AGQ Options History — April 2013 In April 2013, AGQ traded between $23.94 and $36.87. ATM implied volatility averaged 61.9%, placing in the 48.3% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded below realized volatility by 16.8% (HV 20d: 78.8%). Max pain ranged from $26.00 to $41.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.88.
Notable Days 2013-04-15 : Highest Volume — 29,771 contracts2013-04-15 : Largest IV spike — 76.1% change2013-04-15 : Highest IV Rank — 100.0%2013-04-15 : Largest Expected Move — 27.7%Monthly Statistics Metric Avg Min Max Open Close Price $29.59 $23.94 $36.87 $36.87 $26.72 Max Pain $32.73 $26.00 $41.00 $41.00 $26.00 ATM IV 61.9% 42.7% 96.8% 46.7% 82.5% Expected Move 16.5% 11.5% 27.7% 11.5% 17.8% HV 20d 78.8% 24.3% 121.9% 24.3% 120.9% HV 60d 56.3% 35.4% 74.3% 35.4% 73.9% IV Rank 48.3% 18.9% 100.0% 27.3% 77.4% IV Percentile 67.5% 13.1% 100.0% 28.6% 99.2% Term Structure -5.1% -20.4% 0.8% 0.8% -5.5% VWIV 58.4% 40.8% 93.6% 40.8% 67.9% Skew 25d 8.3% 2.6% 15.6% 3.3% 7.6% Skew 10d 15.4% 5.4% 30.2% 7.2% 15.3% Call IV 25d 55.0% 39.7% 89.4% 40.4% 60.9% Put IV 25d 63.3% 42.9% 104.4% 43.7% 68.5% Bid-Ask Spread % 20.20 14.70 33.81 23.86 17.41 Gamma HHI 0.15 0.05 0.53 0.12 0.09 Net GEX 89.5K -1.0M 1.9M -711.2K 566.9K Net DEX 47.8M 19.7M 68.6M 45.7M 26.2M Net VEX -248.8K -336.4K -165.8K -302.6K -252.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.14 3.16 0.76 2.31 Total Volume 9,994.364 1,905 29,771 5,505 4,475 Total OI 87,879.727 65,391 112,648 65,391 97,448
Daily Data (22 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 2013-04-01 $36.87 $41.00 46.7% 11.5% 24.3% 27.3% 40.8% 3.3% 0.8% -711.2K 45.7M -302.6K 0.76 23.86 N/A N/A 3,125 2,380 34,438 30,953 2013-04-02 $34.81 $40.00 51.1% 12.1% 31.3% 36.6% 43.0% 5.4% 0.4% -1.0M 60.6M -269.6K 0.43 16.27 N/A N/A 6,515 2,818 36,129 32,546 2013-04-03 $34.11 $40.00 62.7% 13.2% 31.2% 61.0% 44.9% 5.3% -0.2% -900.4K 62.7M -267.4K 0.79 14.99 N/A N/A 3,263 2,582 38,913 33,368 2013-04-04 $33.87 $40.00 48.4% 13.1% 29.1% 31.0% 45.6% 5.5% -0.3% -998.0K 64.6M -267.5K 0.24 18.25 N/A N/A 6,165 1,497 40,506 34,288 2013-04-05 $34.91 $35.00 43.9% 12.3% 32.0% 21.4% 43.2% 4.3% -0.4% 888.9K 52.1M -297.4K 0.37 18.46 N/A N/A 4,425 1,624 44,923 34,973 2013-04-08 $34.74 $35.00 43.5% 11.6% 31.7% 20.8% 41.0% 4.9% 0.1% -355.4K 54.2M -290.8K 0.73 17.59 N/A N/A 2,086 1,529 44,487 33,555 2013-04-09 $36.59 $35.00 47.1% 11.6% 37.8% 28.2% 40.8% 2.6% -0.2% 302.1K 32.9M -336.4K 0.14 16.16 N/A N/A 10,054 1,388 45,762 34,241 2013-04-10 $35.68 $35.00 44.0% 12.3% 38.1% 21.6% 43.2% 3.5% 0.1% 822.6K 36.3M -333.2K 0.23 29.10 N/A N/A 3,681 860 50,082 34,816 2013-04-11 $35.71 $35.00 42.7% 12.2% 37.9% 18.9% 43.6% 3.7% -0.5% 1.2M 35.7M -328.6K 0.47 28.95 N/A N/A 1,297 608 51,730 35,254 2013-04-12 $31.91 $35.00 55.0% 15.8% 53.8% 44.8% 54.7% 7.0% -3.6% -467.0K 68.0M -260.5K 0.58 14.70 N/A N/A 13,837 7,969 52,313 35,407 2013-04-15 $23.98 $34.00 96.8% 27.7% 111.5% 100.0% 93.6% 15.0% -20.4% -33.4K 68.6M -165.8K 0.97 17.08 N/A N/A 15,138 14,633 52,851 36,503 2013-04-16 $25.00 $30.00 78.1% 22.4% 113.3% 70.4% 81.7% 15.6% -12.2% 101.6K 63.7M -187.3K 1.33 22.09 N/A N/A 6,912 9,210 62,237 37,814 2013-04-17 $24.51 $33.00 68.3% 19.6% 113.1% 54.9% 74.6% 11.0% -9.1% 7.5K 64.0M -200.4K 1.92 22.47 N/A N/A 4,481 8,589 65,502 41,306 2013-04-18 $24.43 $33.00 68.0% 19.5% 113.2% 54.4% 67.3% 12.8% -8.6% -319.1K 65.8M -187.5K 2.04 16.37 N/A N/A 3,709 7,564 67,169 42,015 2013-04-19 $24.43 $32.00 66.4% 19.0% 112.0% 51.8% 64.3% 11.6% -9.0% -563.2K 63.1M -199.7K 3.16 15.66 N/A N/A 4,408 13,932 68,814 43,834 2013-04-22 $24.86 $28.00 61.6% 17.7% 112.9% 44.3% 61.9% 12.4% -5.6% 88.0K 38.2M -196.8K 0.54 16.28 N/A N/A 3,884 2,115 50,973 30,831 2013-04-23 $23.94 $28.00 68.0% 19.5% 112.5% 54.3% 70.9% 14.0% -7.6% 71.9K 40.3M -188.1K 0.60 21.19 N/A N/A 2,701 1,633 53,255 32,239 2013-04-24 $24.45 $27.00 63.8% 18.3% 113.5% 47.7% 61.4% 11.7% -6.9% 230.6K 38.5M -189.4K 0.43 16.35 N/A N/A 4,725 2,029 54,876 33,177 2013-04-25 $26.75 $26.00 61.2% 17.5% 120.3% 43.6% 61.9% 8.5% -6.6% 667.4K 19.7M -244.5K 0.33 23.84 N/A N/A 9,631 3,151 57,426 34,498 2013-04-26 $25.91 $26.00 76.6% 19.5% 120.3% 68.0% 71.5% 8.8% -8.8% 1.9M 24.8M -241.0K 0.35 33.81 N/A N/A 10,319 3,573 60,796 36,246 2013-04-29 $26.86 $26.00 86.4% 19.1% 121.9% 83.5% 66.9% 7.8% -7.7% 512.5K 24.9M -266.5K 0.54 23.65 N/A N/A 3,485 1,876 60,945 33,915 2013-04-30 $26.72 $26.00 82.5% 17.8% 120.9% 77.4% 67.9% 7.6% -5.5% 566.9K 26.2M -252.9K 2.31 17.41 N/A N/A 1,351 3,124 62,349 35,099
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