AGQ Options History — July 2012

In July 2012, AGQ traded between $36.26 and $40.50. ATM implied volatility averaged 58.9%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 3.5% (HV 20d: 55.3%). Max pain ranged from $39.00 to $40.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.79.

Notable Days

  • 2012-07-16: Highest Volume — 8,316 contracts
  • 2012-07-11: Largest IV drop — 24.7% change
  • 2012-07-31: Highest IV Rank — 30.0%
  • 2012-07-10: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.74$36.26$40.50$38.24$39.10
Max Pain$39.38$39.00$40.00$39.00$39.00
ATM IV58.9%52.8%78.5%56.1%78.5%
Expected Move16.4%15.1%18.1%16.1%16.7%
HV 20d55.3%39.5%61.9%58.4%40.1%
HV 60d49.7%48.7%51.5%48.7%49.5%
IV Rank11.0%5.2%30.0%8.4%30.0%
IV Percentile17.1%3.2%63.9%7.5%63.9%
Term Structure2.7%1.3%4.3%4.3%1.8%
VWIV58.3%53.8%65.6%55.9%59.7%
Skew 25d5.0%3.4%7.1%4.8%3.4%
Skew 10d9.5%5.1%13.4%7.2%5.1%
Call IV 25d56.5%52.1%61.6%54.6%58.2%
Put IV 25d61.5%56.7%68.6%59.4%61.6%
Bid-Ask Spread %35.4124.8157.9851.6534.22
Gamma HHI0.120.050.200.110.08
Net GEX-37.9K-676.7K870.8K-148.1K59.5K
Net DEX26.1M5.9M35.4M22.6M19.2M
Net VEX-278.5K-310.5K-248.6K-281.8K-308.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.162.400.590.80
Total Volume5,137.812,0668,3163,7565,485
Total OI66,295.90558,25874,63261,25865,336

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$38.24$39.0056.1%16.1%58.4%8.4%55.9%4.8%4.3%-148.1K22.6M-281.8K0.5951.65N/AN/A2,3621,39433,87927,379
2012-07-03$40.50$39.0054.4%15.9%61.9%6.8%56.4%3.9%3.7%521.9K5.9M-310.5K0.5343.23N/AN/A2,5061,33935,16627,881
2012-07-05$38.74$40.0058.0%16.4%60.1%10.2%56.7%3.5%1.5%220.7K19.0M-283.7K1.6657.98N/AN/A2,7784,60035,95928,473
2012-07-06$37.04$40.0058.6%17.4%59.2%10.8%61.3%5.6%1.9%-676.7K34.6M-267.8K0.9525.34N/AN/A4,1123,89636,88530,339
2012-07-09$37.66$40.0059.5%17.0%59.7%11.6%59.4%5.8%3.2%-133.8K25.9M-274.6K0.1624.81N/AN/A3,72861435,89227,708
2012-07-10$36.26$40.0074.1%18.1%60.8%25.7%65.6%7.1%1.5%-185.5K32.6M-262.1K0.5325.11N/AN/A2,9921,57438,18328,027
2012-07-11$36.89$40.0055.7%17.1%60.4%8.0%61.6%6.1%2.1%-376.9K31.5M-259.8K0.4826.48N/AN/A1,98495837,79929,597
2012-07-12$37.15$40.0060.8%17.4%60.6%12.9%62.5%6.6%1.5%-245.9K27.7M-269.7K0.5430.88N/AN/A2,4791,34938,34229,843
2012-07-13$37.37$39.0057.4%16.4%60.7%9.6%58.4%5.3%3.0%-165.9K26.3M-260.4K1.5630.14N/AN/A2,5774,01939,12430,345
2012-07-16$37.44$40.0057.0%16.4%60.7%9.3%59.1%5.4%2.0%-389.3K31.4M-248.6K0.8331.87N/AN/A4,5443,77237,23829,022
2012-07-17$37.27$40.0056.4%16.2%60.6%8.7%58.9%5.3%3.0%-308.6K32.8M-280.0K0.6327.06N/AN/A2,5191,58740,24031,155
2012-07-18$37.21$39.0055.6%15.9%60.4%7.9%56.2%5.1%2.9%-350.6K33.4M-281.8K0.5636.43N/AN/A1,32574140,65131,686
2012-07-19$37.23$39.0053.3%15.3%59.8%5.6%54.3%4.2%2.6%123.9K33.4M-264.9K2.4040.32N/AN/A1,5873,81141,17431,300
2012-07-20$37.38$39.0052.8%15.1%51.6%5.2%53.8%5.0%3.6%140.4K35.4M-273.1K0.4529.44N/AN/A4,1721,87641,85832,774
2012-07-23$36.59$39.0056.3%16.1%52.2%8.5%57.1%4.8%2.1%74.8K29.4M-267.0K0.7740.10N/AN/A3,7252,86633,77324,485
2012-07-24$36.56$39.0058.4%16.7%49.6%10.6%59.7%4.3%1.3%-140.1K30.7M-267.7K0.4839.15N/AN/A2,5531,22834,57326,669
2012-07-25$37.50$39.0057.3%16.4%49.2%9.5%56.7%5.3%3.6%298.2K23.6M-284.2K0.9142.82N/AN/A2,9112,63535,76127,266
2012-07-26$37.95$39.0056.5%16.2%49.1%8.8%57.1%4.7%3.8%870.8K20.7M-295.1K0.3825.86N/AN/A2,47794537,11228,733
2012-07-27$38.64$39.0056.0%15.7%47.1%8.3%56.7%4.3%4.0%-69.9K15.9M-297.1K0.8544.19N/AN/A3,6583,09638,23229,071
2012-07-30$39.79$39.0063.4%16.3%39.5%15.4%57.5%4.5%2.5%85.7K15.3M-310.5K0.4436.46N/AN/A3,5581,56234,83128,453
2012-07-31$39.10$39.0078.5%16.7%40.1%30.0%59.7%3.4%1.8%59.5K19.2M-308.3K0.8034.22N/AN/A3,0472,43836,04229,294