AGQ Options History — June 2012

In June 2012, AGQ traded between $35.26 and $44.01. ATM implied volatility averaged 60.1%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 17.7%. IV traded above realized volatility by 9.2% (HV 20d: 50.8%). Max pain ranged from $39.00 to $47.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.92.

Notable Days

  • 2012-06-21: Highest Volume — 14,994 contracts
  • 2012-06-14: Largest IV spike — 34.1% change
  • 2012-06-04: Highest IV Rank — 30.2%
  • 2012-06-04: Largest Expected Move — 19.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.17$35.26$44.01$41.43$38.13
Max Pain$41.71$39.00$47.00$47.00$39.00
ATM IV60.1%48.4%78.8%73.7%55.7%
Expected Move17.7%15.9%19.8%18.8%16.2%
HV 20d50.8%41.9%58.4%50.1%58.4%
HV 60d48.9%45.9%51.1%49.7%49.1%
IV Rank12.2%0.9%30.2%25.3%8.0%
IV Percentile17.5%0.4%59.9%43.3%6.3%
Term Structure3.5%0.9%5.6%2.3%4.4%
VWIV62.8%55.8%70.3%67.2%57.0%
Skew 25d5.5%3.6%8.3%8.3%5.6%
Skew 10d10.6%6.9%16.3%13.3%9.4%
Call IV 25d60.7%54.3%68.3%63.2%55.5%
Put IV 25d66.2%58.7%74.6%71.5%61.2%
Bid-Ask Spread %27.3314.7469.0769.0745.00
Gamma HHI0.170.050.350.050.06
Net GEX-96.5K-882.3K873.2K6.7K111.9K
Net DEX28.3M13.6M47.4M25.9M14.9M
Net VEX-282.2K-307.9K-247.4K-288.7K-283.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.920.371.931.260.85
Total Volume6,848.6672,60014,9949,53011,659
Total OI66,364.09547,42979,07472,53964,185

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$41.43$47.0073.7%18.8%50.1%25.3%67.2%8.3%2.3%6.7K25.9M-288.7K1.2669.07N/AN/A4,2175,31341,73530,804
2012-06-04$40.94$41.0078.8%19.8%49.8%30.2%70.3%6.3%1.0%-514.3K37.3M-282.5K0.5414.74N/AN/A1,69192040,18630,463
2012-06-05$41.72$41.0068.8%19.1%50.6%20.6%68.2%5.9%2.6%-293.7K31.9M-288.4K0.6816.87N/AN/A1,8681,27641,17830,684
2012-06-06$44.01$42.0057.6%18.4%53.2%9.9%64.4%5.0%3.6%552.5K13.6M-307.9K0.5720.89N/AN/A4,2492,44142,27730,935
2012-06-07$41.70$42.0055.0%18.3%56.0%7.4%65.3%3.6%4.7%-276.5K30.4M-288.7K0.7018.44N/AN/A4,3033,03343,03931,569
2012-06-08$41.60$43.0056.8%18.2%55.9%9.0%65.5%4.1%3.8%161.9K32.2M-288.3K1.9319.17N/AN/A3,0355,85044,21932,735
2012-06-11$41.69$42.0055.0%18.0%55.8%7.4%65.3%4.1%3.5%-121.3K31.6M-287.5K0.5918.60N/AN/A2,4341,44242,76831,748
2012-06-12$42.70$42.0049.7%17.4%53.8%2.3%61.3%3.9%5.6%389.8K22.6M-295.4K0.7119.35N/AN/A2,6111,85443,55431,903
2012-06-13$42.31$42.0048.4%18.0%51.4%0.9%63.5%5.0%4.0%455.2K23.3M-295.9K1.1718.31N/AN/A1,4321,67444,52532,116
2012-06-14$41.75$43.0064.9%18.6%49.6%16.8%67.4%5.6%2.5%362.1K28.4M-286.5K0.8520.51N/AN/A2,7682,34744,77832,581
2012-06-15$41.70$43.0064.8%18.6%44.4%16.8%65.9%6.1%4.1%873.2K28.5M-286.2K1.8818.92N/AN/A2,5914,86645,62233,452
2012-06-18$41.88$42.0057.2%16.4%41.9%9.4%57.7%4.5%4.3%-388.1K19.1M-286.9K0.3725.48N/AN/A3,7511,37324,90022,529
2012-06-19$41.10$42.0055.5%15.9%42.3%7.8%55.8%4.4%3.5%-349.3K20.9M-286.0K0.5326.87N/AN/A1,8991,00527,38423,348
2012-06-20$39.98$42.0056.3%16.1%42.5%8.5%56.7%4.9%4.3%-882.3K28.2M-270.7K1.1342.05N/AN/A5,2485,94227,97823,981
2012-06-21$36.74$42.0065.2%18.7%51.5%17.1%66.8%8.0%0.9%-501.7K39.3M-251.0K1.6623.36N/AN/A5,6409,35429,80924,144
2012-06-22$36.72$41.0058.7%16.8%50.1%10.9%58.4%7.4%4.8%-352.6K47.4M-265.2K1.1525.85N/AN/A4,8635,58632,52828,959
2012-06-25$38.36$40.0059.6%17.1%52.6%11.7%60.2%6.2%3.2%-23.5K23.1M-288.7K0.8227.25N/AN/A6,4765,30731,39425,579
2012-06-26$37.15$40.0058.8%16.8%52.1%10.9%59.6%5.3%2.9%-164.8K27.8M-279.3K0.4130.89N/AN/A2,5301,03432,99527,112
2012-06-27$36.62$40.0058.0%16.6%52.2%10.2%59.3%5.8%3.6%-267.7K29.7M-271.0K0.7137.64N/AN/A1,5181,08234,38627,353
2012-06-28$35.26$40.0062.8%18.0%53.5%14.8%63.2%5.9%3.2%-803.2K37.5M-247.4K0.9034.76N/AN/A3,8703,47035,05227,159
2012-06-29$38.13$39.0055.7%16.2%58.4%8.0%57.0%5.6%4.4%111.9K14.9M-283.3K0.8545.00N/AN/A6,2945,36536,24427,941