AGQ Options History — October 2012

In October 2012, AGQ traded between $48.83 and $59.86. ATM implied volatility averaged 52.3%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 11.2% (HV 20d: 41.1%). Max pain ranged from $52.00 to $57.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2012-10-19: Highest Volume — 15,264 contracts
  • 2012-10-10: Largest IV drop — 15.5% change
  • 2012-10-23: Highest IV Rank — 26.9%
  • 2012-10-01: Largest Expected Move — 16.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.06$48.83$59.86$59.03$50.69
Max Pain$54.48$52.00$57.00$52.00$53.00
ATM IV52.3%46.0%61.2%61.2%50.7%
Expected Move14.6%13.4%16.0%16.0%13.4%
HV 20d41.1%34.4%49.3%49.3%38.1%
HV 60d44.7%42.0%47.5%43.0%45.4%
IV Rank20.9%15.0%26.9%24.0%22.3%
IV Percentile13.6%2.4%40.5%40.5%10.3%
Term Structure1.5%-0.8%3.3%-0.6%3.3%
VWIV52.1%46.6%56.5%56.5%46.6%
Skew 25d2.4%0.3%4.4%1.1%3.8%
Skew 10d4.5%-1.1%8.7%1.5%6.4%
Call IV 25d51.3%46.6%56.6%56.6%46.6%
Put IV 25d53.8%49.7%57.7%57.7%50.3%
Bid-Ask Spread %33.1120.2844.3135.8242.79
Gamma HHI0.090.040.230.090.06
Net GEX1.1M-1.2M3.7M2.7M516.7K
Net DEX-27.7M-93.0M21.3M-83.1M-5.3M
Net VEX-382.3K-467.6K-321.5K-466.4K-331.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.251.610.340.25
Total Volume5,681.6192,71615,2646,7823,972
Total OI81,735.47666,00791,21879,09672,518

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$59.03$52.0061.2%16.0%49.3%24.0%56.5%1.1%-0.6%2.7M-83.1M-466.4K0.3435.82N/AN/A5,0641,71851,47727,619
2012-10-02$58.58$52.0060.7%15.7%48.5%23.6%56.3%0.8%0.6%2.9M-78.5M-467.6K0.9341.05N/AN/A2,1582,00053,34428,632
2012-10-03$58.55$52.0060.6%15.0%48.3%23.5%53.5%0.7%1.5%2.8M-75.9M-459.8K0.4841.71N/AN/A1,94693353,89829,857
2012-10-04$59.86$53.0055.0%14.9%48.2%20.9%52.9%1.3%2.0%3.7M-93.0M-455.9K0.6541.90N/AN/A3,8722,52654,04330,110
2012-10-05$58.19$57.0052.4%15.0%45.6%20.8%53.6%0.3%2.5%745.3K-64.0M-436.9K0.8926.98N/AN/A5,2744,67254,88431,407
2012-10-08$56.49$56.0056.1%15.2%46.2%25.6%54.2%0.5%1.6%2.0M-49.1M-419.6K0.6726.38N/AN/A3,6712,44652,34929,727
2012-10-09$56.04$56.0055.4%14.9%46.3%25.6%52.6%1.8%1.1%1.7M-41.6M-408.5K0.6824.81N/AN/A3,1412,13854,14231,101
2012-10-10$56.49$56.0046.8%14.8%46.1%15.0%53.1%2.7%1.8%1.9M-45.6M-410.8K0.8731.11N/AN/A2,1271,84155,04332,460
2012-10-11$56.29$56.0050.5%14.5%34.9%19.5%52.4%2.6%2.4%1.7M-42.3M-404.6K0.9127.89N/AN/A1,5931,45055,48533,092
2012-10-12$54.75$56.0049.4%14.2%36.0%18.2%50.5%3.0%2.2%-1.2M-19.6M-376.7K1.1029.84N/AN/A3,0833,40255,83133,721
2012-10-15$52.04$56.0051.3%14.7%37.7%20.5%53.2%3.1%1.7%74.3K-1.8M-350.8K0.8130.12N/AN/A4,4733,64052,83631,105
2012-10-16$52.93$56.0049.1%14.1%34.4%17.9%50.7%2.0%2.0%272.5K-8.8M-349.5K0.7735.01N/AN/A2,0021,55154,70932,318
2012-10-17$53.60$56.0047.2%13.5%35.0%15.5%47.9%1.8%3.1%715.8K-16.0M-349.6K0.4220.28N/AN/A2,4241,02055,24533,260
2012-10-18$52.28$55.0048.2%13.8%35.7%16.7%49.1%2.9%1.6%48.8K-1.6M-333.9K0.7235.64N/AN/A2,7711,98455,59433,597
2012-10-19$50.14$55.0051.5%14.8%37.9%20.8%55.3%3.8%0.7%-734.1K21.3M-321.5K1.6144.31N/AN/A5,8429,42256,41534,803
2012-10-22$51.20$54.0050.3%14.4%37.8%21.7%51.4%4.4%0.7%63.1K-913.4K-339.3K0.2627.25N/AN/A4,1211,08839,77426,233
2012-10-23$48.83$54.0054.0%15.5%40.6%26.9%54.6%3.1%-0.8%-33.8K12.0M-333.1K0.5836.75N/AN/A3,1611,82842,52826,755
2012-10-24$48.93$53.0052.9%15.2%40.1%25.3%53.7%4.0%-0.6%-15.8K11.1M-335.0K0.4431.80N/AN/A1,88283443,59727,950
2012-10-25$50.27$53.0048.2%13.8%38.0%18.9%48.5%3.9%2.7%785.7K329.5K-337.8K0.6934.81N/AN/A3,7922,62744,55828,302
2012-10-26$50.10$53.0046.0%13.4%38.1%15.8%48.1%3.5%2.2%1.7M1.4M-340.4K0.6929.12N/AN/A3,4452,38047,05029,076
2012-10-31$50.69$53.0050.7%13.4%38.1%22.3%46.6%3.8%3.3%516.7K-5.3M-331.0K0.2542.79N/AN/A3,18378945,27727,241