AG Options History — October 2007

In October 2007, AG traded between $49.22 and $59.68. ATM implied volatility averaged 44.2%, placing in the 58.7% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 7.5% (HV 20d: 36.7%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 1.36.

Notable Days

  • 2007-10-30: Highest Volume — 10,492 contracts
  • 2007-10-11: Largest IV spike — 29.1% change
  • 2007-10-29: Highest IV Rank — 100.0%
  • 2007-10-29: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.75$49.22$59.68$52.02$59.68
Max Pain$45.43$45.00$50.00$45.00$50.00
ATM IV44.2%35.8%57.9%36.4%38.8%
Expected Move12.9%10.4%16.6%10.4%11.1%
HV 20d36.7%27.6%56.9%27.6%54.8%
HV 60d44.0%42.6%46.8%42.6%46.5%
IV Rank58.7%33.2%100.0%35.0%42.0%
IV Percentile84.1%54.6%100.0%62.0%70.8%
Term Structure-2.7%-10.7%5.3%4.1%3.5%
VWIV46.0%35.9%59.1%37.6%39.9%
Skew 25d4.3%-1.2%6.5%3.5%2.1%
Skew 10d9.0%1.6%14.5%7.8%5.7%
Call IV 25d43.7%33.9%54.8%34.3%38.8%
Put IV 25d48.0%37.9%60.8%37.9%40.9%
Bid-Ask Spread %14.0510.3022.4713.1214.98
Gamma HHI0.310.250.470.390.29
Net GEX546.6K364.9K705.0K413.1K705.0K
Net DEX-47.7M-74.8M-32.6M-44.2M-74.8M
Net VEX-83.0K-92.4K-73.1K-73.1K-86.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.083.700.081.01
Total Volume1,307.39113610,4923,3082,017
Total OI22,382.34819,44927,54319,44927,543

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$52.02$45.0036.4%10.4%27.6%35.0%37.6%3.5%4.1%413.1K-44.2M-73.1K0.0813.123,05525311,1508,299
2007-10-02$51.20$45.0037.0%10.6%28.8%36.9%35.9%4.9%5.3%628.1K-45.1M-86.6K1.1213.9015417312,7138,411
2007-10-03$49.42$45.0037.3%10.7%32.6%37.8%37.9%2.8%4.1%563.5K-38.4M-92.4K0.7813.7134126712,7168,561
2007-10-04$50.59$50.0038.3%11.0%32.6%40.6%39.5%6.5%3.5%573.4K-41.6M-92.3K2.4412.9013432712,7828,699
2007-10-05$51.25$45.0037.4%12.0%30.3%38.1%40.2%4.2%-3.1%573.0K-44.2M-86.9K0.4515.181305912,8178,862
2007-10-08$52.18$45.0039.9%12.8%29.1%45.7%45.6%6.3%-5.0%586.5K-47.4M-81.9K2.0310.3812224812,8268,871
2007-10-09$53.00$45.0036.5%12.1%28.8%35.4%43.0%4.7%-3.5%586.7K-50.3M-78.2K0.5611.1331717812,8799,051
2007-10-10$53.11$45.0035.8%12.4%28.3%33.2%44.7%4.6%-3.7%596.7K-51.1M-76.6K0.4711.0539718712,9649,159
2007-10-11$52.45$45.0046.2%13.3%29.3%64.9%45.4%4.5%-4.4%579.9K-48.3M-80.4K1.6711.4726043512,8959,121
2007-10-12$54.06$45.0045.0%12.9%30.2%61.1%46.8%2.6%-5.0%583.7K-53.4M-75.4K1.0414.2317918712,9649,354
2007-10-15$54.05$45.0045.8%13.1%30.3%63.6%46.2%4.5%-4.5%563.2K-52.6M-75.6K1.0910.3025227512,9499,466
2007-10-16$52.56$45.0046.5%13.3%28.8%65.6%48.0%4.2%-4.8%539.1K-48.2M-79.8K1.6513.8940366313,0549,614
2007-10-17$53.92$45.0046.8%13.4%29.7%66.7%48.9%5.7%-4.8%541.7K-52.3M-80.6K0.8013.4036228813,19010,180
2007-10-18$54.13$45.0047.6%13.7%28.5%69.2%50.1%5.5%-5.3%558.0K-52.7M-81.2K1.6312.0318630313,31610,277
2007-10-19$50.73$45.0050.7%14.5%38.2%78.6%50.6%4.8%-6.8%364.9K-41.1M-91.3K3.0117.2817352113,38510,431
2007-10-22$49.22$45.0049.7%14.2%39.9%75.4%51.4%6.3%-5.3%479.2K-32.6M-88.8K3.7017.5525795112,4218,598
2007-10-23$52.76$45.0048.3%13.9%46.6%71.3%50.6%4.5%-4.2%543.5K-44.5M-82.6K1.3715.4737651612,5409,054
2007-10-24$51.80$45.0049.8%14.3%47.0%75.7%49.5%3.2%-4.7%475.5K-40.4M-86.6K2.1622.47439312,6709,399
2007-10-25$50.50$45.0050.2%14.4%47.9%77.1%50.5%5.0%-4.0%460.2K-35.6M-91.0K2.4011.3514534812,6869,462
2007-10-26$52.25$45.0051.1%14.6%48.8%79.7%52.5%4.9%-4.7%501.9K-42.0M-87.7K0.9420.5418717512,7139,583
2007-10-29$53.81$45.0057.9%16.6%49.1%100.0%59.1%6.0%-10.7%489.0K-46.8M-80.1K0.4715.302,4781,16312,7139,583
2007-10-30$58.62$45.0043.5%12.5%56.9%56.3%44.9%-1.2%2.2%666.4K-70.4M-73.7K0.4811.487,0793,41314,64910,224
2007-10-31$59.68$50.0038.8%11.1%54.8%42.0%39.9%2.1%3.5%705.0K-74.8M-86.6K1.0114.981,0031,01416,23911,304