AGQ Options History — December 2011

In December 2011, AGQ traded between $40.16 and $60.22. ATM implied volatility averaged 78.8%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 22.6%. IV traded below realized volatility by 6.7% (HV 20d: 85.5%). Max pain ranged from $51.00 to $75.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.68.

Notable Days

2011-12-14: Highest Volume — 18,857 contracts
2011-12-09: Largest IV drop — 17.2% change
2011-12-14: Highest IV Rank — 41.9%
2011-12-14: Largest Expected Move — 26.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.59	$40.16	$60.22	$60.06	$41.65
Max Pain	$63.60	$51.00	$75.00	$75.00	$51.00
ATM IV	78.8%	67.9%	97.5%	80.3%	67.9%
Expected Move	22.6%	20.3%	26.5%	23.0%	21.9%
HV 20d	85.5%	74.7%	96.4%	84.8%	83.1%
HV 60d	183.8%	173.1%	191.6%	190.2%	174.4%
IV Rank	24.3%	14.0%	41.9%	25.7%	14.0%
IV Percentile	47.8%	21.0%	82.5%	52.0%	21.0%
Term Structure	4.6%	-2.1%	8.0%	3.7%	4.8%
VWIV	79.1%	69.7%	90.6%	82.3%	75.3%
Skew 25d	9.3%	5.2%	12.6%	10.9%	8.5%
Skew 10d	19.0%	10.0%	27.2%	25.8%	14.6%
Call IV 25d	75.7%	67.0%	87.8%	76.8%	74.7%
Put IV 25d	85.0%	76.5%	98.5%	87.7%	83.2%
Bid-Ask Spread %	61.25	48.16	80.91	80.91	49.02
Gamma HHI	0.08	0.04	0.19	0.04	0.10
Net GEX	88.2K	-692.9K	543.3K	445.2K	127.0K
Net DEX	61.5M	31.2M	111.3M	58.3M	43.6M
Net VEX	-317.4K	-454.8K	-214.0K	-454.8K	-239.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.17	1.33	0.72	0.32
Total Volume	5,281.571	1,660	18,857	4,423	5,381
Total OI	92,328.429	69,632	114,570	100,754	79,528

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
2011-12-01	$60.06	$75.00	80.3%	23.0%	84.8%	25.7%	82.3%	10.9%	3.7%	445.2K	58.3M	-454.8K	0.72	80.91	N/A	N/A	2,573	1,850	63,162	37,592
2011-12-02	$59.27	$75.00	75.4%	21.6%	84.2%	21.1%	75.9%	9.6%	6.7%	439.8K	62.5M	-419.6K	0.24	78.77	N/A	N/A	2,293	541	64,303	38,096
2011-12-05	$56.91	$75.00	81.4%	23.7%	84.8%	26.7%	83.8%	6.1%	4.0%	263.1K	69.5M	-405.1K	0.31	52.85	N/A	N/A	2,693	848	64,947	38,227
2011-12-06	$60.22	$75.00	75.6%	22.6%	85.3%	21.3%	79.8%	5.2%	5.5%	543.3K	59.2M	-425.8K	0.41	53.44	N/A	N/A	2,481	1,005	65,799	38,428
2011-12-07	$59.01	$75.00	77.5%	22.1%	85.4%	23.0%	81.7%	7.1%	7.9%	448.5K	63.8M	-411.0K	0.17	55.07	N/A	N/A	4,053	697	66,296	38,791
2011-12-08	$55.50	$75.00	87.1%	23.6%	86.1%	32.1%	83.5%	7.8%	5.4%	139.1K	77.2M	-367.6K	1.04	51.32	N/A	N/A	2,056	2,136	65,536	39,040
2011-12-09	$57.79	$72.50	72.2%	22.0%	87.8%	18.0%	77.9%	6.9%	7.6%	197.7K	72.9M	-370.9K	0.91	57.94	N/A	N/A	1,101	1,000	65,723	40,176
2011-12-12	$54.80	$72.50	83.2%	23.6%	87.9%	28.4%	84.0%	8.1%	4.2%	-104.5K	84.2M	-329.3K	0.78	54.12	N/A	N/A	2,562	1,998	65,666	39,734
2011-12-13	$52.37	$72.50	89.5%	23.4%	88.7%	34.3%	78.2%	12.6%	3.5%	-418.1K	93.8M	-313.0K	0.37	63.63	N/A	N/A	8,235	3,078	65,834	40,300
2011-12-14	$46.27	$65.00	97.5%	26.5%	96.4%	41.9%	90.6%	10.7%	-2.1%	-692.9K	111.3M	-255.1K	0.50	48.16	N/A	N/A	12,568	6,289	66,193	41,167
2011-12-15	$46.68	$57.50	85.8%	24.6%	96.2%	30.9%	85.2%	9.3%	1.1%	-351.4K	92.1M	-290.9K	0.92	54.57	N/A	N/A	4,252	3,920	72,374	40,709
2011-12-16	$48.66	$56.00	79.4%	22.8%	86.1%	24.8%	80.7%	9.4%	2.6%	-272.2K	84.0M	-296.2K	1.25	60.09	N/A	N/A	2,691	3,365	73,891	40,679
2011-12-19	$45.65	$56.00	80.6%	23.1%	85.6%	25.9%	80.5%	10.8%	1.7%	148.1K	36.5M	-263.0K	1.14	65.13	N/A	N/A	2,019	2,304	46,350	23,282
2011-12-20	$48.31	$55.00	75.6%	21.7%	88.2%	21.2%	77.3%	10.2%	5.9%	250.4K	31.2M	-288.6K	0.62	68.13	N/A	N/A	1,858	1,144	47,314	24,814
2011-12-21	$47.93	$55.00	72.6%	20.8%	83.1%	18.4%	73.2%	10.5%	8.0%	377.0K	32.5M	-285.7K	0.70	63.55	N/A	N/A	1,547	1,089	48,150	24,966
2011-12-22	$46.92	$55.00	71.2%	20.4%	80.9%	17.1%	72.6%	10.6%	5.6%	186.7K	38.8M	-271.0K	0.64	69.51	N/A	N/A	1,011	649	48,734	25,475
2011-12-23	$46.70	$55.00	70.9%	20.3%	79.7%	16.8%	69.7%	9.5%	4.5%	160.6K	40.0M	-273.5K	1.33	69.64	N/A	N/A	1,179	1,564	48,932	25,858
2011-12-27	$45.32	$55.00	73.1%	21.0%	74.7%	18.9%	71.6%	12.6%	5.1%	110.2K	41.5M	-256.7K	0.41	62.81	N/A	N/A	1,713	700	47,868	24,883
2011-12-28	$40.16	$55.00	83.6%	24.0%	84.1%	28.8%	80.8%	10.3%	3.4%	-83.3K	51.4M	-214.0K	0.77	66.66	N/A	N/A	3,805	2,945	48,750	25,248
2011-12-29	$42.19	$52.50	74.9%	21.5%	83.2%	20.6%	76.1%	8.7%	7.0%	-62.4K	46.4M	-233.8K	0.66	60.86	N/A	N/A	4,656	3,064	50,089	25,993
2011-12-30	$41.65	$51.00	67.9%	21.9%	83.1%	14.0%	75.3%	8.5%	4.8%	127.0K	43.6M	-239.2K	0.32	49.02	N/A	N/A	4,073	1,308	52,641	26,887