AGQ Options History — January 2013

In January 2013, AGQ traded between $43.27 and $49.47. ATM implied volatility averaged 46.9%, placing in the 17.1% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 4.2% (HV 20d: 42.8%). Max pain ranged from $43.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2013-01-02: Highest Volume — 14,271 contracts
  • 2013-01-28: Largest IV spike — 31.4% change
  • 2013-01-28: Highest IV Rank — 29.8%
  • 2013-01-03: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.16$43.27$49.47$45.79$46.96
Max Pain$44.57$43.00$45.00$45.00$45.00
ATM IV46.9%39.6%56.1%51.1%44.1%
Expected Move12.7%11.3%13.6%13.2%12.0%
HV 20d42.8%32.3%48.0%44.8%41.7%
HV 60d45.6%43.3%46.5%45.8%43.3%
IV Rank17.1%6.9%29.8%22.8%13.1%
IV Percentile16.4%0.8%49.6%24.6%9.5%
Term Structure0.9%-1.0%2.3%0.6%1.7%
VWIV45.3%40.2%49.4%48.9%43.3%
Skew 25d1.6%-0.2%3.2%2.9%1.8%
Skew 10d2.8%-1.2%6.1%3.2%4.0%
Call IV 25d44.8%39.5%49.0%46.8%42.6%
Put IV 25d46.5%40.8%50.9%49.7%44.4%
Bid-Ask Spread %22.9715.2144.6234.6227.47
Gamma HHI0.120.070.250.140.08
Net GEX1.5M609.0K2.4M1.9M2.1M
Net DEX-14.8M-48.2M24.5M-13.1M-25.6M
Net VEX-311.7K-339.4K-287.7K-297.8K-329.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.232.701.040.94
Total Volume7,872.4762,68214,27114,2714,371
Total OI79,602.42955,03098,28382,17167,602

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$45.79$45.0051.1%13.2%44.8%22.8%48.9%2.9%0.6%1.9M-13.1M-297.8K1.0434.62N/AN/A7,0117,26055,64126,530
2013-01-03$43.48$45.0050.6%13.6%46.2%22.1%48.3%3.2%0.6%769.1K17.7M-287.7K0.7344.62N/AN/A6,2994,58858,21830,227
2013-01-04$43.49$43.0047.3%13.5%46.3%17.6%47.7%1.0%-1.0%656.8K24.5M-292.3K0.7616.21N/AN/A5,7184,35860,59533,085
2013-01-07$43.27$43.0052.2%13.6%45.9%24.3%49.4%2.1%-1.0%609.0K19.1M-288.2K0.6716.89N/AN/A3,1722,12658,18328,142
2013-01-08$43.90$43.0049.4%13.2%46.4%20.4%46.6%2.2%0.9%1.2M10.3M-296.3K1.0418.02N/AN/A1,8331,89859,88829,211
2013-01-09$43.85$44.0043.0%12.9%46.1%11.7%46.0%1.8%0.7%1.3M11.9M-291.5K0.8919.78N/AN/A1,4171,26560,60829,919
2013-01-10$45.11$44.0045.2%13.0%48.0%14.7%45.9%1.8%1.1%1.8M-6.0M-303.7K0.3616.73N/AN/A5,0791,81361,07030,568
2013-01-11$44.24$45.0045.2%13.0%46.2%14.7%46.3%1.4%0.2%1.9M9.2M-289.5K0.7220.67N/AN/A3,5712,58362,09931,099
2013-01-14$45.92$44.0045.8%13.1%46.2%15.5%46.6%1.4%0.6%1.5M-10.2M-294.0K0.5622.63N/AN/A4,3382,42759,10928,975
2013-01-15$46.88$45.0046.2%13.2%46.6%16.1%47.0%1.3%0.2%1.7M-24.4M-300.9K0.2321.61N/AN/A9,0912,11260,04930,029
2013-01-16$47.18$45.0047.2%13.5%46.6%17.5%48.2%0.0%1.0%2.0M-33.4M-316.3K0.2815.21N/AN/A8,1762,29062,66730,645
2013-01-17$47.87$45.0047.2%13.5%45.3%17.4%48.2%-0.2%1.1%2.4M-45.2M-333.4K0.3917.50N/AN/A7,0222,76764,69131,542
2013-01-18$48.26$45.0045.0%12.9%43.5%14.4%45.4%0.3%1.1%1.9M-48.2M-334.6K0.8718.27N/AN/A6,3295,53165,65232,631
2013-01-22$49.26$45.0041.6%11.9%32.4%9.7%42.1%1.4%1.4%1.5M-44.5M-327.9K0.6018.54N/AN/A5,1633,09533,91521,115
2013-01-23$49.47$45.0039.6%11.3%32.3%6.9%40.2%1.2%1.7%2.0M-48.2M-338.8K0.7724.08N/AN/A2,5711,97036,37022,412
2013-01-24$47.69$45.0040.0%11.5%35.6%7.6%41.0%1.4%1.8%1.3M-25.8M-332.5K0.5822.44N/AN/A4,3852,52437,17523,171
2013-01-25$46.28$45.0042.7%11.6%37.7%11.3%41.5%1.6%2.3%1.1M-9.1M-319.1K1.5516.41N/AN/A3,6725,70437,38123,685
2013-01-28$45.21$45.0056.1%12.5%38.6%29.8%44.8%2.6%-0.1%758.7K-3.7M-310.3K2.7019.84N/AN/A2,9267,89335,29222,954
2013-01-29$46.64$45.0051.7%11.4%39.7%23.6%40.8%2.2%1.8%1.2M-18.2M-322.1K0.3936.06N/AN/A3,3141,29436,53427,012
2013-01-30$48.55$45.0054.8%11.9%41.5%27.9%42.3%2.7%1.6%2.2M-46.9M-339.4K0.3434.66N/AN/A4,7381,62838,58927,371
2013-01-31$46.96$45.0044.1%12.0%41.7%13.1%43.3%1.8%1.7%2.1M-25.6M-329.7K0.9427.47N/AN/A2,2512,12039,65327,949