AG Options History — November 2007

In November 2007, AG traded between $56.62 and $68.94. ATM implied volatility averaged 46.8%, placing in the 66.3% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 19.7% (HV 20d: 66.4%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2007-11-01: Highest Volume — 6,737 contracts
  • 2007-11-12: Largest IV spike — 12.5% change
  • 2007-11-12: Highest IV Rank — 80.4%
  • 2007-11-12: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.62$56.62$68.94$61.00$68.94
Max Pain$55.00$50.00$60.00$50.00$60.00
ATM IV46.8%42.2%51.4%48.4%43.9%
Expected Move13.5%12.6%14.6%13.9%12.6%
HV 20d66.4%54.7%76.3%54.7%65.0%
HV 60d48.4%42.3%51.8%45.2%51.7%
IV Rank66.3%52.5%80.4%71.2%57.6%
IV Percentile88.6%79.1%98.2%93.3%79.1%
Term Structure1.1%-1.6%2.8%-1.6%2.1%
VWIV48.0%45.0%51.8%50.4%45.5%
Skew 25d3.7%1.9%5.8%3.5%3.5%
Skew 10d7.4%4.4%12.6%8.3%8.7%
Call IV 25d45.8%42.4%50.5%47.5%42.4%
Put IV 25d49.5%45.9%53.3%51.0%45.9%
Bid-Ask Spread %17.6311.8723.2412.4617.78
Gamma HHI0.300.170.760.300.26
Net GEX539.9K314.2K745.7K511.7K733.9K
Net DEX-66.5M-92.9M-36.5M-76.8M-77.3M
Net VEX-126.7K-158.8K-75.6K-86.6K-151.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.062.240.320.06
Total Volume1,845.9526506,7376,7373,202
Total OI27,420.04821,70134,31228,04623,110

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$61.00$50.0048.4%13.9%54.7%71.2%50.4%3.5%-1.6%511.7K-76.8M-86.6K0.3212.465,0971,64016,09911,947
2007-11-02$60.51$50.0044.7%12.8%55.1%60.2%45.0%1.9%2.1%669.6K-72.7M-93.6K1.4015.9852673616,35511,571
2007-11-05$60.79$55.0045.4%13.9%55.0%62.3%49.5%3.9%-0.6%547.9K-73.1M-90.1K1.7111.8750085416,25211,939
2007-11-06$66.28$55.0043.5%12.8%61.7%56.4%45.6%3.2%1.1%505.7K-92.9M-75.6K1.2914.641,7042,20016,36312,375
2007-11-07$63.94$55.0042.2%13.1%63.8%52.5%47.9%4.7%0.7%473.8K-84.6M-94.4K0.2418.561,09426216,89813,039
2007-11-08$65.68$55.0045.0%13.6%63.6%61.1%48.2%3.5%0.1%440.6K-91.9M-97.8K0.3315.241,28342417,38413,149
2007-11-09$63.35$55.0045.7%14.1%65.3%63.1%49.5%3.2%1.2%455.9K-84.1M-116.0K0.5515.791,39676718,09413,271
2007-11-12$57.62$55.0051.4%14.6%74.8%80.4%51.8%2.8%0.3%523.5K-60.4M-121.3K1.4118.351,2941,82418,77713,365
2007-11-13$58.65$55.0051.2%13.9%74.0%79.8%50.2%2.2%1.1%514.1K-65.6M-129.6K1.0617.921,1471,21819,45113,853
2007-11-14$60.47$55.0048.8%13.9%74.2%72.6%47.8%3.5%-0.0%655.2K-76.2M-133.8K0.2921.621,03330420,04814,231
2007-11-15$57.90$55.0048.1%13.8%76.3%70.4%49.2%3.6%1.9%535.6K-63.0M-138.1K0.4815.1067932420,00214,292
2007-11-16$58.09$55.0047.0%13.5%71.9%67.2%48.3%3.1%1.9%414.4K-62.3M-136.5K1.3314.4268791119,90014,412
2007-11-19$56.62$55.0048.0%13.8%71.6%70.0%46.8%2.8%2.8%314.2K-36.5M-141.7K0.2820.4658416414,2277,474
2007-11-20$58.18$55.0045.1%12.9%68.2%61.4%46.3%3.9%2.4%381.9K-41.0M-145.5K0.8620.7279969014,4577,559
2007-11-21$60.56$55.0047.7%13.7%68.7%69.2%49.6%5.0%1.6%492.9K-49.0M-150.8K2.2420.7541893714,6707,697
2007-11-23$60.38$55.0046.7%13.4%67.7%66.3%46.7%5.4%2.3%526.9K-48.8M-148.4K0.7818.0237429314,7607,575
2007-11-26$60.30$55.0050.0%14.3%67.1%76.2%49.2%4.4%-0.1%546.6K-48.9M-146.1K0.3820.4581531214,8647,491
2007-11-27$61.21$55.0048.6%13.9%66.7%72.0%47.7%5.8%0.6%614.8K-51.0M-151.3K0.4722.9144220815,1087,673
2007-11-28$65.64$55.0046.1%13.2%64.4%64.4%47.6%4.8%1.4%734.0K-66.4M-158.8K0.5823.2460135115,2847,682
2007-11-29$68.00$60.0044.2%12.7%65.2%58.5%45.1%3.2%2.4%745.7K-74.6M-154.3K0.3314.0350416715,3367,787
2007-11-30$68.94$60.0043.9%12.6%65.0%57.6%45.5%3.5%2.1%733.9K-77.3M-151.3K0.0617.783,01019215,3587,752