AGQ Options History — February 2012

In February 2012, AGQ traded between $58.77 and $72.33. ATM implied volatility averaged 67.4%, placing in the 13.5% IV rank vs the trailing year. The 30-day expected move averaged 19.0%. IV traded above realized volatility by 13.6% (HV 20d: 53.8%). Max pain ranged from $48.00 to $59.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.48.

Notable Days

2012-02-29: Highest Volume — 28,434 contracts
2012-02-29: Largest IV spike — 46.0% change
2012-02-29: Highest IV Rank — 50.9%
2012-02-29: Largest Expected Move — 22.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.48	$58.77	$72.33	$60.88	$62.88
Max Pain	$55.42	$48.00	$59.00	$48.00	$59.00
ATM IV	67.4%	56.7%	107.2%	76.5%	107.2%
Expected Move	19.0%	16.5%	22.4%	19.8%	22.4%
HV 20d	53.8%	44.1%	73.2%	58.1%	73.2%
HV 60d	78.2%	72.1%	82.7%	82.6%	78.8%
IV Rank	13.5%	3.5%	50.9%	22.1%	50.9%
IV Percentile	16.2%	1.6%	89.3%	38.9%	89.3%
Term Structure	5.4%	-5.0%	11.0%	4.8%	-5.0%
VWIV	67.3%	58.9%	80.7%	69.6%	80.7%
Skew 25d	1.4%	-1.7%	3.7%	3.7%	2.4%
Skew 10d	2.5%	-4.7%	6.1%	4.9%	6.1%
Call IV 25d	67.1%	58.4%	79.8%	68.7%	79.8%
Put IV 25d	68.5%	60.0%	82.2%	72.4%	82.2%
Bid-Ask Spread %	50.91	37.30	64.45	39.85	62.62
Gamma HHI	0.09	0.07	0.16	0.07	0.09
Net GEX	3.5M	1.8M	4.9M	2.4M	2.4M
Net DEX	-124.4M	-169.0M	-71.1M	-119.1M	-71.1M
Net VEX	-496.7K	-595.5K	-409.9K	-495.6K	-595.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.16	0.88	0.41	0.60
Total Volume	10,329.9	2,876	28,434	7,295	28,434
Total OI	81,224.9	60,156	92,733	77,555	83,251

Daily Data (20 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
2012-02-01	$60.88	$48.00	76.5%	19.8%	58.1%	22.1%	69.6%	3.7%	4.8%	2.4M	-119.1M	-495.6K	0.41	39.85	N/A	N/A	5,169	2,126	52,344	25,211
2012-02-02	$63.04	$48.00	72.8%	21.0%	56.3%	18.7%	74.2%	2.7%	3.3%	3.0M	-151.1M	-529.0K	0.74	39.26	N/A	N/A	5,216	3,856	55,091	26,166
2012-02-03	$60.45	$56.00	62.8%	20.5%	59.9%	9.2%	72.7%	-0.5%	5.8%	3.1M	-123.0M	-518.1K	0.63	37.59	N/A	N/A	4,616	2,903	57,220	27,447
2012-02-06	$60.58	$57.50	67.4%	20.7%	56.4%	13.6%	73.6%	1.1%	5.3%	3.3M	-128.9M	-510.0K	0.50	37.83	N/A	N/A	2,920	1,456	57,054	24,784
2012-02-07	$62.60	$57.50	68.6%	20.6%	56.7%	14.7%	72.9%	1.4%	5.4%	3.7M	-157.9M	-513.6K	0.42	37.30	N/A	N/A	5,997	2,491	58,794	25,707
2012-02-08	$61.71	$57.50	65.6%	19.8%	54.9%	11.9%	70.4%	0.6%	7.7%	4.3M	-152.5M	-513.0K	0.79	37.98	N/A	N/A	3,023	2,381	61,436	26,375
2012-02-09	$61.16	$57.50	67.1%	19.2%	55.4%	13.3%	67.8%	0.7%	6.5%	4.4M	-144.9M	-503.7K	0.88	44.34	N/A	N/A	2,770	2,438	61,979	27,011
2012-02-10	$59.73	$57.50	66.4%	19.0%	56.7%	12.6%	67.2%	1.4%	8.2%	4.2M	-119.5M	-480.1K	0.51	54.28	N/A	N/A	3,091	1,568	61,935	27,356
2012-02-13	$60.61	$57.50	63.7%	18.3%	54.3%	10.1%	64.6%	1.1%	8.8%	4.5M	-133.5M	-456.7K	0.39	39.20	N/A	N/A	2,937	1,143	60,244	26,282
2012-02-14	$59.86	$57.50	64.3%	18.4%	54.8%	10.7%	64.9%	0.9%	8.7%	4.8M	-125.4M	-447.7K	0.63	52.40	N/A	N/A	1,763	1,113	61,445	26,562
2012-02-15	$59.50	$57.50	64.2%	18.4%	54.5%	10.6%	64.7%	1.8%	7.9%	4.6M	-115.1M	-431.8K	0.63	56.14	N/A	N/A	2,395	1,510	60,874	26,851
2012-02-16	$59.83	$57.50	62.8%	18.0%	54.5%	9.2%	63.9%	1.5%	9.0%	4.9M	-119.7M	-425.9K	0.37	57.99	N/A	N/A	5,580	2,076	61,344	27,128
2012-02-17	$58.77	$55.00	59.6%	17.1%	45.1%	6.2%	60.8%	2.0%	11.0%	1.8M	-109.5M	-409.9K	0.16	61.42	N/A	N/A	14,729	2,401	65,110	27,623
2012-02-21	$62.81	$52.50	60.7%	17.4%	50.4%	7.3%	62.5%	2.9%	3.8%	2.3M	-75.1M	-446.0K	0.24	59.89	N/A	N/A	11,337	2,676	42,553	17,603
2012-02-22	$63.10	$51.00	61.4%	17.6%	49.3%	7.9%	62.0%	1.5%	4.3%	3.3M	-101.0M	-503.9K	0.34	61.04	N/A	N/A	5,520	1,875	50,097	18,676
2012-02-23	$66.67	$54.00	62.4%	17.9%	45.2%	8.8%	63.4%	0.3%	4.6%	3.8M	-139.1M	-531.4K	0.25	60.58	N/A	N/A	19,859	4,928	51,874	19,868
2012-02-24	$66.51	$55.00	56.7%	16.5%	45.3%	3.5%	58.9%	1.7%	4.8%	3.1M	-123.1M	-525.0K	0.62	63.01	N/A	N/A	5,388	3,316	51,965	22,276
2012-02-27	$66.54	$55.00	64.0%	17.9%	44.1%	10.4%	63.1%	2.6%	2.6%	3.2M	-110.3M	-531.4K	0.23	64.45	N/A	N/A	10,235	2,353	50,596	21,508
2012-02-28	$72.33	$57.50	73.4%	18.9%	50.9%	19.2%	67.0%	-1.7%	0.4%	3.6M	-169.0M	-565.9K	0.27	50.92	N/A	N/A	18,096	4,913	51,851	23,007
2012-02-29	$62.88	$59.00	107.2%	22.4%	73.2%	50.9%	80.7%	2.4%	-5.0%	2.4M	-71.1M	-595.5K	0.60	62.62	N/A	N/A	17,747	10,687	58,167	25,084