AG Options History — March 2007

In March 2007, AG traded between $35.49 and $37.28. ATM implied volatility averaged 32.8%. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 3.4% (HV 20d: 29.4%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.69.

Notable Days

  • 2007-03-19: Highest Volume — 3,110 contracts
  • 2007-03-12: Largest IV spike — 30.9% change
  • 2007-03-08: Largest Expected Move — 10.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$36.30$35.49$37.28$36.34$36.97
Max Pain$35.00$35.00$35.00$35.00$35.00
ATM IV32.8%24.9%35.3%33.9%32.7%
Expected Move9.7%8.6%10.6%9.7%9.4%
HV 20d29.4%22.5%34.6%34.4%22.5%
HV 60d31.6%30.4%32.8%32.4%30.4%
Term Structure2.4%0.4%5.3%1.3%4.4%
VWIV33.4%29.6%36.6%33.4%31.4%
Skew 25d2.8%-5.8%6.6%-0.1%1.2%
Skew 10d6.9%-10.6%16.6%-4.3%0.2%
Call IV 25d31.5%27.0%35.8%32.9%31.4%
Put IV 25d34.3%29.2%37.8%32.8%32.5%
Bid-Ask Spread %14.706.5323.3721.9112.33
Gamma HHI0.380.280.600.280.36
Net GEX-74.5K-233.7K22.1K-20.8K-63.8K
Net DEX-9.8M-12.6M-7.3M-9.2M-11.3M
Net VEX-54.5K-72.2K-41.0K-44.2K-71.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.690.0210.621.205.17
Total Volume684.091443,1106531,500
Total OI11,065.58,89211,93110,04911,931

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$36.34$35.0033.9%9.7%34.4%0.0%33.4%-0.1%1.3%-20.8K-9.2M-44.2K1.2021.912973565,6434,406
2007-03-02$35.54$35.0033.7%9.6%34.3%0.0%33.7%-5.8%1.3%-63.5K-8.0M-44.5K1.536.531672555,7674,634
2007-03-05$35.49$35.0035.2%10.2%34.3%0.0%35.6%2.1%1.3%-73.9K-8.0M-45.1K2.1511.191904095,8834,732
2007-03-06$35.51$35.0034.6%10.1%34.3%0.0%35.1%2.9%1.2%-65.0K-8.2M-43.8K3.1813.141023245,9214,671
2007-03-07$35.99$35.0033.4%10.3%34.6%0.0%36.1%3.0%0.7%-60.5K-9.7M-43.9K6.9914.091077486,0624,738
2007-03-08$36.71$35.0034.9%10.6%32.6%0.0%36.6%4.8%0.4%-42.7K-11.0M-44.2K1.7614.092103706,0765,016
2007-03-09$37.26$35.0024.9%10.1%33.0%0.0%33.1%3.3%2.1%-11.2K-12.4M-42.7K3.6218.39371346,1855,073
2007-03-12$37.28$35.0032.6%10.4%28.9%0.0%36.1%3.7%1.6%-11.8K-12.6M-41.0K5.3718.49542906,1705,086
2007-03-13$36.10$35.0035.3%10.4%30.9%0.0%35.3%4.3%1.1%-139.7K-9.2M-42.7K1.9215.541813486,1935,343
2007-03-14$35.65$35.0032.1%10.4%31.1%0.0%36.0%4.2%1.4%-184.0K-9.2M-43.4K5.4316.811508156,1925,020
2007-03-15$35.88$35.0035.1%10.1%29.3%0.0%35.3%5.4%2.1%-178.4K-9.3M-46.1K0.6818.213162166,1675,458
2007-03-16$35.53$35.0034.7%9.9%29.1%0.0%34.5%2.5%1.4%-233.7K-9.2M-46.1K0.1820.85227406,1165,558
2007-03-19$36.24$35.0031.0%8.9%29.6%0.0%31.0%2.9%3.5%-100.0K-7.3M-43.0K0.2410.512,5165944,3774,515
2007-03-20$36.38$35.0031.8%9.1%29.7%0.0%31.8%6.2%3.4%3.0K-10.5M-62.7K0.6223.375183205,9384,491
2007-03-21$36.86$35.0031.1%8.9%27.4%0.0%31.1%2.6%4.6%22.1K-11.7M-64.0K10.628.931301,3816,0554,316
2007-03-22$36.97$35.0032.8%9.4%27.2%0.0%32.7%5.6%2.3%-55.0K-10.7M-71.7K3.0311.53932826,0895,332
2007-03-23$36.67$35.0029.9%8.6%27.2%0.0%29.6%1.8%5.3%-56.8K-10.5M-71.6K0.0212.234316,1335,419
2007-03-26$36.77$35.0033.1%9.5%26.3%0.0%31.3%4.3%2.4%-47.8K-10.4M-71.2K1.3712.681071476,1705,320
2007-03-27$35.85$35.0033.1%9.5%23.0%0.0%31.3%6.6%3.0%-69.0K-8.9M-71.4K1.9019.482284336,2535,343
2007-03-28$35.96$35.0031.6%9.1%22.8%0.0%31.6%-1.4%4.3%-106.9K-8.7M-72.2K1.8510.77541006,2665,536
2007-03-29$36.70$35.0033.1%9.5%24.0%0.0%33.1%2.4%3.4%-79.9K-10.4M-71.8K0.3812.33188726,3025,545
2007-03-30$36.97$35.0032.7%9.4%22.5%0.0%31.4%1.2%4.4%-63.8K-11.3M-71.4K5.1712.332431,2576,3685,563