AG Options History — January 2008

In January 2008, AG traded between $55.04 and $70.50. ATM implied volatility averaged 62.6%, placing in the 88.1% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded above realized volatility by 9.4% (HV 20d: 53.2%). Max pain ranged from $40.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2008-01-17: Highest Volume — 6,652 contracts
  • 2008-01-23: Largest IV spike — 12.3% change
  • 2008-01-11: Highest IV Rank — 100.0%
  • 2008-01-23: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.30$55.04$70.50$66.81$60.22
Max Pain$58.57$40.00$65.00$40.00$60.00
ATM IV62.6%46.2%79.3%46.2%61.7%
Expected Move18.1%13.2%22.7%13.2%17.7%
HV 20d53.2%38.7%62.9%38.7%62.9%
HV 60d57.3%54.1%59.3%54.1%56.9%
IV Rank88.1%64.5%100.0%64.5%67.7%
IV Percentile97.4%86.5%100.0%86.5%96.0%
Term Structure-6.4%-12.3%5.0%5.0%-4.4%
VWIV63.0%46.2%77.8%46.2%61.3%
Skew 25d7.0%1.3%11.8%1.3%7.5%
Skew 10d13.4%1.8%22.8%1.8%17.4%
Call IV 25d59.9%45.3%71.8%46.2%58.5%
Put IV 25d66.9%47.5%83.5%47.5%66.1%
Bid-Ask Spread %16.2212.4824.5414.0614.40
Gamma HHI0.190.140.320.250.15
Net GEX408.7K179.0K771.6K595.0K331.6K
Net DEX-28.1M-59.5M788.7K-48.7M-7.6M
Net VEX-159.2K-182.8K-140.3K-140.3K-182.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.102.040.820.69
Total Volume1,486.7621896,6521891,371
Total OI20,846.33315,29926,73520,54219,620

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-01-02$66.81$40.0046.2%13.2%38.7%64.5%46.2%1.3%5.0%595.0K-48.7M-140.3K0.8214.061048513,1587,384
2008-01-03$70.50$40.0046.3%13.3%43.1%64.9%47.7%2.8%4.7%754.1K-59.5M-142.8K1.0812.8753657813,1437,450
2008-01-04$68.14$60.0047.9%15.3%44.8%69.9%53.3%1.5%-1.7%634.9K-52.6M-152.8K0.4218.3355323013,2897,757
2008-01-07$67.13$60.0052.9%15.9%43.5%85.0%55.9%3.4%-2.6%574.8K-48.8M-156.0K1.5516.4029646013,4758,033
2008-01-08$62.90$60.0053.7%16.2%49.0%87.4%57.7%2.4%-3.4%320.7K-36.4M-149.3K2.0416.2119239213,4988,188
2008-01-09$62.10$60.0057.5%17.0%47.6%98.8%58.6%5.4%-5.7%253.4K-33.3M-145.9K0.7016.2558240913,5058,303
2008-01-10$64.71$60.0057.4%16.5%47.5%98.6%56.0%7.6%-4.6%391.9K-41.1M-155.0K0.1012.701,38313513,6948,456
2008-01-11$63.80$60.0061.0%17.5%47.7%100.0%60.1%5.5%-7.0%458.7K-41.4M-160.1K0.2916.3752915114,5728,498
2008-01-14$68.05$60.0058.6%16.8%53.4%93.5%60.9%8.5%-4.9%771.6K-54.7M-162.3K0.5614.9838221414,7188,514
2008-01-15$67.62$60.0059.7%17.1%52.9%96.5%60.8%8.5%-5.6%754.3K-53.5M-162.2K0.5214.8395449314,8968,597
2008-01-16$64.89$65.0064.4%18.5%54.5%100.0%62.8%9.2%-8.2%543.4K-44.2M-165.9K1.0019.7976176015,5559,026
2008-01-17$60.41$65.0070.8%20.3%59.3%100.0%68.8%8.4%-10.8%239.2K-28.7M-156.6K0.8317.583,6373,01515,5709,331
2008-01-18$57.81$60.0069.9%20.1%60.0%98.1%69.5%9.2%-11.8%181.3K-16.7M-150.8K1.3515.701,0611,43716,48910,246
2008-01-22$59.09$60.0070.7%20.3%56.2%99.7%69.8%9.7%-10.4%259.9K-3.7M-155.6K0.4618.221,2455749,0686,231
2008-01-23$56.98$60.0079.3%22.7%56.8%100.0%77.8%11.8%-12.3%214.3K-1.0M-153.9K0.8612.481,7981,5499,5126,277
2008-01-24$55.04$60.0074.5%21.4%57.3%91.1%75.3%10.0%-10.1%179.0K788.7K-155.4K0.8024.5493074710,3496,823
2008-01-25$56.72$60.0073.2%21.0%58.5%88.6%70.5%8.8%-10.0%241.1K-2.9M-167.4K0.5217.0068635510,7547,269
2008-01-28$58.98$60.0073.6%21.1%61.1%89.4%73.8%9.5%-11.4%354.2K-7.6M-179.9K0.4513.3052723811,1637,514
2008-01-29$58.30$60.0068.5%19.6%61.1%80.1%70.0%9.3%-9.6%282.2K-5.1M-175.2K1.8416.2514827211,1167,716
2008-01-30$58.12$60.0066.7%19.1%61.1%76.7%67.0%6.3%-10.5%247.8K-4.3M-172.8K1.0718.2470375011,1107,906
2008-01-31$60.22$60.0061.7%17.7%62.9%67.7%61.3%7.5%-4.4%331.6K-7.6M-182.8K0.6914.4081255911,3468,274