AG Options History — June 2008

In June 2008, AG traded between $50.70 and $60.06. ATM implied volatility averaged 46.7%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 0.7% (HV 20d: 47.3%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2008-06-16: Highest Volume — 5,626 contracts
  • 2008-06-04: Largest IV spike — 8.9% change
  • 2008-06-24: Highest IV Rank — 42.3%
  • 2008-06-24: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.19$50.70$60.06$60.06$52.41
Max Pain$57.14$55.00$60.00$60.00$55.00
ATM IV46.7%38.4%50.0%41.1%49.8%
Expected Move13.4%11.0%14.3%11.8%14.3%
HV 20d47.3%36.4%57.1%46.7%57.1%
HV 60d57.8%53.7%60.7%60.7%57.2%
IV Rank36.6%21.9%42.3%27.1%42.0%
IV Percentile58.1%20.2%74.2%30.2%73.0%
Term Structure4.6%0.2%8.0%2.0%7.5%
VWIV46.6%39.3%50.4%40.7%49.5%
Skew 25d2.6%0.8%4.7%2.5%1.0%
Skew 10d5.0%0.6%11.6%6.0%2.2%
Call IV 25d45.5%36.6%49.9%40.0%49.9%
Put IV 25d48.2%40.7%51.6%42.5%50.9%
Bid-Ask Spread %14.8010.0227.5523.3017.91
Gamma HHI0.220.120.490.160.14
Net GEX74.7K-428.4K1.3M228.9K172.8K
Net DEX-2.2M-21.1M7.2M-11.9M735.7K
Net VEX-263.6K-287.6K-222.1K-279.2K-279.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.231.851.280.75
Total Volume1,396.6672895,626289856
Total OI23,037.57119,31726,95621,03824,784

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-06-02$60.06$60.0041.1%11.8%46.7%27.1%40.7%2.5%2.0%228.9K-11.9M-279.2K1.2823.3012716211,6619,377
2008-06-03$59.18$60.0038.4%11.0%40.7%21.9%39.3%4.1%4.8%193.0K-9.3M-276.0K1.8517.7016630711,6959,428
2008-06-04$57.85$60.0041.8%12.0%36.9%28.4%42.2%1.7%0.8%34.9K-5.2M-269.4K0.3513.4055719611,7099,528
2008-06-05$57.12$60.0045.1%12.9%37.0%34.8%45.2%3.3%0.2%12.2K-2.9M-263.7K1.3516.3953672611,7969,504
2008-06-06$55.14$60.0045.2%13.2%37.7%34.8%44.7%2.5%3.9%-168.4K1.8M-255.1K0.6612.4454035911,9269,659
2008-06-09$56.13$60.0046.7%12.9%38.4%37.7%45.0%2.9%4.3%-101.6K-668.8K-259.4K0.5410.0244323912,0689,691
2008-06-10$54.52$60.0044.9%13.0%39.4%34.3%46.3%2.3%5.3%-236.3K2.6M-247.9K0.8314.3334128212,2039,611
2008-06-11$52.44$60.0045.8%13.7%39.4%36.0%46.4%2.6%3.5%-424.5K7.1M-236.6K0.2419.501,19228712,3529,669
2008-06-12$52.42$60.0049.4%14.2%37.0%41.2%47.7%3.2%4.4%-428.4K7.2M-239.1K0.3413.331,22041712,9129,750
2008-06-13$53.50$55.0046.2%13.2%36.4%34.8%46.5%3.4%4.7%-275.6K3.6M-249.0K0.6210.5329418213,6199,782
2008-06-16$59.93$55.0046.6%13.4%55.5%35.5%46.8%2.6%4.2%597.1K-18.1M-222.1K0.2313.794,5881,03811,6067,711
2008-06-17$59.62$55.0047.0%13.5%52.5%36.5%47.4%2.6%4.9%1.3M-21.1M-287.6K0.8215.1895878815,27410,058
2008-06-18$57.10$55.0049.2%14.1%54.5%40.7%48.6%4.7%2.5%596.5K-7.7M-273.2K0.5713.111,24971415,46810,443
2008-06-19$56.70$55.0047.4%13.6%54.3%37.2%46.0%4.0%4.7%169.8K-6.7M-278.1K0.4913.8766432415,83010,733
2008-06-20$54.87$55.0048.2%13.8%55.3%38.7%48.3%3.7%4.4%-412.1K130.6K-269.2K0.8327.551,8231,51616,18410,772
2008-06-23$54.21$55.0049.9%14.3%55.4%42.0%48.8%2.4%5.6%73.2K-2.2M-280.4K0.5612.691,17165013,0608,852
2008-06-24$51.75$55.0050.0%14.3%56.1%42.3%50.4%1.1%7.2%56.6K3.0M-268.3K0.4811.2390643813,8619,351
2008-06-25$51.35$55.0049.1%14.1%54.2%40.5%49.2%0.8%6.5%30.1K4.9M-266.5K0.2412.0692822014,0609,632
2008-06-26$52.06$55.0049.1%14.1%54.7%40.6%49.7%0.8%8.0%94.2K2.6M-273.0K0.2912.0291926614,3849,701
2008-06-27$50.70$55.0049.7%14.2%55.1%41.6%50.1%2.7%7.2%43.0K6.3M-262.7K1.0010.5337137014,3849,701
2008-06-30$52.41$55.0049.8%14.3%57.1%42.0%49.5%1.0%7.5%172.8K735.7K-279.4K0.7517.9149036614,9799,805