AGQ Options History — January 2012

In January 2012, AGQ traded between $44.65 and $61.61. ATM implied volatility averaged 73.6%, placing in the 19.4% IV rank vs the trailing year. The 30-day expected move averaged 20.8%. IV traded below realized volatility by 14.4% (HV 20d: 88.0%). Max pain ranged from $40.00 to $52.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.45.

Notable Days

  • 2012-01-23: Highest Volume — 19,537 contracts
  • 2012-01-05: Largest IV drop — 17.5% change
  • 2012-01-04: Highest IV Rank — 30.7%
  • 2012-01-09: Largest Expected Move — 21.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.00$44.65$61.61$47.70$59.08
Max Pain$44.42$40.00$52.50$52.50$48.00
ATM IV73.6%65.3%85.7%81.5%78.3%
Expected Move20.8%19.6%21.6%20.6%21.4%
HV 20d88.0%71.4%99.5%99.5%72.6%
HV 60d107.9%82.4%175.7%175.7%82.4%
IV Rank19.4%11.6%30.7%26.8%23.8%
IV Percentile33.1%14.3%64.7%56.0%46.0%
Term Structure3.1%-0.0%7.7%4.4%1.5%
VWIV73.2%69.7%77.9%70.9%74.9%
Skew 25d5.9%1.6%10.4%6.2%2.7%
Skew 10d12.2%2.6%23.9%13.3%2.6%
Call IV 25d70.8%64.9%74.8%69.2%74.8%
Put IV 25d76.7%72.8%81.4%75.3%77.4%
Bid-Ask Spread %34.5424.9773.9266.2036.45
Gamma HHI0.100.060.140.120.06
Net GEX1.9M415.2K3.1M415.2K2.6M
Net DEX-39.1M-147.6M31.0M24.9M-105.3M
Net VEX-368.9K-505.9K-276.6K-277.3K-491.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.121.150.341.15
Total Volume8,922.253,09119,5377,9348,024
Total OI83,819.3561,521108,27177,31274,536

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-01-03$47.70$52.5081.5%20.6%99.5%26.8%70.9%6.2%4.4%415.2K24.9M-277.3K0.3466.20N/AN/A5,9132,02151,54225,770
2012-01-04$46.28$51.0085.7%19.9%99.2%30.7%71.0%8.6%7.7%550.3K29.7M-276.6K0.3062.32N/AN/A3,4741,04353,01926,226
2012-01-05$46.60$50.0070.7%20.1%96.2%16.6%70.2%10.4%5.8%792.5K23.7M-284.1K0.3973.92N/AN/A5,8092,26955,22726,435
2012-01-06$44.65$40.0069.9%21.3%96.8%15.9%75.4%7.2%3.5%618.0K31.0M-279.9K0.7525.95N/AN/A3,2662,46159,33927,425
2012-01-09$45.43$40.0077.5%21.6%95.7%23.0%75.0%8.6%2.2%769.1K24.9M-279.8K0.5325.06N/AN/A2,0221,06958,89526,999
2012-01-10$48.36$40.0074.7%20.8%97.6%20.4%71.6%7.4%3.7%1.1M6.2M-309.2K0.4126.63N/AN/A3,7941,55959,87927,553
2012-01-11$48.65$40.0065.3%20.9%96.2%11.6%75.5%5.9%2.9%1.2M2.6M-319.0K0.1328.57N/AN/A8,3941,11860,85427,934
2012-01-12$49.12$42.0072.3%20.7%95.2%18.2%72.2%6.4%6.8%1.7M-10.6M-324.3K0.3429.60N/AN/A9,6373,26765,55128,461
2012-01-13$47.47$42.0074.4%21.3%84.9%20.1%74.0%7.6%0.7%1.9M5.1M-329.2K0.3628.87N/AN/A4,3611,57368,96929,362
2012-01-17$48.67$42.0074.6%21.4%85.3%20.3%77.9%8.0%-0.0%2.3M-8.2M-326.1K0.8128.17N/AN/A3,1292,53768,46828,618
2012-01-18$50.20$42.0071.3%20.4%84.7%17.2%72.1%5.8%3.3%2.6M-23.1M-337.3K0.1924.97N/AN/A6,5741,24769,19030,290
2012-01-19$50.59$42.0070.1%20.1%81.2%16.1%69.9%6.1%2.1%3.1M-31.9M-343.6K0.1225.60N/AN/A13,2671,58071,63330,515
2012-01-20$55.52$42.0068.5%19.6%85.1%14.6%69.7%5.9%3.9%2.2M-103.7M-386.4K0.2829.77N/AN/A12,6973,60576,94031,331
2012-01-23$56.12$45.0070.4%20.2%85.0%16.4%72.1%4.5%3.2%2.3M-82.1M-425.4K0.2230.08N/AN/A15,9923,54544,54016,981
2012-01-24$54.87$45.0070.2%20.1%85.0%16.2%72.4%4.5%2.2%2.3M-71.6M-434.7K0.6732.23N/AN/A2,0541,37946,71218,691
2012-01-25$59.39$45.0074.7%21.4%88.5%20.4%75.8%3.8%0.9%2.4M-107.6M-461.4K0.3429.48N/AN/A13,9304,68346,92419,661
2012-01-26$59.60$46.0075.1%21.5%87.2%20.8%76.0%4.9%0.3%3.0M-121.8M-493.6K0.3727.30N/AN/A6,3702,38451,66821,577
2012-01-27$61.61$47.0069.9%20.3%71.4%15.9%72.8%1.6%4.5%2.7M-147.6M-505.9K0.3928.08N/AN/A5,3902,09153,49322,604
2012-01-30$60.04$47.0077.6%21.3%72.5%23.2%75.5%2.0%2.4%2.8M-116.1M-493.7K0.8831.60N/AN/A2,6212,29651,57221,003
2012-01-31$59.08$48.0078.3%21.4%72.6%23.8%74.9%2.7%1.5%2.6M-105.3M-491.3K1.1536.45N/AN/A3,7274,29752,07922,457