AG Options History — December 2007

In December 2007, AG traded between $62.75 and $70.78. ATM implied volatility averaged 43.8%, placing in the 57.3% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 7.0% (HV 20d: 50.8%). Max pain ranged from $40.00 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.47.

Notable Days

  • 2007-12-20: Highest Volume — 4,297 contracts
  • 2007-12-06: Largest IV drop — 9.6% change
  • 2007-12-03: Highest IV Rank — 66.1%
  • 2007-12-03: Largest Expected Move — 13.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.52$62.75$70.78$66.22$67.98
Max Pain$44.00$40.00$60.00$60.00$40.00
ATM IV43.8%41.0%46.7%46.7%44.5%
Expected Move12.7%11.8%13.4%13.4%12.8%
HV 20d50.8%40.9%66.9%66.9%40.9%
HV 60d53.3%51.9%54.8%52.1%53.9%
IV Rank57.3%48.9%66.1%66.1%59.4%
IV Percentile77.7%71.9%86.6%86.6%79.2%
Term Structure4.1%1.7%5.5%1.7%5.2%
VWIV44.5%41.8%46.8%46.8%45.6%
Skew 25d3.1%1.5%5.5%3.2%1.5%
Skew 10d6.7%2.0%14.3%8.3%2.0%
Call IV 25d43.1%39.8%45.6%45.6%44.4%
Put IV 25d46.2%43.3%49.2%48.8%45.9%
Bid-Ask Spread %14.607.9124.6124.6112.11
Gamma HHI0.280.240.380.250.27
Net GEX1.0M645.5K1.5M932.7K652.5K
Net DEX-69.0M-88.4M-52.1M-70.9M-52.1M
Net VEX-152.7K-165.5K-144.2K-160.6K-144.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.061.410.490.26
Total Volume890.351254,2971,330271
Total OI24,399.3520,11027,24724,28820,508

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-12-03$66.22$60.0046.7%13.4%66.9%66.1%46.8%3.2%1.7%932.7K-70.9M-160.6K0.4924.6189343716,5207,768
2007-12-04$66.14$60.0045.4%13.0%66.9%62.2%46.1%4.5%2.3%972.5K-69.9M-165.5K0.6418.0523815216,8598,053
2007-12-05$67.10$60.0045.4%13.0%59.7%62.1%44.8%5.5%2.0%1.0M-74.4M-161.3K0.2412.603518616,9668,073
2007-12-06$69.35$60.0041.0%11.8%59.1%48.9%41.8%3.5%2.0%1.1M-83.4M-156.9K0.2421.4867416516,9918,076
2007-12-07$68.93$40.0041.0%12.2%58.5%48.9%43.6%2.8%5.4%1.1M-82.0M-156.8K0.3312.262046817,0918,164
2007-12-10$70.78$40.0042.7%12.4%57.3%54.1%43.4%3.2%4.7%1.1M-88.4M-150.4K0.167.9189514117,1048,169
2007-12-11$67.31$40.0041.7%12.8%48.4%51.1%44.0%1.9%2.6%1.2M-76.5M-152.5K0.5517.9183645817,4328,205
2007-12-12$67.48$40.0043.0%13.0%48.3%54.8%44.5%3.9%2.6%1.2M-76.5M-156.0K0.3714.1532312117,6428,424
2007-12-13$67.31$40.0043.8%12.6%47.6%57.4%43.8%3.0%5.0%1.3M-75.4M-153.9K0.6513.0829218917,6268,504
2007-12-14$66.05$40.0043.7%12.5%45.0%57.1%44.0%3.0%4.2%1.2M-69.7M-151.6K1.4114.2515121317,5368,642
2007-12-17$64.69$40.0045.6%13.1%46.0%62.7%45.5%2.8%4.1%1.3M-64.2M-146.4K0.3813.951,02738817,4798,584
2007-12-18$62.75$40.0045.6%13.1%46.5%62.7%45.8%4.2%4.8%1.0M-54.7M-148.3K0.7715.0697674918,0328,698
2007-12-19$64.50$40.0044.8%12.8%46.5%60.2%44.5%3.7%5.5%1.5M-63.8M-152.6K0.1811.2162811218,3838,864
2007-12-20$68.38$40.0043.9%12.6%48.7%57.6%45.4%3.0%5.2%899.7K-83.4M-151.4K0.0612.154,04924818,1628,763
2007-12-21$68.80$40.0044.0%12.6%48.6%58.0%45.1%2.8%5.1%918.0K-71.9M-152.1K1.0711.2138341016,4138,937
2007-12-24$68.97$40.0043.1%12.4%48.5%55.2%43.7%1.5%5.3%645.5K-54.9M-147.9K0.6216.4317310812,9127,198
2007-12-26$69.96$40.0043.2%12.4%48.5%55.4%43.9%3.7%5.2%692.1K-57.4M-149.2K0.2015.5164112612,9997,273
2007-12-27$69.06$40.0043.7%12.5%42.8%57.0%44.4%2.4%4.6%688.6K-55.5M-148.8K0.2615.6040310313,1127,314
2007-12-28$68.71$40.0043.0%12.3%41.0%54.9%43.6%1.9%5.0%688.1K-54.4M-148.0K0.4712.41854013,1837,328
2007-12-31$67.98$40.0044.5%12.8%40.9%59.4%45.6%1.5%5.2%652.5K-52.1M-144.2K0.2612.112155613,1767,332