AGQ Options History — August 2012 In August 2012, AGQ traded between $36.73 and $50.04. ATM implied volatility averaged 49.7%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 13.7% (HV 20d: 36.0%). Max pain ranged from $39.00 to $44.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.72.
Notable Days 2012-08-23 : Highest Volume — 12,997 contracts2012-08-16 : Largest IV spike — 37.7% change2012-08-01 : Highest IV Rank — 31.8%2012-08-01 : Largest Expected Move — 16.4%Monthly Statistics Metric Avg Min Max Open Close Price $41.84 $36.73 $50.04 $37.38 $50.04 Max Pain $41.26 $39.00 $44.00 $39.00 $43.00 ATM IV 49.7% 34.5% 80.4% 80.4% 56.0% Expected Move 14.6% 13.1% 16.4% 16.4% 16.3% HV 20d 36.0% 31.8% 43.5% 37.4% 43.5% HV 60d 47.9% 45.8% 50.8% 50.2% 47.9% IV Rank 9.6% 0.0% 31.8% 31.8% 18.4% IV Percentile 7.4% 0.0% 66.3% 66.3% 17.9% Term Structure 6.2% 0.9% 11.6% 2.7% 0.9% VWIV 52.4% 46.4% 61.6% 59.1% 58.6% Skew 25d 2.0% -1.0% 4.1% 3.8% -0.8% Skew 10d 3.4% -3.1% 8.8% 7.1% -1.3% Call IV 25d 51.5% 45.2% 59.7% 56.1% 59.7% Put IV 25d 53.5% 49.2% 60.0% 60.0% 58.9% Bid-Ask Spread % 39.06 23.51 54.63 45.79 34.90 Gamma HHI 0.11 0.05 0.38 0.11 0.38 Net GEX 680.4K -746.9K 3.2M -364.6K 3.2M Net DEX -1.5M -66.2M 39.5M 32.2M -66.2M Net VEX -320.9K -393.7K -276.9K -288.9K -387.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.26 1.73 0.94 0.33 Total Volume 6,410.391 2,284 12,997 5,029 10,459 Total OI 73,399.87 64,772 82,228 69,105 82,228
Daily Data (23 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 2012-08-01 $37.38 $39.00 80.4% 16.4% 37.4% 31.8% 59.1% 3.8% 2.7% -364.6K 32.2M -288.9K 0.94 45.79 N/A N/A 2,593 2,436 38,190 30,915 2012-08-02 $36.73 $39.00 54.9% 15.0% 34.7% 7.2% 52.5% 2.1% 6.3% -746.9K 39.5M -276.9K 0.44 54.63 N/A N/A 3,525 1,568 38,990 32,305 2012-08-03 $38.54 $39.00 48.1% 13.6% 35.4% 0.7% 48.6% 3.4% 6.4% -88.7K 25.0M -292.4K 1.14 44.40 N/A N/A 3,443 3,930 40,439 32,709 2012-08-06 $38.92 $44.00 50.5% 15.4% 35.1% 3.0% 54.1% 3.2% 7.8% -66.5K 21.8M -291.6K 0.36 37.83 N/A N/A 2,207 794 37,151 30,175 2012-08-07 $39.45 $44.00 50.3% 15.1% 32.0% 2.8% 52.2% 3.7% 8.1% 430.8K 15.7M -293.9K 0.50 36.57 N/A N/A 1,860 929 38,569 30,439 2012-08-08 $39.24 $44.00 46.8% 14.9% 31.8% 0.0% 52.2% 3.9% 8.7% 654.0K 17.1M -286.6K 0.26 38.86 N/A N/A 4,597 1,177 39,017 30,554 2012-08-09 $39.45 $42.00 43.1% 13.9% 31.8% 0.0% 49.6% 3.3% 10.7% 1.1M 11.4M -300.1K 0.39 40.72 N/A N/A 1,890 745 41,873 31,157 2012-08-10 $39.42 $41.00 40.4% 13.9% 31.8% 0.0% 49.4% 4.1% 9.5% 234.4K 11.1M -296.5K 1.40 37.06 N/A N/A 3,091 4,338 42,874 31,474 2012-08-13 $38.53 $41.00 41.3% 13.8% 33.1% 0.9% 49.0% 4.0% 10.4% 2.8K 23.2M -282.5K 1.40 50.39 N/A N/A 2,219 3,105 41,152 31,069 2012-08-14 $38.56 $40.00 36.2% 13.7% 33.0% 0.0% 48.9% 2.1% 10.0% 122.6K 22.8M -284.3K 1.13 40.14 N/A N/A 1,071 1,213 42,052 31,617 2012-08-15 $38.60 $40.00 34.5% 13.5% 33.0% 0.0% 48.4% 2.8% 10.8% -97.0K 23.2M -283.1K 1.34 44.86 N/A N/A 1,048 1,409 42,269 32,286 2012-08-16 $39.68 $40.00 47.5% 13.6% 34.2% 11.1% 48.7% 3.1% 9.8% 595.9K 12.3M -285.2K 0.32 43.45 N/A N/A 4,180 1,356 42,227 31,959 2012-08-17 $39.36 $40.00 45.8% 13.1% 34.4% 9.6% 46.4% 4.0% 11.6% 679.6K 15.1M -282.8K 1.73 45.10 N/A N/A 2,355 4,080 44,192 32,436 2012-08-20 $41.42 $40.00 47.5% 13.6% 37.2% 11.1% 48.5% 2.1% 5.1% 600.1K 4.6M -296.4K 0.30 41.46 N/A N/A 7,588 2,247 37,899 26,873 2012-08-21 $42.74 $40.00 48.9% 14.0% 38.2% 12.3% 49.8% 0.4% 3.4% 1.2M -12.8M -318.8K 0.47 37.46 N/A N/A 6,745 3,157 41,288 27,998 2012-08-22 $44.39 $41.00 50.0% 14.3% 39.2% 13.3% 51.4% 0.6% 4.0% 1.2M -25.5M -348.5K 0.52 36.26 N/A N/A 4,582 2,364 43,483 29,485 2012-08-23 $46.40 $41.00 55.3% 15.9% 41.2% 17.8% 57.1% -0.3% 1.4% 1.1M -44.0M -370.6K 0.45 23.51 N/A N/A 8,980 4,017 44,594 30,121 2012-08-24 $46.83 $42.00 51.7% 14.8% 41.1% 14.8% 53.5% 0.5% 3.5% 1.5M -44.0M -373.1K 0.34 33.47 N/A N/A 5,618 1,893 46,221 31,543 2012-08-27 $46.78 $42.00 54.0% 15.5% 40.6% 16.6% 55.8% 0.9% 3.8% 1.1M -32.5M -382.4K 0.34 32.39 N/A N/A 6,723 2,259 45,635 27,406 2012-08-28 $47.35 $42.00 54.7% 15.7% 39.4% 17.3% 61.6% -1.0% 2.2% 1.3M -36.7M -393.7K 0.76 33.87 N/A N/A 5,235 3,962 47,973 28,502 2012-08-29 $46.77 $42.00 53.5% 15.3% 34.9% 16.3% 56.1% 0.2% 2.9% 1.1M -29.4M -386.0K 1.01 32.02 N/A N/A 2,513 2,548 47,328 31,271 2012-08-30 $45.73 $43.00 52.1% 14.9% 35.4% 15.1% 53.8% 0.6% 3.4% 723.0K -19.3M -379.0K 0.70 33.17 N/A N/A 3,162 2,228 48,108 32,151 2012-08-31 $50.04 $43.00 56.0% 16.3% 43.5% 18.4% 58.6% -0.8% 0.9% 3.2M -66.2M -387.3K 0.33 34.90 N/A N/A 7,845 2,614 49,196 33,032
« Jul 2012 | All History | Sep 2012 » Home AGQ History August 2012