AGQ Options History — March 2012

In March 2012, AGQ traded between $51.72 and $66.24. ATM implied volatility averaged 64.1%, placing in the 10.5% IV rank vs the trailing year. The 30-day expected move averaged 18.0%. IV traded below realized volatility by 13.1% (HV 20d: 77.2%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.58.

Notable Days

2012-03-05: Highest Volume — 16,559 contracts
2012-03-07: Largest IV drop — 23.6% change
2012-03-06: Highest IV Rank — 32.8%
2012-03-06: Largest Expected Move — 20.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$57.02	$51.72	$66.24	$66.24	$54.46
Max Pain	$57.77	$55.00	$60.00	$60.00	$55.00
ATM IV	64.1%	54.9%	87.8%	74.5%	56.5%
Expected Move	18.0%	15.6%	20.6%	20.2%	15.6%
HV 20d	77.2%	56.4%	84.1%	74.7%	56.4%
HV 60d	74.4%	64.1%	80.1%	79.4%	64.1%
IV Rank	10.5%	1.8%	32.8%	20.2%	3.3%
IV Percentile	13.9%	0.4%	69.8%	31.7%	2.4%
Term Structure	2.6%	-0.4%	5.9%	-0.1%	4.4%
VWIV	63.8%	55.5%	72.6%	71.9%	55.5%
Skew 25d	2.8%	0.2%	4.2%	2.6%	3.1%
Skew 10d	5.7%	2.6%	8.6%	6.5%	3.7%
Call IV 25d	63.0%	54.4%	72.6%	71.3%	54.4%
Put IV 25d	65.8%	57.5%	75.0%	73.9%	57.5%
Bid-Ask Spread %	45.28	13.62	63.89	63.89	62.23
Gamma HHI	0.11	0.07	0.48	0.07	0.09
Net GEX	1.6M	-2.8M	3.3M	3.1M	1.1M
Net DEX	-18.7M	-101.1M	23.8M	-101.1M	413.3K
Net VEX	-506.6K	-636.2K	-432.1K	-636.2K	-440.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.29	1.03	0.36	0.70
Total Volume	8,210.136	2,412	16,559	14,497	4,821
Total OI	84,574.955	59,671	106,106	91,202	73,102

Daily Data (22 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
2012-03-01	$66.24	$60.00	74.5%	20.2%	74.7%	20.2%	71.9%	2.6%	-0.1%	3.1M	-101.1M	-636.2K	0.36	63.89	N/A	N/A	10,695	3,802	61,592	29,610
2012-03-02	$63.56	$60.00	66.4%	19.3%	75.4%	12.6%	68.8%	1.7%	1.1%	2.6M	-60.7M	-614.6K	0.29	63.71	N/A	N/A	12,507	3,618	63,488	31,149
2012-03-05	$60.78	$60.00	80.4%	19.9%	75.6%	25.7%	70.5%	0.2%	0.7%	2.7M	-53.2M	-595.2K	0.37	13.62	N/A	N/A	12,067	4,492	64,646	28,462
2012-03-06	$56.99	$60.00	87.8%	20.6%	79.0%	32.8%	72.6%	2.4%	-0.4%	2.0M	-14.0M	-550.4K	0.62	17.86	N/A	N/A	7,902	4,867	69,166	30,201
2012-03-07	$58.50	$59.00	67.1%	19.3%	78.7%	13.3%	68.7%	2.1%	0.4%	2.1M	-27.8M	-571.5K	0.43	23.94	N/A	N/A	4,868	2,098	69,044	31,535
2012-03-08	$60.07	$59.00	65.4%	19.4%	79.2%	11.7%	68.8%	2.4%	1.3%	3.2M	-51.8M	-587.4K	0.35	28.06	N/A	N/A	5,373	1,880	70,947	31,673
2012-03-09	$61.41	$57.00	60.3%	18.7%	79.6%	6.9%	66.1%	4.2%	2.4%	3.3M	-78.4M	-591.3K	0.47	23.54	N/A	N/A	9,225	4,368	72,481	31,986
2012-03-12	$59.12	$58.00	67.4%	18.8%	80.3%	13.6%	66.4%	4.2%	1.9%	2.5M	-33.6M	-535.6K	0.63	36.05	N/A	N/A	3,244	2,055	68,660	29,960
2012-03-13	$57.85	$59.00	67.7%	18.6%	80.5%	13.8%	65.5%	3.6%	1.1%	2.1M	-15.3M	-517.9K	0.54	39.39	N/A	N/A	5,004	2,701	69,418	30,571
2012-03-14	$54.28	$59.00	71.1%	19.9%	83.3%	17.1%	70.4%	2.0%	1.6%	890.3K	23.8M	-467.9K	0.87	39.77	N/A	N/A	5,669	4,928	69,010	31,488
2012-03-15	$55.30	$57.00	61.4%	17.6%	83.7%	7.9%	63.5%	2.9%	4.1%	846.9K	13.6M	-466.8K	0.43	40.44	N/A	N/A	9,023	3,854	70,401	32,269
2012-03-16	$55.36	$57.00	59.7%	17.1%	83.7%	6.3%	59.6%	3.0%	4.0%	2.0M	4.4M	-467.8K	0.60	50.55	N/A	N/A	4,737	2,846	74,299	31,807
2012-03-19	$56.74	$58.00	54.9%	15.8%	84.1%	1.8%	55.9%	3.2%	4.2%	1.4M	-16.9M	-484.0K	0.55	46.16	N/A	N/A	4,169	2,306	40,552	19,119
2012-03-20	$53.86	$58.00	61.3%	17.6%	81.9%	7.8%	62.4%	2.6%	4.0%	998.3K	-235.2K	-457.4K	1.03	45.13	N/A	N/A	2,678	2,753	42,392	20,699
2012-03-21	$54.06	$57.00	59.8%	17.1%	81.8%	6.4%	62.2%	2.9%	2.7%	834.7K	1.9M	-455.7K	0.79	55.15	N/A	N/A	1,348	1,064	42,804	22,668
2012-03-22	$51.72	$57.00	63.2%	18.1%	79.3%	9.6%	64.4%	3.9%	2.7%	229.3K	17.2M	-432.1K	0.72	50.34	N/A	N/A	4,435	3,199	43,242	23,365
2012-03-23	$54.13	$57.00	59.3%	17.0%	81.9%	5.9%	59.6%	4.1%	2.6%	-2.8M	2.1M	-454.2K	0.51	60.88	N/A	N/A	3,157	1,604	43,179	24,994
2012-03-26	$56.58	$56.00	56.9%	16.3%	84.1%	3.7%	58.4%	2.9%	4.8%	1.4M	-16.6M	-480.0K	0.33	61.03	N/A	N/A	3,403	1,111	42,301	22,526
2012-03-27	$55.28	$56.00	56.9%	16.3%	76.9%	3.6%	57.3%	3.5%	4.3%	1.7M	-10.9M	-463.8K	0.30	59.50	N/A	N/A	2,574	777	44,466	22,705
2012-03-28	$53.75	$56.00	57.1%	16.4%	61.1%	3.9%	58.4%	2.9%	2.8%	1.1M	3.3M	-432.9K	0.86	56.84	N/A	N/A	2,887	2,497	44,925	23,094
2012-03-29	$54.42	$56.00	55.9%	16.0%	57.5%	2.7%	57.6%	2.0%	5.9%	1.1M	2.7M	-440.7K	1.03	57.99	N/A	N/A	1,977	2,040	46,165	24,488
2012-03-30	$54.46	$55.00	56.5%	15.6%	56.4%	3.3%	55.5%	3.1%	4.4%	1.1M	413.3K	-440.7K	0.70	62.23	N/A	N/A	2,842	1,979	47,284	25,818