AGQ Options History — February 2013

In February 2013, AGQ traded between $38.29 and $48.05. ATM implied volatility averaged 45.2%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 6.5% (HV 20d: 38.7%). Max pain ranged from $42.00 to $47.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.70.

Notable Days

  • 2013-02-20: Highest Volume — 13,746 contracts
  • 2013-02-04: Largest IV spike — 17.2% change
  • 2013-02-25: Highest IV Rank — 25.3%
  • 2013-02-25: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.35$38.29$48.05$48.05$38.29
Max Pain$45.42$42.00$47.00$47.00$42.00
ATM IV45.2%39.4%52.9%39.5%50.5%
Expected Move12.9%11.6%15.2%11.9%13.7%
HV 20d38.7%35.9%42.5%37.3%37.7%
HV 60d42.0%41.1%43.5%43.5%41.5%
IV Rank14.7%6.7%25.3%6.8%22.0%
IV Percentile16.4%0.8%42.9%0.8%34.9%
Term Structure1.4%-3.5%5.0%4.7%-2.7%
VWIV45.7%41.5%54.2%41.7%47.1%
Skew 25d4.1%1.4%8.7%1.4%5.8%
Skew 10d7.6%1.7%17.2%1.7%10.0%
Call IV 25d44.3%40.9%50.6%42.1%46.4%
Put IV 25d48.4%43.4%57.8%43.5%52.2%
Bid-Ask Spread %40.2710.3258.9049.6131.71
Gamma HHI0.140.060.310.180.11
Net GEX643.9K-1.1M2.7M2.7M-286.0K
Net DEX7.6M-42.4M53.0M-42.4M44.7M
Net VEX-319.8K-351.6K-258.3K-336.3K-314.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.292.011.290.35
Total Volume6,259.1581,88013,7468,2075,636
Total OI70,201.42155,86383,97269,54283,972

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$48.05$47.0039.5%11.9%37.3%6.8%41.7%1.4%4.7%2.7M-42.4M-336.3K1.2949.61N/AN/A3,5854,62240,41029,132
2013-02-04$47.72$47.0046.3%12.2%37.5%16.2%43.9%1.5%3.3%1.4M-30.7M-331.9K0.5939.69N/AN/A2,9351,71838,16824,847
2013-02-05$48.00$47.0045.9%12.2%37.3%15.7%43.2%1.5%3.8%1.7M-37.8M-351.6K0.4850.08N/AN/A1,27160940,21125,553
2013-02-06$48.01$47.0039.4%12.2%37.2%6.7%42.7%1.5%3.4%2.1M-39.4M-346.7K0.2938.83N/AN/A1,75550840,68525,837
2013-02-07$46.97$47.0043.2%12.4%38.3%11.9%43.4%1.9%3.6%1.8M-25.4M-338.1K0.3952.58N/AN/A3,5941,40141,38525,969
2013-02-08$46.94$47.0040.6%11.6%37.2%8.3%41.5%2.5%5.0%2.2M-25.0M-334.2K1.9948.88N/AN/A1,9173,82143,12026,639
2013-02-11$45.51$47.0042.9%12.3%38.3%11.5%43.6%3.0%2.8%1.2M-5.0M-317.6K0.3442.20N/AN/A7,0512,41041,18225,140
2013-02-12$45.84$46.0042.8%12.3%36.0%11.4%43.5%3.5%2.9%1.6M-11.2M-331.8K0.3856.90N/AN/A3,0821,16843,21926,757
2013-02-13$44.82$46.0042.5%12.2%35.9%11.1%42.7%2.5%3.4%1.1M6.2M-324.2K0.8221.19N/AN/A2,1171,73144,13627,419
2013-02-14$43.87$46.0043.0%12.3%36.4%11.7%43.7%3.6%2.8%-1.1M26.5M-312.1K0.9339.17N/AN/A3,2743,03742,30728,272
2013-02-15$42.08$46.0043.6%12.5%38.1%12.5%44.5%4.5%2.7%-1.1M53.0M-286.6K0.6252.11N/AN/A7,2404,47843,82029,827
2013-02-19$40.87$46.0045.6%13.1%38.5%15.2%46.1%5.8%-0.2%-21.8K26.5M-273.2K0.5810.32N/AN/A4,7272,72434,94520,918
2013-02-20$38.44$45.0052.6%15.1%41.3%24.9%51.6%6.2%-2.4%-160.2K36.6M-258.3K0.8245.98N/AN/A7,5506,19637,66722,422
2013-02-21$38.90$45.0048.0%13.8%41.7%18.6%48.0%8.7%-1.5%-439.9K41.0M-295.3K0.3422.12N/AN/A5,0511,72742,20726,875
2013-02-22$39.13$44.0048.0%13.8%41.1%18.5%54.2%8.1%-0.9%-258.0K37.8M-306.1K2.0158.90N/AN/A2,0564,13544,08027,489
2013-02-25$39.79$44.0052.9%15.2%41.5%25.3%52.9%7.2%-3.5%-309.8K32.0M-334.9K0.3532.79N/AN/A4,7931,69345,07031,139
2013-02-26$40.76$42.0045.1%12.9%42.5%14.5%45.7%3.3%0.2%36.1K24.1M-345.1K0.3339.99N/AN/A5,2351,72947,71832,192
2013-02-27$39.58$42.0046.1%13.2%41.0%15.9%47.6%5.1%-1.2%-36933.0M-337.7K0.4232.12N/AN/A1,65069850,36732,731
2013-02-28$38.29$42.0050.5%13.7%37.7%22.0%47.1%5.8%-2.7%-286.0K44.7M-314.5K0.3531.71N/AN/A4,1601,47650,95933,013