AG Options History — May 2008

In May 2008, AG traded between $55.53 and $61.42. ATM implied volatility averaged 45.5%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 24.2% (HV 20d: 69.7%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.31.

Notable Days

  • 2008-05-19: Highest Volume — 4,076 contracts
  • 2008-05-07: Largest IV spike — 10.9% change
  • 2008-05-07: Highest IV Rank — 52.0%
  • 2008-05-07: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.55$55.53$61.42$55.53$60.43
Max Pain$60.48$60.00$65.00$65.00$60.00
ATM IV45.5%39.9%54.1%47.9%39.9%
Expected Move13.0%11.4%14.1%13.7%11.4%
HV 20d69.7%51.6%74.0%63.6%51.6%
HV 60d60.9%59.5%62.6%59.5%60.8%
IV Rank35.5%24.8%52.0%40.1%24.8%
IV Percentile51.0%25.8%88.1%68.7%25.8%
Term Structure1.9%0.6%4.5%1.6%2.9%
VWIV45.8%40.6%50.0%49.1%40.6%
Skew 25d2.8%-0.6%5.8%1.6%2.6%
Skew 10d5.1%-7.7%14.7%-7.7%3.0%
Call IV 25d44.4%38.8%48.4%48.2%38.8%
Put IV 25d47.2%41.4%51.6%49.8%41.4%
Bid-Ask Spread %16.227.3626.657.3619.47
Gamma HHI0.200.140.460.210.16
Net GEX-235.7K-793.6K275.3K-527.2K275.3K
Net DEX6.2M-13.8M26.0M26.0M-13.4M
Net VEX-217.9K-282.0K-154.7K-154.7K-282.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.310.064.431.203.77
Total Volume1,487.5243234,0762,762444
Total OI22,817.52416,41826,90122,87820,804

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-05-01$55.53$65.0047.9%13.7%63.6%40.1%49.1%1.6%1.6%-527.2K26.0M-154.7K1.207.361,2541,50812,03910,839
2008-05-02$59.18$65.0045.2%12.9%68.2%34.8%45.7%1.3%1.9%-538.1K16.9M-176.0K0.3212.6884826912,55611,062
2008-05-05$55.57$60.0048.8%14.0%70.7%41.8%48.8%3.0%1.3%-487.7K23.9M-156.6K0.3421.501,05636212,66511,094
2008-05-06$58.67$60.0048.8%13.9%73.8%41.8%48.2%3.9%1.3%-438.0K15.3M-178.5K0.4818.551,85189013,36911,149
2008-05-07$58.05$60.0054.1%14.1%73.2%52.0%49.8%2.9%1.7%-414.8K16.3M-184.7K4.4314.655412,39513,94011,600
2008-05-08$59.45$60.0048.5%13.9%74.0%41.2%49.4%5.1%1.0%-297.0K11.5M-190.4K2.3413.774901,14714,10311,310
2008-05-09$59.15$60.0045.9%14.0%73.6%36.3%49.6%4.5%0.6%-500.6K15.4M-192.5K0.6419.4248030514,14512,001
2008-05-12$58.36$60.0049.1%14.0%72.9%42.3%50.0%3.6%0.9%-482.3K17.2M-184.6K2.6318.008923414,38612,000
2008-05-13$60.05$60.0048.6%14.0%73.7%41.3%49.2%5.8%1.3%-531.0K12.3M-185.7K0.1111.501,88520214,37012,086
2008-05-14$57.51$60.0045.1%13.5%73.1%34.8%46.8%1.3%1.6%-272.3K21.0M-174.5K0.5419.0994851214,84812,053
2008-05-15$59.09$60.0043.9%12.6%73.9%32.5%44.1%3.9%4.1%-254.2K12.1M-181.3K1.7218.7634559414,94211,567
2008-05-16$59.69$60.0043.0%12.3%70.8%30.7%44.3%4.2%4.5%-793.6K12.8M-179.0K0.0623.362,93418414,84911,441
2008-05-19$56.86$60.0043.7%12.5%71.9%32.1%42.7%-0.6%1.5%55.4K-4.3M-244.6K2.1426.651,2982,7789,7186,700
2008-05-20$57.99$60.0043.5%12.5%72.2%31.8%43.7%2.3%0.9%-61.6K-3.5M-265.5K0.5111.7256428810,1668,739
2008-05-21$57.10$60.0044.5%12.8%72.3%33.6%44.1%1.1%2.8%-76.2K-3.5M-266.9K0.8716.6850543810,4358,779
2008-05-22$57.59$60.0042.9%12.3%72.2%30.6%43.7%2.5%1.7%-62.2K-3.9M-271.6K3.2812.2714948910,6448,983
2008-05-23$57.85$60.0042.5%12.2%71.5%29.8%43.6%3.1%3.1%-24.9K-4.5M-269.3K0.4912.5343221210,6858,812
2008-05-27$59.51$60.0043.6%12.5%72.2%31.8%43.8%1.7%1.4%93.1K-9.7M-278.4K0.8313.0846338410,9548,960
2008-05-28$61.42$60.0043.4%12.4%59.6%31.5%42.7%3.0%1.5%193.0K-13.8M-281.5K0.2414.6955713211,0449,016
2008-05-29$60.55$60.0042.6%12.2%59.6%29.9%42.9%2.4%2.1%196.3K-12.9M-278.6K0.6014.7849029211,3208,995
2008-05-30$60.43$60.0039.9%11.4%51.6%24.8%40.6%2.6%2.9%275.3K-13.4M-282.0K3.7719.479335111,6729,132