AGQ Options History — March 2013

In March 2013, AGQ traded between $37.75 and $40.02. ATM implied volatility averaged 40.8%, placing in the 12.6% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 8.0% (HV 20d: 32.8%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.22.

Notable Days

  • 2013-03-22: Highest Volume — 12,082 contracts
  • 2013-03-06: Largest IV drop — 19.5% change
  • 2013-03-05: Highest IV Rank — 37.5%
  • 2013-03-01: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.03$37.75$40.02$38.44$37.75
Max Pain$39.75$39.00$42.00$42.00$41.00
ATM IV40.8%33.7%55.9%49.3%36.1%
Expected Move11.6%10.2%13.5%13.5%10.4%
HV 20d32.8%23.0%37.8%37.2%23.0%
HV 60d38.9%35.3%41.4%41.4%36.1%
IV Rank12.6%0.0%37.5%20.4%5.1%
IV Percentile10.4%0.0%57.1%31.7%1.2%
Term Structure1.4%-0.5%3.9%-0.5%2.0%
VWIV41.3%36.0%47.2%47.2%36.0%
Skew 25d3.5%2.4%5.5%4.1%3.0%
Skew 10d6.3%3.3%10.1%8.4%5.3%
Call IV 25d39.9%35.8%46.5%46.5%35.8%
Put IV 25d43.4%38.8%51.2%50.6%38.8%
Bid-Ask Spread %31.4114.0951.0948.3551.09
Gamma HHI0.130.050.260.100.11
Net GEX46.9K-830.1K964.9K-162.9K-632.9K
Net DEX32.5M11.9M54.5M42.0M41.8M
Net VEX-329.6K-351.7K-306.7K-330.4K-320.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.220.216.970.420.71
Total Volume5,091.051,98512,0825,0983,838
Total OI79,842.952,154100,31387,38068,258

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-03-01$38.44$42.0049.3%13.5%37.2%20.4%47.2%4.1%-0.5%-162.9K42.0M-330.4K0.4248.35N/AN/A3,5821,51653,52333,857
2013-03-04$38.38$39.0055.9%13.4%35.3%29.4%47.0%5.5%0.5%-111.7K43.1M-328.0K0.4518.44N/AN/A1,99889255,65234,648
2013-03-05$38.77$39.0054.5%12.9%36.0%37.5%45.6%4.0%0.3%-7.4K39.9M-332.6K0.3426.66N/AN/A4,3811,49756,54835,181
2013-03-06$39.71$39.0043.9%12.4%37.7%17.6%44.0%4.5%0.0%811.1K27.6M-351.7K0.7719.57N/AN/A2,0901,60959,37835,843
2013-03-07$39.23$39.0043.2%12.4%37.5%16.3%43.5%4.1%1.2%492.3K37.2M-343.3K0.7518.45N/AN/A1,13385260,06236,758
2013-03-08$39.45$39.0037.5%11.8%37.6%5.5%41.3%3.7%2.1%964.9K34.7M-336.3K0.5328.56N/AN/A3,9272,06560,41836,804
2013-03-11$39.58$39.0036.4%11.4%37.8%4.1%39.6%4.7%1.5%206.6K37.5M-320.9K1.0036.99N/AN/A1,7841,77758,65335,884
2013-03-12$40.02$39.0036.6%11.0%37.4%4.4%38.3%2.8%2.7%645.1K30.5M-328.6K0.3338.76N/AN/A3,6341,19959,67736,576
2013-03-13$39.29$40.0033.7%11.2%37.3%0.0%39.3%2.7%2.6%-830.1K46.2M-318.4K0.4318.21N/AN/A1,93283260,84637,192
2013-03-14$38.85$39.0039.4%11.3%36.9%12.1%39.6%2.8%2.3%-646.2K49.1M-311.4K0.6450.50N/AN/A2,3011,47661,74936,749
2013-03-15$38.84$39.0037.4%10.7%36.5%7.8%42.2%3.3%3.9%540.7K54.5M-306.7K5.4319.58N/AN/A1,6649,02962,86837,445
2013-03-18$39.28$40.0038.8%11.1%34.5%10.8%38.7%3.4%1.7%-131.1K17.2M-322.7K0.2115.24N/AN/A3,00064428,28623,868
2013-03-19$39.21$40.0042.7%12.2%33.1%19.0%42.9%3.1%-0.5%174.7K15.2M-330.5K0.4114.09N/AN/A2,9061,19230,31124,449
2013-03-20$38.91$40.0039.1%11.2%24.8%11.5%45.0%2.9%1.1%304.4K17.5M-328.4K6.9723.20N/AN/A1,2478,68632,41625,300
2013-03-21$39.95$40.0041.3%11.8%26.2%16.0%41.2%2.4%-0.0%-219.0K11.9M-341.7K0.9332.43N/AN/A3,4173,16233,10228,680
2013-03-22$38.68$40.0040.7%11.7%28.7%14.9%41.7%2.9%0.3%15.9K20.5M-325.7K2.0141.22N/AN/A4,0148,06834,63527,254
2013-03-25$38.98$40.0038.2%11.0%28.2%9.6%38.7%3.6%1.0%-339.4K24.6M-345.0K0.5247.18N/AN/A2,6311,37533,23829,104
2013-03-26$38.70$40.0036.2%10.4%26.6%5.3%37.6%3.7%2.0%-22.8K27.2M-336.3K1.1636.37N/AN/A1,4511,68334,76829,935
2013-03-27$38.60$41.0035.6%10.2%24.7%4.1%36.2%2.9%3.1%-113.9K32.0M-333.5K0.3943.26N/AN/A2,40793035,56431,379
2013-03-28$37.75$41.0036.1%10.4%23.0%5.1%36.0%3.0%2.0%-632.9K41.8M-320.0K0.7151.09N/AN/A2,2411,59736,30131,957