AG Options History — July 2007

In July 2007, AG traded between $38.43 and $46.22. ATM implied volatility averaged 37.2%, placing in the 39.8% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 12.7% (HV 20d: 24.5%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 6.67.

Notable Days

  • 2007-07-30: Highest Volume — 3,292 contracts
  • 2007-07-12: Largest IV spike — 29.3% change
  • 2007-07-27: Highest IV Rank — 64.1%
  • 2007-07-27: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.49$38.43$46.22$44.90$38.43
Max Pain$40.71$40.00$45.00$45.00$40.00
ATM IV37.2%28.5%46.0%29.2%40.5%
Expected Move11.1%8.4%13.2%8.4%11.6%
HV 20d24.5%21.4%31.7%25.6%31.0%
HV 60d28.2%26.9%30.5%27.9%30.5%
IV Rank39.8%10.9%64.1%13.1%47.4%
IV Percentile72.4%1.6%97.9%3.2%91.0%
Term Structure-2.0%-6.2%7.0%5.9%0.6%
VWIV39.4%28.6%46.4%28.6%40.9%
Skew 25d3.6%0.4%5.3%3.2%4.7%
Skew 10d7.7%2.6%14.6%5.3%11.2%
Call IV 25d37.9%29.9%45.7%29.9%41.7%
Put IV 25d41.5%32.9%50.8%33.2%46.4%
Bid-Ask Spread %18.0010.1730.8822.5923.56
Gamma HHI0.280.240.360.280.36
Net GEX223.5K-59.7K404.7K320.0K-59.7K
Net DEX-20.0M-27.7M-7.7M-23.8M-8.2M
Net VEX-95.3K-119.2K-88.6K-99.5K-119.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.670.0483.000.640.61
Total Volume659.714703,292115891
Total OI18,188.47616,62021,94017,37621,940

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-07-02$44.90$45.0029.2%8.4%25.6%0.0%28.6%3.2%5.9%320.0K-23.8M-99.5K0.6422.5970459,9217,455
2007-07-03$45.00$45.0029.7%8.5%25.4%0.0%34.8%2.6%6.1%334.5K-24.3M-99.2K2.3030.8827629,9667,469
2007-07-05$45.39$45.0029.2%8.4%24.1%13.1%30.1%3.5%7.0%345.9K-25.0M-98.3K0.4229.7364279,9767,466
2007-07-06$46.22$40.0028.5%10.6%21.4%10.9%36.1%3.4%-1.8%404.7K-27.7M-93.9K7.0012.0413997310,0297,451
2007-07-09$45.70$40.0030.6%10.8%22.0%17.4%41.3%4.5%-1.9%182.6K-24.8M-96.1K2.4813.6212430710,0118,219
2007-07-10$44.75$40.0030.8%10.9%23.3%17.9%38.3%2.3%-2.8%237.6K-22.7M-96.1K0.3711.39973610,0818,047
2007-07-11$45.19$40.0030.0%10.9%23.1%15.4%0.0%4.3%-3.0%255.1K-24.1M-94.8K83.0017.3118310,1338,070
2007-07-12$45.96$40.0038.8%11.1%21.5%42.1%36.5%4.9%-3.1%281.8K-26.4M-94.2K0.0410.1775310,1348,121
2007-07-13$45.43$40.0038.5%11.0%21.4%41.4%0.0%4.1%-3.1%265.4K-25.0M-94.3K1.2412.89506210,1658,124
2007-07-16$45.17$40.0038.2%10.9%21.6%40.3%38.4%3.5%-2.6%255.1K-24.4M-91.2K0.2917.101434210,1978,134
2007-07-17$44.32$40.0038.8%11.1%22.3%42.3%40.6%2.8%-2.9%253.4K-21.7M-91.4K3.3316.3814448010,2518,133
2007-07-18$44.58$40.0038.8%11.1%22.5%42.3%38.5%3.5%-2.9%345.3K-22.3M-91.4K1.1216.66333710,3388,049
2007-07-19$44.70$40.0039.4%11.3%22.2%44.0%40.4%2.6%-3.5%361.4K-22.9M-89.3K0.4116.691385610,3308,078
2007-07-20$43.63$40.0040.0%11.5%23.5%45.8%42.4%4.2%-4.4%269.5K-18.4M-89.1K8.6315.939077710,3418,063
2007-07-23$42.75$40.0039.3%11.3%23.7%43.8%39.9%0.4%-3.4%204.4K-17.9M-88.6K0.2918.038502489,3447,276
2007-07-24$41.85$40.0043.1%12.4%24.7%55.5%42.7%3.9%-5.8%203.7K-16.0M-91.4K1.2815.552142759,8207,475
2007-07-25$41.06$40.0041.5%11.9%25.3%50.6%42.5%3.3%-4.5%128.3K-13.4M-90.5K20.8618.92285849,9347,673
2007-07-26$39.31$40.0044.6%12.8%29.0%59.8%44.8%3.9%-6.2%-24.3K-7.9M-90.0K0.5613.385603169,9357,834
2007-07-27$38.82$40.0046.0%13.2%29.1%64.1%46.2%4.4%-5.4%-28.8K-7.7M-89.6K0.1019.422,18522610,1397,855
2007-07-30$40.05$40.0045.1%12.9%31.7%61.4%46.4%5.3%-3.5%158.2K-16.0M-112.7K5.1825.755332,75912,0247,957
2007-07-31$38.43$40.0040.5%11.6%31.0%47.4%40.9%4.7%0.6%-59.7K-8.2M-119.2K0.6123.5655433712,3239,617