AGQ Options History — July 2011

In July 2011, AGQ traded between $156.60 and $224.35. ATM implied volatility averaged 72.4%, placing in the 24.2% IV rank vs the trailing year. The 30-day expected move averaged 21.2%. IV traded below realized volatility by 4.3% (HV 20d: 76.6%). Max pain ranged from $160.00 to $190.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.57.

Notable Days

2011-07-13: Highest Volume — 7,388 contracts
2011-07-11: Largest IV spike — 24.0% change
2011-07-18: Highest IV Rank — 35.8%
2011-07-18: Largest Expected Move — 24.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$198.74	$156.60	$224.35	$156.60	$212.80
Max Pain	$178.75	$160.00	$190.00	$170.00	$190.00
ATM IV	72.4%	56.4%	85.6%	60.7%	77.2%
Expected Move	21.2%	17.4%	24.5%	17.4%	22.1%
HV 20d	76.6%	65.8%	86.3%	67.7%	76.4%
HV 60d	116.7%	105.3%	120.1%	116.6%	105.3%
IV Rank	24.2%	10.3%	35.8%	14.1%	28.5%
IV Percentile	58.3%	21.4%	85.7%	29.4%	68.7%
Term Structure	1.3%	-4.3%	6.3%	6.3%	1.0%
VWIV	74.6%	60.3%	86.4%	60.3%	77.2%
Skew 25d	3.4%	-2.7%	10.2%	1.5%	3.4%
Skew 10d	5.5%	-0.0%	17.5%	4.4%	7.5%
Call IV 25d	72.9%	59.6%	86.1%	59.6%	76.4%
Put IV 25d	76.3%	61.1%	86.6%	61.1%	79.8%
Bid-Ask Spread %	28.51	15.56	57.82	57.82	28.05
Gamma HHI	0.04	0.03	0.12	0.04	0.03
Net GEX	2.9M	1.2M	4.6M	1.2M	2.5M
Net DEX	-157.8M	-272.1M	7.3M	7.3M	-181.8M
Net VEX	-1.4M	-1.6M	-1.0M	-1.0M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.29	1.07	0.36	0.29
Total Volume	3,259.55	1,651	7,388	2,505	2,421
Total OI	49,389.35	42,919	56,718	47,087	51,266

Daily Data (20 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
2011-07-01	$156.60	$170.00	60.7%	17.4%	67.7%	14.1%	60.3%	1.5%	6.3%	1.2M	7.3M	-1.0M	0.36	57.82	N/A	N/A	1,847	658	29,846	17,241
2011-07-05	$172.23	$160.00	61.2%	19.1%	76.3%	14.5%	66.1%	10.2%	2.2%	2.2M	-51.8M	-1.1M	0.46	33.31	N/A	N/A	2,646	1,204	29,857	17,499
2011-07-06	$176.96	$160.00	63.3%	19.3%	76.6%	16.4%	67.6%	5.6%	2.2%	2.8M	-86.4M	-1.2M	0.60	28.52	N/A	N/A	1,456	877	31,006	18,018
2011-07-07	$180.91	$160.00	64.6%	18.9%	77.1%	17.4%	66.6%	6.7%	2.5%	3.1M	-109.7M	-1.2M	0.61	28.98	N/A	N/A	1,028	623	31,409	18,376
2011-07-08	$183.50	$160.00	56.4%	18.7%	76.1%	10.3%	64.8%	2.9%	1.0%	3.5M	-126.0M	-1.2M	0.55	30.96	N/A	N/A	1,602	881	31,666	18,494
2011-07-11	$175.20	$165.00	69.9%	19.6%	72.3%	22.1%	68.9%	2.9%	2.8%	3.0M	-79.0M	-1.1M	1.07	32.78	N/A	N/A	1,088	1,165	31,911	18,681
2011-07-12	$177.68	$180.00	64.6%	19.8%	65.8%	17.5%	68.9%	1.9%	-0.0%	3.1M	-87.1M	-1.1M	0.66	28.73	N/A	N/A	1,418	933	32,062	19,315
2011-07-13	$197.78	$179.00	70.3%	22.4%	74.1%	22.4%	77.7%	1.8%	-4.3%	3.8M	-212.0M	-1.3M	0.51	25.36	N/A	N/A	4,886	2,502	32,585	19,543
2011-07-14	$199.10	$184.00	78.7%	22.6%	74.1%	29.7%	79.5%	-2.7%	-1.2%	4.1M	-230.1M	-1.4M	0.50	26.07	N/A	N/A	4,269	2,150	33,886	20,951
2011-07-15	$207.78	$185.00	77.6%	22.2%	74.8%	28.8%	78.2%	5.6%	0.3%	4.6M	-272.1M	-1.4M	0.40	25.33	N/A	N/A	2,790	1,108	34,800	21,918
2011-07-18	$220.81	$185.00	85.6%	24.5%	77.0%	35.8%	86.4%	0.5%	-0.9%	2.3M	-203.6M	-1.5M	0.36	15.56	N/A	N/A	3,405	1,218	27,314	15,605
2011-07-19	$204.33	$186.00	79.9%	22.9%	83.2%	30.8%	80.9%	3.4%	-1.3%	2.2M	-153.1M	-1.4M	0.52	24.46	N/A	N/A	2,869	1,502	28,802	16,229
2011-07-20	$215.75	$186.00	79.9%	22.9%	84.7%	30.8%	81.2%	6.9%	-1.5%	2.5M	-190.6M	-1.5M	0.57	30.73	N/A	N/A	2,375	1,352	29,464	16,842
2011-07-21	$207.38	$186.00	78.0%	22.4%	86.3%	29.1%	78.6%	1.8%	-0.3%	2.4M	-162.7M	-1.5M	0.45	26.04	N/A	N/A	1,580	714	30,038	17,227
2011-07-22	$215.37	$187.00	73.8%	21.1%	82.8%	25.5%	75.5%	1.3%	4.1%	2.7M	-199.8M	-1.5M	0.80	25.76	N/A	N/A	1,048	837	30,419	17,511
2011-07-25	$217.92	$187.00	78.0%	22.4%	78.1%	29.1%	80.3%	3.3%	4.4%	2.8M	-210.5M	-1.6M	0.86	20.88	N/A	N/A	1,550	1,335	30,715	17,794
2011-07-26	$224.35	$188.00	75.2%	21.6%	74.9%	26.7%	77.2%	8.2%	2.9%	2.9M	-227.8M	-1.6M	0.65	23.54	N/A	N/A	1,348	870	30,874	18,444
2011-07-27	$216.34	$188.00	75.5%	21.6%	77.4%	26.9%	78.2%	-1.4%	3.9%	2.7M	-202.8M	-1.6M	0.46	31.66	N/A	N/A	1,994	914	31,033	18,782
2011-07-28	$211.97	$189.00	76.9%	22.0%	76.7%	28.2%	77.1%	4.8%	2.1%	2.6M	-176.1M	-1.5M	0.71	25.60	N/A	N/A	1,593	1,135	31,354	19,010
2011-07-29	$212.80	$190.00	77.2%	22.1%	76.4%	28.5%	77.2%	3.4%	1.0%	2.5M	-181.8M	-1.6M	0.29	28.05	N/A	N/A	1,883	538	31,630	19,636