AG Options History — February 2008

In February 2008, AG traded between $55.69 and $67.38. ATM implied volatility averaged 51.2%, placing in the 48.3% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded below realized volatility by 4.8% (HV 20d: 56.0%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.55.

Notable Days

  • 2008-02-07: Highest Volume — 3,543 contracts
  • 2008-02-07: Largest IV drop — 24.8% change
  • 2008-02-06: Highest IV Rank — 90.6%
  • 2008-02-01: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.82$55.69$67.38$62.15$64.86
Max Pain$57.25$55.00$60.00$60.00$60.00
ATM IV51.2%43.5%74.2%59.4%44.4%
Expected Move14.4%12.5%17.0%17.0%12.7%
HV 20d56.0%48.9%63.0%60.6%48.9%
HV 60d53.3%50.6%57.3%57.3%50.6%
IV Rank48.3%34.2%90.6%63.4%35.7%
IV Percentile79.5%60.7%99.2%94.8%65.9%
Term Structure2.0%-3.0%4.9%-3.0%2.2%
VWIV50.4%42.8%59.2%59.0%45.0%
Skew 25d5.5%2.5%8.9%5.9%5.8%
Skew 10d10.0%5.0%15.1%13.1%11.0%
Call IV 25d47.7%40.8%57.1%55.9%41.9%
Put IV 25d53.2%45.3%63.1%61.8%47.7%
Bid-Ask Spread %14.5810.8721.5215.8014.26
Gamma HHI0.210.120.530.170.21
Net GEX435.4K-24.4K1.5M515.3K228.1K
Net DEX-11.8M-31.0M3.1M-14.2M-7.1M
Net VEX-190.1K-222.3K-165.3K-190.9K-222.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.550.219.450.420.44
Total Volume1,248.852473,543353247
Total OI19,72813,30223,04519,95919,639

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-02-01$62.15$60.0059.4%17.0%60.6%63.4%59.0%5.9%-3.0%515.3K-14.2M-190.9K0.4215.8024910411,5228,437
2008-02-04$60.55$55.0065.1%16.8%60.2%73.8%58.4%6.4%-2.3%388.5K-9.3M-181.5K0.4510.8745620611,5838,487
2008-02-05$57.56$55.0071.7%16.8%62.2%86.0%59.2%6.1%-1.4%190.3K-1.7M-173.1K1.1611.1961671711,7998,518
2008-02-06$57.96$55.0074.2%16.6%58.5%90.6%59.2%7.1%-1.9%174.1K-3.1M-176.0K0.6012.281,56993611,8818,700
2008-02-07$55.69$55.0055.9%16.0%59.8%56.8%55.0%8.5%0.8%7.9K3.1M-165.3K1.4110.921,4732,07012,8579,185
2008-02-08$56.73$55.0049.7%15.7%58.0%45.5%54.8%8.9%2.0%-24.4K682.3K-169.4K0.9513.0353150412,9749,506
2008-02-11$59.26$55.0052.8%15.1%60.6%51.3%53.0%8.3%3.5%236.9K-6.6M-169.6K0.9015.8528725712,6919,313
2008-02-12$63.13$55.0047.7%14.7%60.4%41.8%53.9%6.6%3.3%663.5K-19.6M-178.4K0.6113.421,24576512,7229,330
2008-02-13$66.19$55.0044.1%14.4%63.0%35.3%50.0%4.8%4.3%1.1M-31.0M-184.1K0.6813.1661542013,0859,719
2008-02-14$64.07$55.0050.2%14.4%62.4%46.5%51.5%2.5%3.4%882.4K-22.5M-179.3K1.8912.8636869713,1309,739
2008-02-15$64.49$55.0048.0%13.8%56.5%42.5%48.4%3.6%4.9%1.5M-20.7M-179.4K0.4217.7762726612,99410,051
2008-02-19$63.75$55.0047.6%13.7%54.0%41.8%47.3%3.5%2.4%217.1K-11.0M-172.0K0.3119.731,9706047,4905,812
2008-02-20$64.94$60.0047.0%13.5%53.8%40.5%48.1%4.3%2.6%477.6K-15.8M-187.5K5.6616.302111,1959,1736,187
2008-02-21$65.46$60.0045.5%13.0%51.6%37.8%47.1%4.0%3.3%369.5K-13.6M-200.9K3.5115.543921,3779,1397,195
2008-02-22$64.66$60.0044.9%12.9%49.8%36.6%43.2%4.8%3.7%245.3K-9.0M-213.4K0.2121.52430929,4068,434
2008-02-25$67.38$60.0045.3%13.0%50.6%37.4%46.0%4.4%2.7%415.1K-16.3M-216.7K0.8514.855444639,6178,422
2008-02-26$66.70$60.0043.5%12.5%49.7%34.2%43.5%3.7%3.9%420.1K-15.7M-214.2K0.6314.214192629,8428,631
2008-02-27$65.80$60.0043.5%12.5%49.8%34.2%42.9%4.0%3.2%376.7K-12.7M-216.4K0.3515.863751339,9838,665
2008-02-28$65.04$60.0043.6%12.5%50.1%34.3%42.8%5.9%2.4%327.5K-10.0M-212.6K9.4512.171231,16210,0388,664
2008-02-29$64.86$60.0044.4%12.7%48.9%35.7%45.0%5.8%2.2%228.1K-7.1M-222.3K0.4414.261727510,0229,617