AGQ Options History — September 2012

In September 2012, AGQ traded between $51.53 and $59.39. ATM implied volatility averaged 62.4%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 10.2% (HV 20d: 52.1%). Max pain ranged from $43.00 to $52.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.51.

Notable Days

  • 2012-09-13: Highest Volume — 17,086 contracts
  • 2012-09-10: Largest IV spike — 15.6% change
  • 2012-09-11: Highest IV Rank — 40.0%
  • 2012-09-12: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.50$51.53$59.39$51.84$58.35
Max Pain$48.53$43.00$52.00$43.00$52.00
ATM IV62.4%54.0%81.2%73.6%54.1%
Expected Move16.9%15.5%18.3%18.1%15.6%
HV 20d52.1%44.2%58.1%44.2%57.2%
HV 60d48.5%44.3%52.1%48.4%44.3%
IV Rank23.9%16.7%40.0%33.5%17.6%
IV Percentile37.2%11.5%76.2%61.1%11.9%
Term Structure1.0%-1.7%3.0%-1.7%1.6%
VWIV60.7%55.7%65.9%65.3%56.2%
Skew 25d-0.4%-3.0%2.0%-0.6%0.8%
Skew 10d-1.7%-6.2%3.2%-3.9%1.1%
Call IV 25d61.3%56.0%66.7%66.7%56.0%
Put IV 25d60.9%56.0%66.3%66.1%56.9%
Bid-Ask Spread %30.7813.9739.5829.5339.58
Gamma HHI0.090.050.270.050.11
Net GEX2.7M1.5M4.1M1.5M2.8M
Net DEX-105.8M-161.5M-50.6M-75.4M-76.2M
Net VEX-451.5K-485.8K-406.5K-406.5K-477.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.260.930.400.60
Total Volume10,281.1055,61317,08610,0276,010
Total OI91,163.68473,286106,80880,00285,956

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$51.84$43.0073.6%18.1%44.2%33.5%65.3%-0.6%-1.7%1.5M-75.4M-406.5K0.4029.53N/AN/A7,1422,88548,24431,758
2012-09-05$51.53$43.0066.3%16.2%44.8%27.2%58.3%1.7%2.2%1.9M-75.4M-406.9K0.2633.48N/AN/A5,6861,45250,66632,878
2012-09-06$52.85$43.0062.2%16.5%44.4%23.7%58.8%0.5%1.3%2.5M-93.3M-422.9K0.5335.35N/AN/A7,0993,78153,27833,434
2012-09-07$55.98$46.0063.3%17.4%46.7%24.7%62.2%-2.3%1.4%3.4M-130.8M-431.9K0.3427.85N/AN/A11,5403,88355,10634,914
2012-09-10$54.77$46.0073.2%17.6%48.4%33.1%63.8%-2.4%0.9%2.0M-103.2M-433.8K0.2725.43N/AN/A11,1193,00853,99034,761
2012-09-11$55.22$47.0081.2%17.6%46.2%40.0%62.5%-0.2%0.4%2.5M-115.5M-441.2K0.6513.97N/AN/A4,1952,72758,83236,235
2012-09-12$54.49$47.0070.6%18.3%47.2%30.9%65.9%0.3%-0.9%2.0M-95.4M-443.7K0.9323.77N/AN/A5,6545,24957,31437,278
2012-09-13$59.16$48.0062.4%17.9%52.0%23.8%63.6%-3.0%0.8%3.3M-158.3M-442.5K0.5032.61N/AN/A11,3785,70858,64439,967
2012-09-14$59.16$50.0057.8%16.6%52.5%19.9%59.7%-1.4%1.5%3.7M-161.5M-444.8K0.4530.38N/AN/A8,0343,62660,60341,826
2012-09-17$56.90$50.0059.3%17.0%55.7%21.2%61.2%-1.3%1.2%2.4M-116.6M-446.6K0.6128.63N/AN/A6,6674,09958,10938,421
2012-09-18$59.39$50.0060.1%17.2%55.2%21.9%61.4%-1.5%0.9%3.0M-146.6M-463.9K0.3130.77N/AN/A10,4243,18459,73340,207
2012-09-19$58.89$50.0059.1%17.0%55.7%21.1%60.9%-1.5%1.6%3.8M-141.9M-485.8K0.4828.20N/AN/A4,6452,23563,36241,447
2012-09-20$58.91$50.0059.0%16.9%55.4%20.9%59.7%-1.0%0.7%4.1M-140.2M-477.1K0.4030.21N/AN/A4,0021,61163,89842,216
2012-09-21$58.55$50.0057.4%16.5%54.6%19.6%58.9%1.3%3.0%3.7M-131.0M-469.5K0.3932.29N/AN/A11,3384,40364,40842,400
2012-09-24$56.57$51.0058.2%16.7%57.0%20.3%59.7%2.0%1.1%1.8M-59.3M-471.5K0.6431.73N/AN/A4,0982,62448,53324,753
2012-09-25$55.70$52.0057.8%16.6%57.6%19.9%62.5%0.9%-1.5%1.6M-50.6M-462.2K0.8538.51N/AN/A6,1225,18950,36626,186
2012-09-26$56.38$52.0055.2%15.8%57.6%17.7%56.3%0.5%1.0%1.5M-53.5M-473.7K0.4534.09N/AN/A3,9621,78450,91229,554
2012-09-27$58.77$52.0054.0%15.5%58.1%16.7%55.7%-0.3%2.5%3.2M-84.8M-475.5K0.6638.50N/AN/A5,2803,49852,08929,832
2012-09-28$58.35$52.0054.1%15.6%57.2%17.6%56.2%0.8%1.6%2.8M-76.2M-477.6K0.6039.58N/AN/A3,7462,26453,97731,979