AGQ Options History — August 2011

In August 2011, AGQ traded between $184.68 and $252.32. ATM implied volatility averaged 91.6%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 25.8%. IV traded below realized volatility by 4.6% (HV 20d: 96.2%). Max pain ranged from $190.00 to $205.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.71.

Notable Days

2011-08-19: Highest Volume — 8,110 contracts
2011-08-04: Largest IV spike — 30.0% change
2011-08-09: Highest IV Rank — 59.4%
2011-08-09: Largest Expected Move — 29.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$215.03	$184.68	$252.32	$206.30	$224.79
Max Pain	$197.61	$190.00	$205.00	$190.00	$205.00
ATM IV	91.6%	77.0%	112.7%	79.8%	86.1%
Expected Move	25.8%	22.1%	29.1%	22.9%	24.7%
HV 20d	96.2%	72.0%	109.4%	74.4%	105.6%
HV 60d	84.9%	81.2%	92.4%	89.9%	85.5%
IV Rank	40.4%	28.3%	59.4%	30.7%	32.8%
IV Percentile	84.2%	66.7%	96.4%	74.6%	81.3%
Term Structure	0.5%	-8.2%	6.1%	1.1%	4.4%
VWIV	91.6%	80.2%	102.9%	81.5%	87.1%
Skew 25d	5.1%	-0.7%	10.2%	5.1%	-0.4%
Skew 10d	8.7%	-2.1%	15.7%	8.8%	-2.1%
Call IV 25d	89.0%	75.2%	100.8%	79.8%	87.1%
Put IV 25d	94.1%	81.3%	106.8%	84.9%	86.7%
Bid-Ask Spread %	52.60	29.04	73.04	29.04	70.07
Gamma HHI	0.04	0.03	0.09	0.03	0.04
Net GEX	2.6M	1.1M	5.7M	2.5M	2.8M
Net DEX	-176.9M	-355.6M	-49.7M	-153.2M	-191.1M
Net VEX	-1.5M	-1.7M	-1.4M	-1.5M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.38	2.03	0.98	0.39
Total Volume	3,515.522	1,784	8,110	1,784	2,063
Total OI	54,825.304	47,724	59,517	52,160	54,693

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
2011-08-01	$206.30	$190.00	79.8%	22.9%	74.4%	30.7%	81.5%	5.1%	1.1%	2.5M	-153.2M	-1.5M	0.98	29.04	N/A	N/A	903	881	32,343	19,817
2011-08-02	$222.80	$195.00	77.7%	22.3%	72.0%	28.8%	80.2%	7.0%	0.8%	3.1M	-221.6M	-1.6M	0.58	32.93	N/A	N/A	1,884	1,085	32,397	20,258
2011-08-03	$231.44	$200.00	77.0%	22.1%	72.4%	28.3%	80.2%	6.1%	6.1%	3.6M	-271.6M	-1.6M	0.89	29.93	N/A	N/A	2,802	2,500	32,632	20,499
2011-08-04	$197.63	$200.00	100.1%	28.7%	94.4%	48.4%	101.3%	-0.7%	-5.2%	1.8M	-116.8M	-1.5M	0.52	37.48	N/A	N/A	5,025	2,607	33,112	21,013
2011-08-05	$195.03	$195.00	99.4%	26.9%	94.5%	47.7%	93.5%	3.2%	-5.2%	1.7M	-98.0M	-1.5M	0.66	50.72	N/A	N/A	1,865	1,226	33,927	21,531
2011-08-08	$201.73	$195.00	111.6%	28.6%	93.2%	58.4%	99.9%	7.6%	-7.8%	2.0M	-131.2M	-1.5M	0.50	44.40	N/A	N/A	1,987	996	33,878	21,859
2011-08-09	$184.68	$195.00	112.7%	29.1%	99.1%	59.4%	102.9%	6.7%	-8.2%	1.1M	-49.7M	-1.4M	0.88	58.12	N/A	N/A	1,391	1,220	34,138	21,955
2011-08-10	$206.17	$195.00	109.5%	28.6%	99.5%	56.6%	100.6%	10.2%	-6.9%	2.3M	-150.9M	-1.5M	0.38	45.49	N/A	N/A	1,928	737	34,396	22,179
2011-08-11	$199.47	$195.00	98.4%	28.2%	100.3%	46.9%	100.0%	10.2%	-4.4%	2.0M	-122.4M	-1.5M	0.62	46.91	N/A	N/A	1,375	857	34,711	22,444
2011-08-12	$202.70	$195.00	88.5%	25.4%	99.2%	38.3%	90.1%	6.9%	1.2%	2.1M	-127.2M	-1.5M	0.93	48.99	N/A	N/A	966	897	34,891	22,660
2011-08-15	$208.25	$195.00	83.1%	23.8%	97.1%	33.6%	83.7%	3.7%	4.8%	2.6M	-158.6M	-1.4M	0.76	53.44	N/A	N/A	1,543	1,165	35,103	22,856
2011-08-16	$212.25	$195.00	82.7%	23.7%	93.2%	33.3%	84.4%	7.5%	3.1%	2.9M	-177.9M	-1.4M	2.03	48.35	N/A	N/A	1,214	2,470	35,181	22,994
2011-08-17	$215.62	$195.00	78.1%	22.4%	91.4%	29.2%	82.1%	6.4%	5.9%	3.1M	-191.7M	-1.4M	0.55	46.76	N/A	N/A	1,286	702	35,204	23,657
2011-08-18	$219.25	$195.00	82.7%	23.7%	90.3%	33.2%	84.5%	3.4%	2.9%	3.4M	-216.5M	-1.4M	0.98	54.96	N/A	N/A	1,168	1,140	35,148	23,869
2011-08-19	$241.57	$195.00	90.4%	25.9%	95.6%	39.9%	91.7%	7.1%	3.1%	5.7M	-355.6M	-1.6M	0.63	55.80	N/A	N/A	4,977	3,133	35,133	24,384
2011-08-22	$252.32	$200.00	96.7%	27.7%	96.6%	45.4%	98.9%	3.5%	-1.2%	2.7M	-284.2M	-1.7M	0.53	57.30	N/A	N/A	4,442	2,347	29,004	18,720
2011-08-23	$229.49	$200.00	96.7%	27.7%	102.7%	45.2%	97.7%	2.6%	-0.5%	2.4M	-202.6M	-1.7M	0.63	63.35	N/A	N/A	3,303	2,087	30,149	19,384
2011-08-24	$208.50	$200.00	98.4%	28.2%	107.6%	46.7%	99.8%	4.4%	2.4%	1.8M	-126.7M	-1.6M	0.55	61.81	N/A	N/A	3,780	2,084	30,915	20,050
2011-08-25	$220.27	$200.00	96.3%	27.6%	109.2%	43.3%	97.2%	5.5%	0.2%	2.3M	-174.8M	-1.7M	0.48	62.42	N/A	N/A	1,730	826	31,970	20,554
2011-08-26	$224.30	$200.00	86.6%	24.8%	109.4%	34.5%	89.8%	7.8%	5.7%	2.6M	-189.6M	-1.7M	0.58	68.97	N/A	N/A	1,484	864	32,573	20,617
2011-08-29	$217.00	$205.00	88.7%	25.4%	109.4%	35.8%	90.3%	0.8%	5.4%	2.4M	-159.4M	-1.6M	0.41	69.62	N/A	N/A	1,388	571	32,830	20,907
2011-08-30	$224.22	$205.00	86.7%	24.9%	106.5%	33.4%	88.8%	1.5%	4.1%	2.8M	-196.7M	-1.7M	0.93	73.04	N/A	N/A	1,016	942	33,318	21,129
2011-08-31	$224.79	$205.00	86.1%	24.7%	105.6%	32.8%	87.1%	-0.4%	4.4%	2.8M	-191.1M	-1.6M	0.39	70.07	N/A	N/A	1,483	580	33,227	21,466