AGQ Options History — May 2012

In May 2012, AGQ traded between $37.95 and $49.60. ATM implied volatility averaged 61.4%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 20.2% (HV 20d: 41.2%). Max pain ranged from $47.00 to $54.00. Net GEX was positive for 7 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.89.

Notable Days

  • 2012-05-16: Highest Volume — 15,050 contracts
  • 2012-05-29: Largest IV spike — 31.1% change
  • 2012-05-30: Highest IV Rank — 28.5%
  • 2012-05-16: Largest Expected Move — 19.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.76$37.95$49.60$49.60$39.50
Max Pain$50.09$47.00$54.00$49.00$47.00
ATM IV61.4%51.3%77.0%51.3%68.6%
Expected Move17.0%14.2%19.8%14.2%18.4%
HV 20d41.2%29.2%48.4%48.4%46.6%
HV 60d58.5%48.9%61.9%60.6%48.9%
IV Rank13.4%3.4%28.5%3.4%20.4%
IV Percentile16.9%0.8%52.4%0.8%32.1%
Term Structure2.3%-4.1%5.9%2.9%1.1%
VWIV60.8%50.9%74.2%50.9%66.2%
Skew 25d5.5%2.6%11.1%3.4%6.2%
Skew 10d11.1%5.6%19.9%7.4%11.8%
Call IV 25d58.6%49.7%66.7%49.7%62.1%
Put IV 25d64.1%53.2%77.7%53.2%68.2%
Bid-Ask Spread %52.8334.9169.0539.2669.05
Gamma HHI0.160.050.790.060.35
Net GEX-652.7K-8.6M988.7K988.7K-1.2M
Net DEX40.8M7.7M70.2M7.7M41.0M
Net VEX-296.4K-370.9K-229.3K-370.9K-280.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.302.170.560.65
Total Volume6,661.5452,86515,0503,7453,183
Total OI74,507.04564,52990,06668,70071,633

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$49.60$49.0051.3%14.2%48.4%3.4%50.9%3.4%2.9%988.7K7.7M-370.9K0.5639.26N/AN/A2,3971,34843,89624,804
2012-05-02$48.64$49.0056.2%14.3%48.0%7.9%51.1%3.4%2.1%518.4K19.9M-347.3K0.3538.88N/AN/A3,6871,30844,61125,606
2012-05-03$47.04$49.0054.9%15.1%39.5%6.7%54.1%2.6%1.0%230.3K30.6M-336.3K0.8140.20N/AN/A3,7433,01646,68326,065
2012-05-04$47.41$54.0052.2%15.2%38.2%4.3%54.4%3.3%4.2%487.4K30.1M-338.7K0.9543.73N/AN/A3,4923,32248,40727,746
2012-05-07$46.77$54.0057.8%16.0%38.2%10.0%56.0%4.4%3.3%353.4K31.0M-325.4K0.3048.77N/AN/A4,3391,29246,44926,509
2012-05-08$45.03$54.0064.4%16.1%39.2%16.4%57.5%3.6%2.9%88.2K42.2M-302.8K1.0647.96N/AN/A3,9894,21946,57526,717
2012-05-09$44.01$53.0057.2%16.3%39.6%9.4%58.3%5.1%4.4%20.6K45.1M-292.5K1.0551.07N/AN/A3,3793,56447,46526,704
2012-05-10$43.60$53.0053.6%15.4%33.7%6.0%54.7%5.5%5.9%-1.1M51.1M-283.5K0.6452.07N/AN/A3,7422,38048,12328,983
2012-05-11$43.08$52.0055.5%15.9%29.2%7.7%55.2%5.9%4.6%-8.6M57.4M-282.3K2.1438.49N/AN/A3,0046,42350,19630,552
2012-05-14$41.11$51.0058.9%16.9%31.9%11.1%59.7%6.6%2.0%-809.1K63.0M-251.3K0.6452.16N/AN/A3,1281,99049,28229,087
2012-05-15$39.40$50.0062.6%17.9%32.2%14.6%61.2%6.8%1.0%-682.3K67.6M-242.5K0.7751.73N/AN/A3,1372,41250,59929,919
2012-05-16$37.95$50.0068.9%19.8%33.2%20.7%74.2%11.1%-4.1%-460.3K70.2M-229.3K1.6357.03N/AN/A5,7259,32551,81730,523
2012-05-17$40.46$50.0066.2%19.0%42.8%18.1%67.6%7.9%0.2%-275.3K51.1M-286.7K0.4953.16N/AN/A5,8112,84555,05133,145
2012-05-18$42.15$49.0065.8%18.9%46.9%17.7%72.1%4.0%2.1%-59.4K37.3M-310.2K1.4734.91N/AN/A5,9858,78056,44433,622
2012-05-21$41.75$49.0062.5%17.9%44.3%14.5%63.0%5.1%3.5%-406.4K34.0M-297.5K0.4356.50N/AN/A2,7501,18436,61827,911
2012-05-22$40.72$49.0057.9%16.6%44.7%10.1%59.2%5.9%3.5%-625.0K38.4M-290.7K0.7063.92N/AN/A2,2781,59038,22528,783
2012-05-23$39.86$48.0063.0%18.1%44.8%15.0%65.4%6.1%3.5%-763.7K43.4M-282.3K1.6462.75N/AN/A3,8306,28638,73329,225
2012-05-24$41.01$48.0062.8%18.0%45.5%14.8%63.8%6.2%2.0%-526.2K31.7M-308.2K0.4360.44N/AN/A2,00386240,54130,917
2012-05-25$41.58$48.0057.9%17.3%45.5%10.1%63.1%5.0%2.8%-9.7K26.2M-298.3K2.1764.80N/AN/A2,1334,63940,79031,237
2012-05-29$40.01$48.0075.9%18.2%46.6%27.4%63.7%6.7%1.8%-767.6K40.5M-281.6K0.4067.27N/AN/A3,2341,28038,88629,657
2012-05-30$40.02$48.0077.0%19.2%46.7%28.5%67.0%6.7%-0.5%-758.2K39.3M-281.8K0.3968.18N/AN/A2,53998140,23930,180
2012-05-31$39.50$47.0068.6%18.4%46.6%20.4%66.2%6.2%1.1%-1.2M41.0M-280.3K0.6569.05N/AN/A1,9331,25041,15630,477