%	5.1%	1.2M	-36.2M	-1.2M	0.78	35.33	N/A	N/A	1,417	1,100	26,451	15,062
2011-06-24	$160.58	$176.00	73.7%	21.1%	70.8%	25.4%	76.0%	-3.2%	-0.0%	925.1K	-13.2M	-1.1M	0.83	38.19	N/A	N/A	1,208	1,003	26,835	15,573
2011-06-27	$153.50	$175.00	78.7%	22.6%	70.5%	29.7%	79.9%	-3.3%	-2.5%	645.0K	8.6M	-1.0M	0.62	38.74	N/A	N/A	1,407	872	27,169	16,169
2011-06-28	$156.99	$173.00	72.9%	20.9%	69.9%	24.7%	72.6%	3.4%	2.6%	774.1K	6.1M	-1.0M	0.37	40.70	N/A	N/A	1,924	710	27,916	16,648
2011-06-29	$166.41	$170.00	64.6%	18.5%	66.1%	17.4%	66.0%	6.4%	6.8%	1.6M	-28.4M	-1.1M	0.48	50.40	N/A	N/A	1,452	700	29,227	17,010
2011-06-30	$164.93	$170.00	61.2%	17.5%	65.6%	14.5%	61.0%	-2.4%	5.6%	1.7M	-28.3M	-1.1M	0.39	54.95	N/A	N/A	979	377	29,724	17,134