AG Options History — May 2007

In May 2007, AG traded between $40.38 and $43.67. ATM implied volatility averaged 32.9%. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 5.9% (HV 20d: 27.0%). Max pain ranged from $35.00 to $45.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.74.

Notable Days

  • 2007-05-01: Highest Volume — 1,933 contracts
  • 2007-05-18: Largest IV spike — 16.1% change
  • 2007-05-01: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.38$40.38$43.67$41.79$43.28
Max Pain$43.41$35.00$45.00$35.00$45.00
ATM IV32.9%29.1%43.6%43.6%29.5%
Expected Move9.3%8.3%12.5%12.5%8.4%
HV 20d27.0%23.8%33.3%24.3%33.3%
HV 60d26.5%25.4%28.1%27.9%27.7%
Term Structure1.0%-6.5%3.1%-6.5%3.0%
VWIV32.5%28.2%42.6%42.6%32.2%
Skew 25d4.3%-1.8%8.0%4.6%3.9%
Skew 10d8.5%-5.4%21.0%8.3%10.0%
Call IV 25d30.3%27.3%40.1%40.1%28.3%
Put IV 25d34.6%29.0%44.7%44.7%32.2%
Bid-Ask Spread %18.055.9028.1716.019.12
Gamma HHI0.470.330.590.350.52
Net GEX273.2K-28.0K513.5K280.3K323.3K
Net DEX-21.7M-30.0M-10.5M-21.9M-18.8M
Net VEX-101.8K-115.6K-86.0K-88.5K-98.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.740.1111.752.771.13
Total Volume611.364551,9331,933717
Total OI19,831.09115,61523,18419,21216,625

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$41.79$35.0043.6%12.5%24.3%0.0%42.6%4.6%-6.5%280.3K-21.9M-88.5K2.7716.015131,4209,6309,582
2007-05-02$42.50$35.0036.9%10.6%24.5%0.0%33.7%3.8%-3.1%296.1K-23.6M-86.0K0.708.009366589,63610,392
2007-05-03$42.50$35.0036.5%10.5%23.9%0.0%35.4%4.5%-3.1%275.0K-23.2M-93.4K3.7810.92542049,88510,811
2007-05-04$42.54$45.0031.5%8.4%23.9%0.0%34.1%5.5%2.0%280.6K-23.3M-92.8K0.3823.821,2954959,86810,866
2007-05-07$43.33$45.0031.6%8.4%23.8%0.0%29.9%5.9%2.4%474.9K-28.5M-104.8K0.6628.1724916511,14210,816
2007-05-08$42.99$45.0031.7%8.5%24.2%0.0%0.0%4.9%2.1%423.4K-28.1M-104.9K0.3427.95411411,12410,813
2007-05-09$43.67$45.0032.5%8.7%24.3%0.0%28.2%5.0%2.4%513.5K-30.0M-102.4K0.9522.2126525111,12510,813
2007-05-10$42.75$45.0031.1%8.9%26.6%0.0%34.5%4.1%2.0%398.8K-26.4M-107.5K11.7525.775969311,23310,982
2007-05-11$42.50$45.0034.8%10.0%27.0%0.0%30.1%4.7%1.0%325.3K-25.0M-108.6K0.8025.6014311511,23911,479
2007-05-14$43.11$45.0030.5%8.7%26.8%0.0%30.4%4.5%2.7%416.9K-26.8M-106.1K0.5525.73563111,30311,542
2007-05-15$43.43$45.0030.5%8.7%26.7%0.0%30.9%4.2%2.9%455.1K-28.0M-103.9K0.1117.505115711,29011,543
2007-05-16$42.55$45.0030.6%8.8%28.3%0.0%34.0%8.0%3.1%342.2K-24.8M-106.8K5.0916.2311860111,62111,563
2007-05-17$42.94$45.0030.9%8.9%28.2%0.0%33.9%4.1%2.4%291.9K-26.3M-103.6K0.5116.93874411,62311,539
2007-05-18$41.90$45.0035.8%10.3%29.8%0.0%31.1%5.1%0.3%131.7K-23.1M-105.5K0.5018.0025712811,59011,525
2007-05-21$42.51$45.0032.2%9.2%25.3%0.0%33.9%2.2%-0.5%234.2K-16.2M-100.3K0.815.901701378,5307,085
2007-05-22$42.54$45.0030.8%8.8%24.9%0.0%32.4%5.6%1.7%292.4K-19.5M-115.6K0.898.701821629,8817,117
2007-05-23$40.47$45.0034.7%9.9%28.9%0.0%33.6%3.8%0.1%7.1K-11.3M-104.5K1.4223.713194528,6647,258
2007-05-24$40.38$40.0034.1%9.8%27.4%0.0%31.3%5.7%0.8%-1.2K-10.5M-104.3K0.9626.501531478,6857,286
2007-05-25$41.39$45.0031.3%9.0%28.9%0.0%31.2%2.5%1.9%74.3K-13.3M-101.3K2.0514.261332738,7007,287
2007-05-29$40.71$45.0032.5%9.3%29.0%0.0%29.0%-1.8%1.4%-28.0K-11.5M-99.7K1.6017.113124998,7597,309
2007-05-30$42.58$45.0029.1%8.3%33.3%0.0%29.1%3.1%2.4%202.0K-16.5M-100.4K0.608.942091258,8957,628
2007-05-31$43.28$45.0029.5%8.4%33.3%0.0%32.2%3.9%3.0%323.3K-18.8M-98.7K1.139.123363818,9307,695