AGQ Options History — December 2012

In December 2012, AGQ traded between $42.87 and $54.44. ATM implied volatility averaged 47.2%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 4.5% (HV 20d: 42.7%). Max pain ranged from $46.00 to $55.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.79.

Notable Days

2012-12-20: Highest Volume — 21,050 contracts
2012-12-12: Largest IV drop — 20.4% change
2012-12-04: Highest IV Rank — 27.5%
2012-12-31: Largest Expected Move — 14.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.62	$42.87	$54.44	$54.44	$44.10
Max Pain	$51.90	$46.00	$55.00	$51.00	$46.00
ATM IV	47.2%	40.6%	54.5%	49.8%	54.2%
Expected Move	13.0%	12.0%	14.3%	13.5%	14.3%
HV 20d	42.7%	38.7%	48.6%	41.4%	42.1%
HV 60d	44.7%	42.4%	47.4%	47.0%	44.9%
IV Rank	17.5%	8.4%	27.5%	21.1%	27.1%
IV Percentile	13.4%	2.4%	32.5%	15.1%	32.5%
Term Structure	1.1%	-2.1%	3.1%	-2.1%	0.0%
VWIV	46.3%	42.7%	50.6%	47.2%	50.6%
Skew 25d	1.5%	0.4%	2.7%	1.4%	2.1%
Skew 10d	2.2%	-1.9%	4.2%	3.4%	3.6%
Call IV 25d	46.1%	43.1%	50.7%	47.7%	50.7%
Put IV 25d	47.6%	43.6%	52.8%	49.1%	52.8%
Bid-Ask Spread %	42.55	8.21	64.85	54.18	8.21
Gamma HHI	0.11	0.07	0.21	0.08	0.14
Net GEX	620.1K	-1.2M	2.5M	1.5M	854.9K
Net DEX	5.0M	-40.1M	72.0M	-39.4M	6.7M
Net VEX	-286.6K	-340.3K	-210.3K	-340.3K	-278.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.21	1.72	0.68	0.51
Total Volume	7,556.1	3,277	21,050	5,558	5,923
Total OI	85,395.05	71,522	99,536	80,066	78,411

Daily Data (20 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
2012-12-03	$54.44	$51.00	49.8%	13.5%	41.4%	21.1%	47.2%	1.4%	-2.1%	1.5M	-39.4M	-340.3K	0.68	54.18	N/A	N/A	3,309	2,249	51,835	28,231
2012-12-04	$52.35	$51.00	54.5%	13.3%	44.5%	27.5%	47.4%	1.8%	-1.5%	700.0K	-15.8M	-330.0K	0.71	56.83	N/A	N/A	3,827	2,720	54,077	29,562
2012-12-05	$52.07	$51.00	51.1%	12.8%	40.8%	22.8%	45.9%	1.9%	0.2%	705.0K	-13.5M	-327.3K	0.37	62.77	N/A	N/A	3,006	1,115	55,618	30,519
2012-12-06	$52.47	$51.00	44.7%	12.4%	40.5%	14.0%	44.2%	1.7%	0.9%	1.2M	-19.4M	-331.1K	0.49	64.85	N/A	N/A	2,266	1,119	56,328	30,922
2012-12-07	$52.70	$55.00	41.1%	12.1%	38.7%	9.1%	42.9%	0.9%	2.4%	2.5M	-21.1M	-323.0K	1.46	39.48	N/A	N/A	3,182	4,641	56,637	31,337
2012-12-10	$53.12	$55.00	46.1%	12.3%	38.7%	15.9%	43.8%	1.3%	2.1%	1.6M	-29.4M	-319.9K	0.45	44.51	N/A	N/A	2,262	1,015	54,019	29,522
2012-12-11	$52.30	$55.00	51.0%	12.6%	38.9%	22.7%	44.7%	0.6%	2.4%	1.4M	-19.8M	-312.2K	1.72	42.84	N/A	N/A	1,726	2,965	54,855	30,034
2012-12-12	$53.82	$55.00	40.6%	12.0%	40.1%	8.4%	42.7%	0.4%	3.1%	2.5M	-40.1M	-318.1K	0.40	43.75	N/A	N/A	6,430	2,565	55,629	31,573
2012-12-13	$51.10	$55.00	45.1%	12.9%	44.2%	14.6%	46.4%	0.9%	2.7%	-254.3K	1.6M	-298.4K	0.58	47.89	N/A	N/A	6,783	3,962	57,219	32,411
2012-12-14	$49.88	$55.00	44.5%	12.8%	45.0%	13.8%	45.6%	0.9%	2.7%	-556.7K	18.8M	-289.0K	1.53	42.88	N/A	N/A	3,263	4,997	59,060	34,198
2012-12-17	$49.98	$54.00	43.4%	12.4%	44.4%	12.2%	44.5%	1.4%	2.6%	-37.8K	7.4M	-272.7K	0.52	49.28	N/A	N/A	2,784	1,440	55,849	31,741
2012-12-18	$48.21	$54.00	43.1%	12.4%	41.1%	11.8%	43.9%	1.6%	2.7%	-862.4K	27.6M	-252.8K	0.55	45.36	N/A	N/A	5,043	2,775	56,667	32,034
2012-12-19	$46.56	$54.00	43.5%	12.5%	42.4%	12.4%	43.8%	1.8%	1.4%	-1.2M	41.9M	-244.0K	0.72	43.60	N/A	N/A	3,585	2,595	58,325	32,468
2012-12-20	$43.10	$52.50	48.6%	13.9%	48.6%	19.3%	49.7%	1.3%	-0.6%	-738.2K	72.0M	-210.3K	0.88	43.52	N/A	N/A	11,216	9,834	59,888	32,655
2012-12-21	$43.14	$50.00	46.7%	13.4%	44.8%	16.8%	46.9%	2.6%	0.3%	670.6K	59.9M	-238.2K	1.68	44.87	N/A	N/A	5,387	9,037	66,101	33,435
2012-12-24	$42.87	$50.00	47.2%	13.5%	44.5%	17.4%	50.5%	1.7%	0.4%	-72.3K	23.7M	-250.7K	0.37	9.09	N/A	N/A	3,283	1,215	47,064	24,458
2012-12-26	$43.06	$50.00	47.7%	13.7%	44.9%	18.1%	47.9%	2.7%	0.9%	201.1K	21.3M	-251.2K	0.21	34.35	N/A	N/A	5,725	1,228	49,208	25,312
2012-12-27	$43.75	$47.50	48.6%	13.9%	46.0%	19.3%	49.4%	1.8%	0.6%	1.5M	6.8M	-275.4K	0.37	33.60	N/A	N/A	5,029	1,851	52,993	25,709
2012-12-28	$43.32	$46.00	53.0%	13.7%	43.1%	25.4%	48.7%	1.6%	-0.1%	850.3K	10.5M	-269.1K	1.59	39.03	N/A	N/A	3,767	6,003	55,525	26,472
2012-12-31	$44.10	$46.00	54.2%	14.3%	42.1%	27.1%	50.6%	2.1%	0.0%	854.9K	6.7M	-278.9K	0.51	8.21	N/A	N/A	3,934	1,989	53,065	25,346