AG Options History — August 2007

In August 2007, AG traded between $38.15 and $44.07. ATM implied volatility averaged 43.7%, placing in the 57.2% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 9.7% (HV 20d: 53.4%). Max pain ranged from $40.00 to $40.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.83.

Notable Days

  • 2007-08-15: Highest Volume — 1,738 contracts
  • 2007-08-08: Largest IV spike — 12.7% change
  • 2007-08-14: Highest IV Rank — 88.0%
  • 2007-08-16: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.07$38.15$44.07$40.35$43.20
Max Pain$40.00$40.00$40.00$40.00$40.00
ATM IV43.7%32.6%53.8%43.6%32.6%
Expected Move12.3%9.4%14.5%12.5%9.4%
HV 20d53.4%36.9%60.4%36.9%53.8%
HV 60d38.6%31.9%41.4%31.9%40.9%
IV Rank57.2%23.5%88.0%56.9%23.5%
IV Percentile85.5%36.5%99.4%95.2%36.5%
Term Structure1.1%-2.0%4.5%-1.0%4.2%
VWIV42.1%32.8%50.5%44.2%33.2%
Skew 25d5.0%2.5%7.8%3.7%7.6%
Skew 10d12.4%3.7%24.7%11.8%9.9%
Call IV 25d40.5%28.9%48.3%44.5%28.9%
Put IV 25d45.5%36.4%55.9%48.1%36.5%
Bid-Ask Spread %17.5710.1035.2914.0110.10
Gamma HHI0.250.230.420.280.23
Net GEX208.7K-164.8K379.6K113.2K370.9K
Net DEX-17.6M-29.6M-6.3M-15.6M-23.1M
Net VEX-122.5K-130.5K-115.3K-124.6K-115.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.830.036.030.471.22
Total Volume761.522271,738697415
Total OI21,629.78317,63825,62021,92919,072

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$40.35$40.0043.6%12.5%36.9%56.9%44.2%3.7%-1.0%113.2K-15.6M-124.6K0.4714.0147422312,4179,512
2007-08-02$42.07$40.0043.8%12.6%40.3%57.5%42.5%4.9%-2.0%259.3K-22.0M-125.4K3.6513.443151,14912,6419,586
2007-08-03$40.72$40.0044.5%12.8%40.6%59.7%44.8%2.5%0.5%116.6K-17.4M-129.4K0.7816.1237128912,68210,408
2007-08-06$42.60$40.0045.4%12.0%44.5%62.2%42.3%7.8%0.0%264.3K-23.4M-127.2K1.0112.6020520712,87910,384
2007-08-07$44.07$40.0043.4%12.2%45.9%56.2%43.6%3.8%0.3%379.6K-29.6M-124.0K6.0315.051851,11512,93110,464
2007-08-08$41.97$40.0048.9%13.4%48.7%72.9%46.0%5.2%-0.6%203.8K-21.0M-128.8K2.4435.294741,15812,97311,110
2007-08-09$39.40$40.0052.8%13.9%52.4%85.0%48.1%4.4%-0.9%-95.4K-10.9M-130.0K2.5016.064001,00013,09111,335
2007-08-10$41.12$40.0050.2%14.0%55.3%77.0%48.6%5.1%-1.1%163.4K-19.5M-130.5K0.8621.5354947313,38411,300
2007-08-13$41.69$40.0049.2%13.7%55.7%73.8%44.8%4.1%-0.6%223.0K-22.2M-126.9K0.5222.0025113013,59711,451
2007-08-14$41.80$40.0053.8%13.8%55.5%88.0%46.6%3.1%0.7%240.1K-23.2M-127.8K0.8021.5522217813,73811,515
2007-08-15$40.28$40.0047.6%13.6%56.6%69.0%46.3%3.1%-1.4%127.0K-16.3M-125.3K1.1216.6482091813,79811,438
2007-08-16$38.15$40.0050.5%14.5%59.2%77.9%50.5%7.5%-1.5%-164.8K-6.3M-120.9K3.8518.803011,15913,63911,598
2007-08-17$39.10$40.0047.5%13.6%59.9%68.9%47.7%4.6%-0.1%153.2K-7.8M-120.3K3.7415.438832913,78011,840
2007-08-20$39.98$40.0044.2%12.7%60.4%58.8%43.9%6.0%1.1%242.1K-13.9M-119.4K3.9120.675521511,2726,366
2007-08-21$39.73$40.0043.4%12.5%60.1%56.4%43.3%6.8%2.4%228.4K-13.3M-118.1K1.6810.4921936911,3066,417
2007-08-22$40.59$40.0039.8%11.4%60.3%45.2%39.7%6.3%2.5%238.8K-14.7M-118.4K0.5810.9031518411,2886,709
2007-08-23$40.83$40.0038.0%10.9%58.1%42.6%35.7%4.9%3.4%262.4K-15.4M-118.4K0.3415.841675711,4336,734
2007-08-24$42.18$40.0035.7%10.2%58.9%32.9%33.6%3.8%4.5%328.9K-19.5M-118.7K0.4620.6039418311,4796,750
2007-08-27$41.80$40.0037.0%10.6%58.1%36.7%34.3%4.7%3.8%335.0K-19.4M-119.8K0.1321.6324311,8406,844
2007-08-28$40.23$40.0038.8%11.1%57.8%42.2%38.6%4.3%3.1%258.2K-14.8M-117.3K5.9015.649656611,8186,841
2007-08-29$41.03$40.0037.1%10.6%55.6%37.2%32.8%6.9%3.6%252.9K-16.1M-115.8K0.0318.223441011,7977,080
2007-08-30$41.81$40.0036.3%10.4%54.0%34.8%36.6%4.4%3.6%299.9K-18.7M-115.3K0.1821.5977614011,8587,090
2007-08-31$43.20$40.0032.6%9.4%53.8%23.5%33.2%7.6%4.2%370.9K-23.1M-115.5K1.2210.1018722811,9477,125