AGQ Options History — November 2012

In November 2012, AGQ traded between $46.43 and $56.60. ATM implied volatility averaged 47.0%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded below realized volatility by 2.3% (HV 20d: 49.3%). Max pain ranged from $47.00 to $53.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2012-11-26: Highest Volume — 12,827 contracts
  • 2012-11-07: Largest IV drop — 28.4% change
  • 2012-11-06: Highest IV Rank — 50.2%
  • 2012-11-06: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.09$46.43$56.60$50.52$53.84
Max Pain$48.76$47.00$53.00$53.00$51.00
ATM IV47.0%40.0%71.0%46.9%46.0%
Expected Move13.2%11.5%15.4%12.9%12.9%
HV 20d49.3%38.1%52.8%38.1%52.8%
HV 60d49.1%45.4%50.2%45.4%47.0%
IV Rank17.2%7.6%50.2%17.0%15.8%
IV Percentile10.0%0.8%72.2%3.6%7.5%
Term Structure1.1%-1.1%2.9%2.9%0.1%
VWIV47.0%40.1%54.9%45.6%46.6%
Skew 25d1.4%-0.3%2.7%1.9%1.0%
Skew 10d2.2%-1.4%5.6%5.3%3.6%
Call IV 25d46.9%39.9%54.5%45.5%45.9%
Put IV 25d48.3%41.7%56.4%47.4%47.0%
Bid-Ask Spread %45.1835.8059.7750.7955.26
Gamma HHI0.070.050.140.050.07
Net GEX1.4M-283.8K2.8M1.1M1.4M
Net DEX-24.0M-65.2M27.3M-6.4M-30.4M
Net VEX-323.3K-340.6K-299.3K-327.2K-335.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.331.570.701.29
Total Volume6,351.8572,83512,8273,17910,566
Total OI77,969.61969,03584,62375,20182,484

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$50.52$53.0046.9%12.9%38.1%17.0%45.6%1.9%2.9%1.1M-6.4M-327.2K0.7050.79N/AN/A1,8711,30847,61327,588
2012-11-02$46.43$53.0054.4%15.0%46.8%27.4%54.0%2.7%-0.8%-283.8K27.3M-300.4K0.8149.03N/AN/A6,6575,37348,45828,262
2012-11-05$47.19$47.0062.1%14.9%46.2%37.9%52.5%2.1%0.2%-180.4K18.3M-311.1K0.3636.92N/AN/A2,08075548,33728,832
2012-11-06$49.77$47.0071.0%15.4%51.2%50.2%54.9%2.0%-1.1%718.5K-6.8M-339.8K0.5237.85N/AN/A4,6682,44649,52929,168
2012-11-07$49.16$47.0050.8%14.7%50.6%22.4%51.9%1.4%-0.0%842.3K-2.3M-330.3K0.5241.92N/AN/A2,3371,21251,60730,487
2012-11-08$50.90$47.0048.9%14.5%52.7%19.7%52.0%1.7%1.0%1.7M-23.7M-339.3K0.7035.80N/AN/A2,5831,80852,53730,827
2012-11-09$51.42$47.0043.9%14.2%52.8%12.9%50.6%0.9%1.5%2.4M-32.7M-339.6K0.4536.88N/AN/A3,9981,81753,44431,179
2012-11-12$50.87$47.0047.6%14.3%52.8%18.0%50.9%1.4%1.3%1.4M-13.9M-323.8K0.3638.05N/AN/A2,69798350,87528,667
2012-11-13$50.94$47.0045.7%13.8%52.2%15.4%48.3%1.6%1.5%1.3M-13.9M-322.4K0.6438.90N/AN/A2,4251,56150,86929,051
2012-11-14$51.66$47.0045.4%13.7%49.4%14.9%48.4%1.1%1.2%1.8M-21.7M-326.3K0.3340.06N/AN/A2,92896251,48929,523
2012-11-15$51.36$47.0046.1%13.2%49.0%15.9%46.8%1.6%0.7%1.8M-18.0M-312.2K0.6743.32N/AN/A2,7191,83051,65729,482
2012-11-16$50.27$48.0044.7%12.8%49.2%14.1%45.5%2.2%1.8%851.0K-4.2M-299.3K1.5746.64N/AN/A3,2405,10351,75730,123
2012-11-19$53.07$48.0040.5%11.6%52.5%8.2%41.0%2.6%2.7%1.2M-29.1M-305.4K0.3944.36N/AN/A5,4482,14145,15923,876
2012-11-20$53.18$49.0040.0%11.5%50.0%7.6%40.9%2.4%2.6%1.7M-31.8M-308.3K0.4845.03N/AN/A2,5711,24446,73024,720
2012-11-21$53.79$49.0040.2%11.5%49.7%7.8%40.1%0.7%2.7%2.5M-40.9M-312.2K0.5947.42N/AN/A2,6411,55348,22625,073
2012-11-23$56.04$50.0042.5%12.2%47.8%10.9%43.6%1.0%1.5%2.0M-65.2M-327.7K0.4845.62N/AN/A4,5752,21749,20626,021
2012-11-26$56.19$50.0043.5%12.5%47.7%12.3%43.9%-0.3%0.9%1.8M-53.9M-329.8K0.7950.86N/AN/A7,1805,64747,97123,172
2012-11-27$55.87$50.0041.9%12.0%47.3%10.1%42.6%-0.1%0.5%2.2M-53.7M-332.9K0.5052.19N/AN/A3,3831,67950,74326,181
2012-11-28$54.81$50.0042.2%12.1%48.0%10.6%42.6%1.2%1.0%1.4M-37.3M-325.4K0.3959.77N/AN/A8,7363,42049,58926,943
2012-11-29$56.60$50.0043.1%12.4%49.0%11.8%44.0%0.5%1.0%2.8M-63.4M-340.6K0.3452.05N/AN/A5,2301,79751,27528,632
2012-11-30$53.84$51.0046.0%12.9%52.8%15.8%46.6%1.0%0.1%1.4M-30.4M-335.5K1.2955.26N/AN/A4,6075,95953,30129,183