AGQ Options History — November 2011

In November 2011, AGQ traded between $54.17 and $69.52. ATM implied volatility averaged 88.4%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 25.6%. IV traded below realized volatility by 61.3% (HV 20d: 149.8%). Max pain ranged from $62.50 to $100.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2011-11-17: Highest Volume — 12,412 contracts
  • 2011-11-17: Largest IV spike — 15.9% change
  • 2011-11-01: Highest IV Rank — 45.9%
  • 2011-11-01: Largest Expected Move — 29.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.78$54.17$69.52$62.94$60.61
Max Pain$87.10$62.50$100.00$62.50$75.00
ATM IV88.4%76.9%101.8%101.8%76.9%
Expected Move25.6%22.0%29.2%29.2%22.0%
HV 20d149.8%74.8%282.6%281.8%87.2%
HV 60d190.1%188.3%192.1%192.1%190.2%
IV Rank33.3%22.5%45.9%45.9%22.5%
IV Percentile69.3%42.1%86.9%86.9%42.1%
Term Structure1.9%-4.1%6.6%-1.2%6.6%
VWIV90.5%76.3%103.8%103.8%76.3%
Skew 25d9.4%5.3%15.4%9.4%9.5%
Skew 10d22.7%12.7%35.8%23.4%21.0%
Call IV 25d87.2%73.2%100.5%100.5%73.2%
Put IV 25d96.6%82.7%112.6%110.0%82.7%
Bid-Ask Spread %69.2851.7580.5755.2978.33
Gamma HHI0.050.040.060.040.04
Net GEX777.3K-139.6K1.6M868.8K377.4K
Net DEX42.7M4.3M87.4M31.4M58.8M
Net VEX-572.4K-748.1K-411.1K-684.6K-449.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.371.260.670.38
Total Volume3,760.4291,04412,4126,1933,157
Total OI105,779.1995,082116,293105,79299,923

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$62.94$62.50101.8%29.2%281.8%45.9%103.8%9.4%-1.2%868.8K31.4M-684.6K0.6755.29N/AN/A3,7142,47965,77940,013
2011-11-02$66.35$62.5096.0%27.5%282.6%40.4%98.4%7.0%0.8%1.1M15.3M-726.1K0.4952.06N/AN/A1,40068266,37240,574
2011-11-03$67.81$62.5090.3%25.9%279.7%35.1%92.5%7.1%6.2%1.3M6.8M-748.1K0.5651.75N/AN/A1,65092766,52540,677
2011-11-04$66.05$100.0087.0%26.4%279.4%32.0%94.0%5.5%0.9%1.2M19.2M-709.0K0.3865.36N/AN/A75429066,89640,896
2011-11-07$69.52$100.0086.0%25.1%278.8%31.0%89.7%5.5%1.0%1.5M4.3M-703.0K0.5767.87N/AN/A1,64993267,01440,872
2011-11-08$69.31$100.0081.6%25.3%278.6%26.9%89.2%5.3%-0.6%1.6M6.3M-696.7K0.6063.54N/AN/A1,8031,08367,22641,026
2011-11-09$65.78$100.0088.3%26.7%278.1%33.2%94.0%7.1%-0.1%1.2M26.2M-651.9K1.2666.06N/AN/A1,8302,30367,57541,148
2011-11-10$65.66$100.0092.1%26.4%77.6%36.8%92.6%7.9%-1.7%1.2M29.0M-647.0K0.4165.51N/AN/A2,09885967,81341,912
2011-11-11$68.00$100.0083.8%24.0%78.1%29.0%85.1%5.7%2.1%1.5M19.5M-642.3K0.4169.56N/AN/A1,35456168,07841,866
2011-11-14$66.58$100.0085.5%24.5%78.2%30.5%88.8%8.8%0.7%1.3M31.5M-605.3K1.2368.91N/AN/A1,0151,24968,28941,940
2011-11-15$67.65$100.0084.8%24.3%78.2%29.9%83.6%9.0%1.9%1.4M26.8M-606.6K0.4964.77N/AN/A1,80188668,34542,464
2011-11-16$64.37$99.5087.5%25.1%74.8%32.4%87.2%10.7%0.1%783.8K47.2M-562.0K0.6977.93N/AN/A2,3901,65068,94442,780
2011-11-17$55.94$99.50101.4%29.1%90.7%45.5%103.1%14.4%-4.1%-139.6K87.4M-459.6K0.9970.05N/AN/A6,2286,18469,21543,376
2011-11-18$58.80$95.0086.3%24.7%90.8%31.3%86.8%15.4%3.3%68.2K79.6M-488.3K0.5079.25N/AN/A5,8152,89871,05745,236
2011-11-21$56.31$85.0086.8%24.9%91.9%31.8%89.0%12.5%4.2%71.8K71.2M-442.6K0.4575.34N/AN/A3,7521,68958,95036,132
2011-11-22$60.51$85.0081.9%23.5%88.4%27.2%82.0%13.2%3.8%234.3K63.8M-455.5K0.4273.43N/AN/A3,4381,43459,94836,665
2011-11-23$56.80$77.5088.9%25.5%90.9%33.8%89.8%11.0%1.7%198.6K66.7M-458.1K0.3775.75N/AN/A2,23982561,22136,939
2011-11-25$54.17$75.0097.7%28.0%83.8%42.1%99.5%10.8%6.0%91.4K73.3M-419.2K0.6679.16N/AN/A1,13175161,71737,163
2011-11-28$58.02$75.0088.0%25.2%88.5%32.9%90.3%11.3%3.4%240.6K64.2M-453.7K0.8580.57N/AN/A1,16198561,92137,211
2011-11-29$57.23$75.0084.6%24.3%87.3%29.7%85.7%11.4%4.3%190.8K69.2M-411.1K0.8574.46N/AN/A1,04188262,18337,482
2011-11-30$60.61$75.0076.9%22.0%87.2%22.5%76.3%9.5%6.6%377.4K58.8M-449.8K0.3878.33N/AN/A2,29586262,36637,557