AG Options History — January 2007

In January 2007, AG traded between $29.18 and $33.97. ATM implied volatility averaged 35.8%. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 0.1% (HV 20d: 35.7%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.71.

Notable Days

  • 2007-01-05: Highest Volume — 1,729 contracts
  • 2007-01-05: Largest IV drop — 12.4% change
  • 2007-01-18: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.67$29.18$33.97$30.30$33.97
Max Pain$29.50$25.00$30.00$25.00$30.00
ATM IV35.8%30.8%40.9%39.1%36.0%
Expected Move10.5%9.6%11.7%11.2%10.3%
HV 20d35.7%33.8%37.7%37.7%33.8%
Term Structure1.5%-1.8%6.6%3.3%0.4%
VWIV37.4%34.6%41.4%39.1%36.0%
Skew 25d4.0%-0.7%7.2%4.7%3.3%
Skew 10d4.2%-4.8%12.2%4.7%-2.1%
Call IV 25d34.5%28.7%36.8%28.7%35.2%
Put IV 25d38.5%28.9%43.0%33.4%38.4%
Bid-Ask Spread %11.134.9324.924.935.52
Gamma HHI0.500.300.750.510.54
Net GEX-3.3K-236.8K90.2K-99.7K75.5K
Net DEX-19.5M-34.8M-7.7M-22.4M-11.8M
Net VEX-39.3K-49.6K-33.0K-46.5K-33.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.710.0411.311.250.06
Total Volume503.2521,729559932
Total OI16,090.158,33321,59319,9948,905

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-01-03$30.30$25.0039.1%11.2%0.0%0.0%39.1%4.7%3.3%-99.7K-22.4M-46.5K1.254.9324831112,2727,722
2007-01-04$29.62$25.0035.2%10.1%0.0%0.0%34.6%-0.7%6.6%-78.9K-19.7M-45.8K3.595.6411541312,4447,686
2007-01-05$29.32$30.0030.8%10.6%0.0%0.0%35.7%5.5%1.7%-87.4K-18.4M-43.3K1.1512.9980392612,4627,539
2007-01-08$29.18$30.0032.8%10.7%0.0%0.0%37.3%7.2%1.3%90.2K-17.1M-49.6K0.1124.183333613,1347,796
2007-01-09$29.32$30.0033.3%10.4%0.0%0.0%41.4%6.2%2.1%-65.8K-19.2M-45.5K1.8824.9217733313,3107,828
2007-01-10$29.44$30.0033.4%10.5%0.0%0.0%36.8%6.1%2.5%-176.6K-19.1M-45.1K1.3516.0441756413,3318,118
2007-01-11$29.97$30.0037.0%10.6%0.0%0.0%37.0%4.6%2.1%-236.8K-22.2M-46.4K1.4616.9241660813,2678,326
2007-01-12$31.78$30.0037.5%10.8%0.0%0.0%37.2%5.5%1.8%-72.6K-31.9M-41.1K0.2216.5263214013,1938,022
2007-01-16$31.77$30.0038.4%11.0%0.0%0.0%36.1%4.5%1.9%-67.1K-32.7M-38.2K0.147.451742513,2438,075
2007-01-17$32.18$30.0039.1%11.2%0.0%0.0%39.1%2.9%1.3%-19.5K-34.2M-36.9K2.466.9216239813,2628,080
2007-01-18$32.16$30.0040.9%11.7%0.0%0.0%40.5%5.1%-1.8%71.1K-34.8M-35.5K0.476.7922110413,3248,075
2007-01-19$32.06$30.0038.0%10.9%0.0%0.0%38.0%3.5%0.6%63.8K-34.6M-35.4K0.468.301788213,2898,160
2007-01-22$31.76$30.0036.7%10.5%0.0%0.0%37.0%0.6%2.0%75.3K-7.7M-36.5K0.518.67100514,6863,647
2007-01-23$33.42$30.0033.6%9.6%0.0%0.0%35.6%4.3%1.2%69.6K-10.3M-33.3K0.238.44373844,7833,667
2007-01-24$33.65$30.0034.8%10.0%0.0%0.0%36.1%3.5%0.4%79.1K-11.3M-34.5K0.449.0345205,0543,728
2007-01-25$32.65$30.0035.4%10.1%37.7%0.0%37.2%1.6%0.4%85.5K-9.7M-36.3K11.317.39131475,0383,748
2007-01-26$33.30$30.0033.7%9.7%36.9%0.0%40.3%5.0%0.9%76.7K-10.8M-35.2K6.237.55472935,0513,831
2007-01-29$33.55$30.0035.3%10.1%35.7%0.0%35.3%4.3%-0.1%77.0K-11.2M-33.0K0.828.9550415,0513,787
2007-01-30$33.94$30.0035.6%10.2%34.7%0.0%0.0%2.5%0.9%75.0K-11.4M-33.9K0.0415.515025,0433,826
2007-01-31$33.97$30.0036.0%10.3%33.8%0.0%36.0%3.3%0.4%75.5K-11.8M-33.2K0.065.52882505,0773,828