AGQ Options History — September 2011

In September 2011, AGQ traded between $103.60 and $243.90. ATM implied volatility averaged 97.9%, placing in the 43.2% IV rank vs the trailing year. The 30-day expected move averaged 28.8%. IV traded below realized volatility by 4.9% (HV 20d: 102.9%). Max pain ranged from $155.00 to $230.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.66.

Notable Days

2011-09-23: Highest Volume — 13,189 contracts
2011-09-23: Largest IV spike — 47.8% change
2011-09-28: Highest IV Rank — 92.4%
2011-09-28: Largest Expected Move — 43.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$185.33	$103.60	$243.90	$225.38	$103.68
Max Pain	$205.95	$155.00	$230.00	$205.00	$155.00
ATM IV	97.9%	62.5%	151.3%	81.1%	136.3%
Expected Move	28.8%	21.3%	43.4%	23.3%	39.1%
HV 20d	102.9%	69.1%	156.5%	88.0%	156.4%
HV 60d	94.8%	83.8%	119.8%	85.5%	119.8%
IV Rank	43.2%	10.5%	92.4%	28.3%	78.3%
IV Percentile	74.1%	16.3%	99.6%	70.6%	97.6%
Term Structure	-0.4%	-15.0%	9.8%	6.9%	-9.6%
VWIV	101.4%	76.7%	151.4%	83.8%	135.8%
Skew 25d	3.3%	-3.1%	19.7%	0.3%	12.7%
Skew 10d	5.3%	-8.4%	36.4%	-4.1%	30.1%
Call IV 25d	100.7%	75.8%	147.4%	84.7%	130.9%
Put IV 25d	103.9%	76.0%	157.7%	85.1%	143.6%
Bid-Ask Spread %	36.11	16.40	74.58	70.39	64.15
Gamma HHI	0.04	0.03	0.22	0.04	0.03
Net GEX	1.5M	-931.3K	3.7M	3.0M	171.2K
Net DEX	-80.3M	-277.0M	74.0M	-195.7M	74.0M
Net VEX	-1.3M	-1.7M	-694.4K	-1.6M	-694.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.26	1.21	0.45	0.63
Total Volume	4,105.429	700	13,189	700	3,594
Total OI	52,957.905	39,202	60,667	55,762	56,052

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
2011-09-01	$225.38	$205.00	81.1%	23.3%	88.0%	28.3%	83.8%	0.3%	6.9%	3.0M	-195.7M	-1.6M	0.45	70.39	N/A	N/A	483	217	34,009	21,753
2011-09-02	$243.90	$205.00	77.6%	22.2%	91.2%	24.4%	78.5%	2.2%	9.8%	3.7M	-277.0M	-1.7M	0.89	74.58	N/A	N/A	1,898	1,696	34,146	21,808
2011-09-06	$231.08	$230.00	87.9%	26.1%	93.6%	34.0%	91.6%	1.0%	-0.7%	3.0M	-206.2M	-1.6M	0.75	28.68	N/A	N/A	1,953	1,462	34,138	22,443
2011-09-07	$225.39	$230.00	85.6%	26.1%	87.6%	31.8%	90.6%	2.4%	-0.3%	3.0M	-186.4M	-1.6M	0.28	23.00	N/A	N/A	1,795	501	34,418	22,357
2011-09-08	$232.80	$225.00	80.4%	24.9%	79.8%	27.0%	88.1%	0.3%	3.9%	3.5M	-227.3M	-1.6M	0.26	17.07	N/A	N/A	2,515	645	35,071	22,507
2011-09-09	$225.08	$225.00	82.6%	25.4%	79.9%	29.0%	89.7%	0.8%	2.7%	3.0M	-186.0M	-1.6M	0.67	19.59	N/A	N/A	1,278	850	34,941	22,677
2011-09-12	$209.99	$225.00	91.0%	26.5%	84.1%	36.8%	92.0%	-2.8%	0.8%	2.2M	-105.9M	-1.4M	1.00	16.40	N/A	N/A	1,556	1,561	34,643	22,997
2011-09-13	$217.40	$225.00	78.3%	25.5%	84.5%	25.1%	89.9%	-1.1%	1.3%	2.4M	-141.9M	-1.4M	0.53	20.78	N/A	N/A	1,268	678	34,903	23,303
2011-09-14	$214.39	$225.00	62.5%	22.9%	84.4%	10.5%	82.3%	-1.4%	5.1%	2.2M	-118.3M	-1.4M	1.21	23.39	N/A	N/A	1,795	2,164	35,132	23,347
2011-09-15	$205.72	$220.00	80.9%	23.2%	85.5%	27.5%	82.0%	-1.3%	2.4%	541.9K	-66.6M	-1.3M	0.74	27.80	N/A	N/A	2,143	1,576	35,595	24,247
2011-09-16	$211.60	$220.00	74.3%	21.3%	85.9%	21.4%	77.2%	-2.3%	7.0%	-931.3K	-103.1M	-1.4M	0.67	25.85	N/A	N/A	2,300	1,544	35,915	24,752
2011-09-19	$204.50	$220.00	77.3%	22.2%	78.2%	24.1%	80.5%	-0.5%	4.9%	1.5M	-81.8M	-1.3M	0.76	23.36	N/A	N/A	1,823	1,390	23,952	15,250
2011-09-20	$205.22	$215.00	75.4%	21.6%	75.9%	22.4%	76.7%	0.4%	8.0%	1.6M	-91.4M	-1.3M	0.71	24.59	N/A	N/A	1,592	1,138	24,586	15,949
2011-09-21	$202.39	$215.00	76.3%	21.9%	69.1%	23.3%	77.0%	0.2%	5.7%	1.7M	-84.3M	-1.3M	0.43	49.59	N/A	N/A	1,304	557	25,559	16,618
2011-09-22	$165.10	$215.00	97.0%	27.8%	93.8%	42.4%	98.2%	3.1%	-1.7%	761.1K	3.9M	-1.1M	0.59	34.61	N/A	N/A	4,148	2,448	26,087	16,758
2011-09-23	$118.64	$200.00	143.3%	41.1%	143.9%	85.2%	145.8%	-3.1%	-12.3%	227.9K	54.8M	-788.3K	0.63	36.06	N/A	N/A	8,067	5,122	27,122	17,416
2011-09-26	$113.36	$180.00	145.3%	41.7%	142.8%	86.8%	148.8%	9.2%	-9.6%	249.5K	61.6M	-771.2K	0.51	36.80	N/A	N/A	6,638	3,368	30,531	19,320
2011-09-27	$121.23	$170.00	128.5%	36.8%	147.2%	71.0%	128.7%	17.5%	-8.1%	369.4K	54.7M	-833.8K	0.58	46.36	N/A	N/A	4,197	2,430	31,585	19,951
2011-09-28	$103.60	$160.00	151.3%	43.4%	152.0%	92.4%	151.4%	11.6%	-15.0%	200.4K	69.8M	-698.4K	0.95	45.56	N/A	N/A	2,233	2,120	33,389	21,016
2011-09-29	$111.43	$160.00	143.4%	41.1%	156.5%	85.0%	141.5%	19.7%	-9.3%	264.1K	65.8M	-763.8K	0.53	49.68	N/A	N/A	1,421	746	33,820	22,053
2011-09-30	$103.68	$155.00	136.3%	39.1%	156.4%	78.3%	135.8%	12.7%	-9.6%	171.2K	74.0M	-694.4K	0.63	64.15	N/A	N/A	2,204	1,390	33,856	22,196