AGQ Options History — October 2011

In October 2011, AGQ traded between $53.72 and $123.16. ATM implied volatility averaged 107.3%, placing in the 51.1% IV rank vs the trailing year. The 30-day expected move averaged 31.0%. IV traded below realized volatility by 133.7% (HV 20d: 241.1%). Max pain ranged from $60.00 to $155.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.63.

Notable Days

2011-10-27: Highest Volume — 9,752 contracts
2011-10-21: Largest IV drop — 12.7% change
2011-10-04: Highest IV Rank — 86.9%
2011-10-04: Largest Expected Move — 41.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$81.54	$53.72	$123.16	$107.75	$67.37
Max Pain	$89.52	$60.00	$155.00	$155.00	$62.50
ATM IV	107.3%	87.4%	145.4%	140.3%	92.2%
Expected Move	31.0%	25.1%	41.7%	40.2%	26.4%
HV 20d	241.1%	152.9%	303.6%	152.9%	281.3%
HV 60d	164.7%	119.0%	194.1%	120.1%	192.1%
IV Rank	51.1%	32.3%	86.9%	82.1%	36.8%
IV Percentile	87.0%	72.2%	99.2%	98.0%	76.6%
Term Structure	-2.5%	-18.3%	3.5%	-18.3%	-1.2%
VWIV	108.1%	91.8%	140.0%	134.2%	95.1%
Skew 25d	13.2%	2.3%	29.2%	22.2%	4.1%
Skew 10d	28.1%	7.6%	57.1%	40.2%	7.6%
Call IV 25d	103.5%	89.5%	132.2%	129.4%	91.9%
Put IV 25d	116.7%	91.8%	161.4%	151.5%	96.0%
Bid-Ask Spread %	50.00	25.41	69.50	59.28	54.97
Gamma HHI	0.03	0.03	0.04	0.03	0.04
Net GEX	487.7K	-90.8K	1.4M	214.8K	1.2M
Net DEX	60.0M	-7.9M	98.9M	70.9M	12.5M
Net VEX	-684.9K	-816.0K	-320.5K	-720.4K	-721.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.24	1.16	0.51	0.67
Total Volume	3,946.238	1,821	9,752	2,641	2,764
Total OI	89,608.571	56,949	125,115	56,949	105,214

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
2011-10-03	$107.75	$155.00	140.3%	40.2%	152.9%	82.1%	134.2%	22.2%	-18.3%	214.8K	70.9M	-720.4K	0.51	59.28	N/A	N/A	1,744	897	34,160	22,789
2011-10-04	$105.66	$150.00	145.4%	41.7%	153.0%	86.9%	140.0%	29.2%	-14.2%	157.2K	78.9M	-682.2K	0.51	68.31	N/A	N/A	2,057	1,052	34,638	22,939
2011-10-05	$108.48	$150.00	132.4%	38.0%	154.7%	74.7%	131.2%	20.3%	-9.3%	189.7K	75.5M	-706.8K	1.16	60.64	N/A	N/A	1,091	1,270	34,616	23,047
2011-10-06	$119.27	$150.00	120.8%	34.6%	159.9%	63.7%	120.1%	21.3%	-3.0%	425.1K	54.7M	-815.5K	0.24	64.56	N/A	N/A	2,732	664	34,864	23,660
2011-10-07	$112.01	$120.00	118.8%	33.8%	160.3%	61.9%	117.7%	7.3%	-3.0%	308.4K	68.4M	-741.3K	0.55	30.32	N/A	N/A	1,488	825	35,970	23,680
2011-10-10	$119.56	$120.00	110.9%	32.0%	163.5%	54.4%	111.7%	10.8%	-1.5%	492.4K	60.3M	-771.5K	0.79	25.41	N/A	N/A	1,638	1,293	36,149	23,773
2011-10-11	$120.41	$120.00	103.6%	31.5%	162.4%	47.6%	110.0%	10.7%	-3.1%	451.7K	65.0M	-737.1K	0.53	38.65	N/A	N/A	1,548	823	35,928	23,977
2011-10-12	$123.16	$120.00	95.3%	29.7%	163.4%	39.8%	105.9%	9.1%	-0.6%	611.2K	55.9M	-772.3K	0.85	40.17	N/A	N/A	1,288	1,096	36,103	23,968
2011-10-13	$58.40	$70.00	106.3%	30.5%	303.0%	50.1%	105.3%	7.9%	-2.1%	-90.8K	98.9M	-320.5K	0.49	69.50	N/A	N/A	1,224	597	35,527	33,270
2011-10-14	$59.84	$60.00	93.9%	26.9%	302.9%	38.5%	94.4%	10.1%	2.7%	451.8K	78.3M	-665.4K	0.72	51.66	N/A	N/A	1,736	1,254	72,838	48,498
2011-10-17	$58.76	$60.00	97.2%	27.9%	303.1%	41.6%	100.3%	12.1%	1.9%	377.2K	82.0M	-641.1K	0.94	46.43	N/A	N/A	1,550	1,456	73,081	48,687
2011-10-18	$59.80	$60.00	98.9%	28.4%	303.6%	43.2%	99.7%	11.3%	0.8%	444.4K	80.4M	-650.3K	0.85	53.63	N/A	N/A	2,603	2,217	73,283	48,968
2011-10-19	$55.37	$60.00	105.9%	30.4%	303.1%	49.8%	105.8%	13.0%	-3.0%	160.9K	92.7M	-609.7K	0.89	45.36	N/A	N/A	1,936	1,716	73,701	48,995
2011-10-20	$53.72	$60.00	116.3%	33.3%	298.8%	59.5%	118.5%	15.6%	-4.9%	-31.8K	96.5M	-598.5K	0.61	44.12	N/A	N/A	3,640	2,217	73,815	49,487
2011-10-21	$56.39	$60.00	101.5%	29.1%	282.5%	45.6%	98.4%	16.7%	2.8%	250.5K	87.5M	-616.9K	0.45	40.10	N/A	N/A	3,649	1,645	75,103	50,012
2011-10-24	$57.66	$60.00	96.0%	27.5%	283.2%	40.5%	96.0%	16.8%	3.5%	374.2K	55.1M	-595.6K	0.35	58.82	N/A	N/A	3,140	1,108	59,563	37,555
2011-10-25	$63.65	$60.00	97.3%	27.9%	285.0%	41.6%	96.6%	14.2%	0.7%	719.3K	32.8M	-686.9K	0.38	49.09	N/A	N/A	4,613	1,760	60,485	38,201
2011-10-26	$63.92	$60.00	95.8%	27.5%	281.3%	40.2%	97.0%	15.2%	1.4%	848.1K	27.6M	-707.6K	0.69	49.81	N/A	N/A	3,303	2,284	61,674	38,172
2011-10-27	$70.26	$60.00	97.7%	28.0%	282.4%	42.1%	99.9%	7.0%	-1.6%	1.2M	-6.5M	-816.0K	0.31	45.92	N/A	N/A	7,444	2,308	62,505	38,793
2011-10-28	$70.80	$62.50	87.4%	25.1%	282.0%	32.3%	91.8%	2.3%	-0.1%	1.4M	-7.9M	-805.5K	0.70	53.33	N/A	N/A	3,053	2,148	64,929	39,163
2011-10-31	$67.37	$62.50	92.2%	26.4%	281.3%	36.8%	95.1%	4.1%	-1.2%	1.2M	12.5M	-721.9K	0.67	54.97	N/A	N/A	1,653	1,111	65,632	39,582