AG Options History — April 2008

In April 2008, AG traded between $60.13 and $70.51. ATM implied volatility averaged 50.7%, placing in the 45.5% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 4.1% (HV 20d: 54.8%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.82.

Notable Days

  • 2008-04-29: Highest Volume — 4,482 contracts
  • 2008-04-29: Largest IV drop — 14.6% change
  • 2008-04-24: Highest IV Rank — 54.5%
  • 2008-04-24: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.50$60.13$70.51$62.09$60.13
Max Pain$65.00$65.00$65.00$65.00$65.00
ATM IV50.7%45.1%55.5%51.1%45.1%
Expected Move14.8%12.9%15.9%14.7%12.9%
HV 20d54.8%38.1%68.9%68.9%58.2%
HV 60d55.6%53.0%59.3%59.3%58.1%
IV Rank45.5%34.8%54.5%46.2%34.8%
IV Percentile79.5%53.2%90.1%84.5%53.2%
Term Structure-1.2%-5.4%5.7%4.4%3.6%
VWIV51.8%44.8%56.4%49.6%44.8%
Skew 25d5.2%1.2%8.6%8.5%1.2%
Skew 10d10.8%-5.3%24.7%22.9%-5.3%
Call IV 25d49.7%44.6%55.0%47.2%44.6%
Put IV 25d54.9%45.8%58.4%55.7%45.8%
Bid-Ask Spread %24.929.8744.0441.9315.86
Gamma HHI0.220.170.710.170.20
Net GEX461.8K-446.8K4.5M143.7K-446.8K
Net DEX-9.3M-28.0M12.7M-438.6K12.7M
Net VEX-195.5K-212.7K-179.1K-187.9K-179.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.820.112.490.110.38
Total Volume1,1381614,4823181,317
Total OI19,657.54518,00222,46918,00222,469

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-04-01$62.09$65.0051.1%14.7%68.9%46.2%49.6%8.5%4.4%143.7K-438.6K-187.9K0.1141.93287319,9148,088
2008-04-02$62.68$65.0046.4%13.3%68.2%37.2%50.4%8.6%5.7%190.5K-2.9M-191.1K0.3144.041233810,0478,070
2008-04-03$63.98$65.0047.8%13.7%67.9%39.9%49.0%6.7%3.5%258.5K-6.0M-193.9K1.0228.3572274010,1198,055
2008-04-04$64.59$65.0049.1%14.9%67.6%42.4%54.0%6.2%-1.9%340.8K-8.3M-206.4K1.1443.2620323110,4678,729
2008-04-07$65.77$65.0047.7%14.8%66.3%39.6%49.6%6.9%-1.6%447.2K-11.8M-196.6K0.6743.7045830810,4748,123
2008-04-08$66.67$65.0046.9%14.9%62.6%38.1%50.6%6.7%-1.3%486.0K-14.3M-198.4K0.5734.9438121710,4238,152
2008-04-09$64.64$65.0045.7%14.9%62.9%35.8%53.7%6.8%-0.8%334.3K-8.3M-194.5K2.3435.0223053910,5498,278
2008-04-10$64.23$65.0050.8%14.6%62.5%45.6%50.9%7.2%-0.1%287.9K-6.5M-191.3K2.0328.3712826010,6408,383
2008-04-11$62.74$65.0052.0%14.9%63.2%47.9%51.8%7.5%-1.3%132.5K-852.0K-184.9K0.7728.2222617310,6618,481
2008-04-14$64.36$65.0053.4%15.3%63.6%50.6%54.1%6.9%-2.3%258.7K-6.1M-187.9K0.3329.4332310710,7408,494
2008-04-15$65.00$65.0053.8%15.4%61.6%51.3%55.1%8.2%-3.4%363.0K-8.4M-189.0K1.0922.5035939310,8488,505
2008-04-16$67.64$65.0051.0%14.6%56.4%46.0%48.9%7.2%-1.9%667.8K-19.1M-194.7K0.1117.495506210,9738,739
2008-04-17$66.19$65.0053.5%15.3%43.3%50.7%52.7%5.1%-2.7%429.3K-14.5M-190.1K0.3518.481,00335011,0958,752
2008-04-18$69.84$65.0051.5%14.8%42.6%46.9%51.7%2.1%-2.7%4.5M-28.0M-195.6K1.2914.901,5492,00411,4029,057
2008-04-21$70.51$65.0052.7%15.1%39.6%49.3%52.5%3.4%-3.7%434.0K-21.0M-204.0K0.4314.605172239,9049,227
2008-04-22$68.28$65.0053.0%15.2%38.5%49.8%52.8%1.4%-3.6%301.3K-15.0M-201.3K0.1611.741,0761689,8949,227
2008-04-23$67.98$65.0053.8%15.4%38.1%51.4%53.9%2.0%-4.9%406.0K-15.7M-209.5K0.4412.2337116310,8179,364
2008-04-24$66.20$65.0055.5%15.9%38.6%54.5%56.4%2.5%-4.6%224.4K-9.1M-202.1K2.4919.314751,18110,8029,514
2008-04-25$67.67$65.0052.6%15.1%38.8%48.9%54.0%4.1%-4.1%345.9K-13.4M-212.7K0.8712.4327824311,06310,229
2008-04-28$68.78$65.0055.4%15.9%38.7%54.3%55.7%1.7%-5.4%475.4K-18.9M-209.0K0.589.871,60794011,21210,339
2008-04-29$60.96$65.0047.3%13.6%58.1%38.9%47.4%3.3%2.7%-410.3K11.1M-179.1K0.5621.532,8811,60111,62110,526
2008-04-30$60.13$65.0045.1%12.9%58.2%34.8%44.8%1.2%3.6%-446.8K12.7M-179.9K0.3815.8695736011,80010,669