AG Options History — July 2008

In July 2008, AG traded between $46.80 and $63.06. ATM implied volatility averaged 60.0%, placing in the 59.8% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 5.1% (HV 20d: 54.9%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.95.

Notable Days

  • 2008-07-29: Highest Volume — 6,707 contracts
  • 2008-07-29: Largest IV drop — 35.2% change
  • 2008-07-28: Highest IV Rank — 92.8%
  • 2008-07-28: Largest Expected Move — 21.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.93$46.80$63.06$51.82$59.85
Max Pain$56.82$55.00$60.00$55.00$55.00
ATM IV60.0%47.1%76.0%50.8%48.4%
Expected Move17.4%13.5%21.8%14.6%13.9%
HV 20d54.9%40.0%69.8%57.0%69.8%
HV 60d57.1%52.5%59.4%57.1%56.6%
IV Rank59.8%30.9%92.8%43.9%33.8%
IV Percentile86.9%50.0%99.6%77.4%57.1%
Term Structure-5.0%-15.5%8.6%8.0%1.5%
VWIV61.1%49.0%76.6%50.5%49.0%
Skew 25d4.3%1.5%9.1%3.6%4.4%
Skew 10d8.1%1.1%15.6%5.8%9.7%
Call IV 25d59.6%46.5%75.8%49.5%46.9%
Put IV 25d63.9%51.3%78.4%53.1%51.3%
Bid-Ask Spread %14.5710.2019.1211.6515.77
Gamma HHI0.210.130.470.150.43
Net GEX197.0K-67.5K1.1M132.6K1.1M
Net DEX-1.5M-48.9M13.7M3.3M-35.2M
Net VEX-271.7K-342.3K-227.7K-272.1K-336.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.233.231.120.56
Total Volume1,451.4552316,7078332,824
Total OI27,589.90924,84232,33124,84232,260

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-07-01$51.82$55.0050.8%14.6%57.0%43.9%50.5%3.6%8.0%132.6K3.3M-272.1K1.1211.6539344015,0219,821
2008-07-02$49.88$55.0052.0%14.9%57.9%46.2%50.9%3.5%7.8%61.3K7.1M-263.2K1.2614.4132040215,12710,130
2008-07-03$49.51$55.0051.5%14.8%57.8%45.3%52.4%2.6%8.6%46.6K8.8M-252.3K1.0212.9815415715,16310,022
2008-07-07$50.56$60.0054.7%17.7%57.6%51.4%60.4%3.4%-6.9%93.5K5.9M-260.0K0.5510.5053529615,2009,991
2008-07-08$47.76$60.0056.5%18.0%59.9%53.8%62.4%2.4%-7.9%-35.5K12.6M-234.0K0.7715.7592671615,08710,089
2008-07-09$46.80$60.0058.7%18.2%59.6%58.2%62.0%2.2%-7.5%-67.5K13.7M-227.7K0.5119.1223111715,24710,269
2008-07-10$47.88$60.0063.7%18.3%59.3%68.3%64.2%1.5%-8.6%-59.8K11.9M-236.7K0.3216.281,23639715,36110,283
2008-07-11$48.71$60.0063.9%18.3%59.8%66.8%61.6%1.9%-8.2%25.6K9.3M-245.2K0.4814.8728813716,25510,261
2008-07-14$49.23$60.0065.9%18.9%59.4%71.1%65.7%3.2%-10.1%29.6K8.7M-244.7K3.2315.6713242616,29210,240
2008-07-15$48.30$60.0067.2%19.3%40.0%74.0%67.7%1.6%-10.7%-11.3K10.2M-240.2K0.8416.0349041216,37410,313
2008-07-16$49.85$60.0067.3%19.3%42.7%74.2%70.0%8.7%-10.0%60.7K7.8M-250.5K1.5316.761,3182,01116,59210,437
2008-07-17$51.53$55.0067.3%19.3%43.2%74.1%70.3%9.1%-10.5%155.6K2.7M-272.4K2.9516.715691,67917,56011,877
2008-07-18$50.80$55.0065.2%18.7%43.3%69.7%64.3%6.7%-10.3%-53.6K5.1M-275.4K1.8318.7821839917,83813,474
2008-07-21$54.87$55.0061.6%17.7%51.0%61.9%61.3%5.2%-6.7%200.4K-8.5M-288.7K0.4514.1151422915,07111,828
2008-07-22$53.09$55.0060.0%17.2%52.2%58.7%61.0%7.6%-6.2%121.5K-3.5M-282.4K0.4111.892128615,19311,960
2008-07-23$53.47$55.0062.7%18.0%49.4%64.4%61.9%5.4%-7.5%158.2K-6.1M-288.4K0.3511.951,06537515,35711,978
2008-07-24$51.50$55.0067.0%19.2%51.3%73.6%67.6%3.0%-9.6%63.6K-129.0K-279.8K0.2316.161,12925915,70712,155
2008-07-25$52.78$55.0063.9%18.3%51.8%66.9%64.8%5.2%-9.1%211.0K-3.9M-285.4K1.1410.2010812316,61212,307
2008-07-28$52.30$55.0076.0%21.8%50.9%92.8%76.6%2.6%-15.5%169.6K-3.5M-284.1K0.5612.231,7781,00316,64612,408
2008-07-29$58.88$55.0049.2%14.1%65.0%35.4%49.9%4.7%4.5%971.4K-30.4M-314.5K0.2914.305,2091,49817,95312,888
2008-07-30$63.06$55.0047.1%13.5%68.3%30.9%49.8%5.6%4.5%987.6K-48.9M-342.3K0.4314.5378233918,98913,342
2008-07-31$59.85$55.0048.4%13.9%69.8%33.8%49.0%4.4%1.5%1.1M-35.2M-336.6K0.5615.771,8051,01918,87713,383