AG Options History — August 2008

In August 2008, AG traded between $54.62 and $61.63. ATM implied volatility averaged 48.8%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded below realized volatility by 19.4% (HV 20d: 68.3%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 1.05.

Notable Days

  • 2008-08-18: Highest Volume — 3,737 contracts
  • 2008-08-04: Largest IV spike — 12.7% change
  • 2008-08-04: Highest IV Rank — 47.0%
  • 2008-08-04: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.09$54.62$61.63$58.82$61.63
Max Pain$59.05$55.00$60.00$55.00$60.00
ATM IV48.8%43.6%54.6%48.4%43.6%
Expected Move14.0%12.5%15.3%13.9%12.5%
HV 20d68.3%44.7%76.2%70.2%44.7%
HV 60d58.8%56.7%59.6%56.7%58.4%
IV Rank34.6%23.4%47.0%33.8%23.4%
IV Percentile55.9%21.8%82.5%57.1%21.8%
Term Structure2.0%-0.7%6.2%2.3%1.4%
VWIV48.3%41.6%52.6%50.0%42.6%
Skew 25d6.3%4.1%8.9%4.2%8.1%
Skew 10d12.1%8.2%17.0%10.3%14.6%
Call IV 25d45.0%38.0%51.1%47.0%38.2%
Put IV 25d51.3%46.3%55.3%51.2%46.3%
Bid-Ask Spread %17.1510.2126.3917.4114.76
Gamma HHI0.260.180.820.270.18
Net GEX891.4K273.3K6.6M769.9K386.6K
Net DEX-22.8M-45.0M-9.8M-25.8M-24.3M
Net VEX-328.8K-349.3K-304.4K-338.6K-349.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.050.234.370.401.13
Total Volume973.5711343,737718518
Total OI29,905.42922,12734,71632,79327,611

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-08-01$58.82$55.0048.4%13.9%70.2%33.8%50.0%4.2%2.3%769.9K-25.8M-338.6K0.4017.4151420418,81613,977
2008-08-04$55.09$55.0054.6%15.3%74.7%47.0%52.4%4.3%1.3%460.2K-10.7M-311.5K1.8619.6314927718,91414,051
2008-08-05$54.62$55.0051.5%15.0%71.4%40.4%52.0%4.1%1.9%417.8K-9.8M-304.4K0.3322.9457218918,83013,750
2008-08-06$58.12$55.0050.7%14.3%73.2%38.7%49.9%4.7%2.5%841.1K-24.7M-318.4K0.5919.4699358419,04313,712
2008-08-07$55.90$60.0051.3%14.6%75.1%40.0%49.3%4.9%2.6%655.9K-16.3M-310.0K1.5519.4223536419,06314,042
2008-08-08$58.01$60.0048.2%14.1%75.8%33.3%51.0%4.7%2.9%871.1K-23.9M-319.8K0.5518.1449027119,15314,179
2008-08-11$57.21$60.0052.8%14.7%76.2%43.2%52.6%4.3%3.4%970.3K-22.5M-312.0K0.3019.1787025919,47114,069
2008-08-12$56.96$60.0050.6%14.6%75.7%38.4%49.5%4.5%3.2%1.1M-23.5M-310.0K1.4226.3913919820,07214,170
2008-08-13$58.29$60.0051.4%14.5%75.4%40.3%50.9%5.1%2.9%1.3M-29.9M-312.6K0.6418.971,02265820,11314,218
2008-08-14$60.82$60.0049.6%14.2%75.9%36.2%48.9%6.5%3.7%1.5M-45.0M-327.3K0.2911.3898328320,26014,404
2008-08-15$59.80$60.0046.6%13.4%76.0%29.9%46.8%6.8%6.2%6.6M-35.7M-322.3K0.2319.301,63637720,23014,486
2008-08-18$60.31$60.0050.9%14.6%71.5%39.0%51.1%7.8%-0.7%362.6K-20.3M-321.8K1.0119.281,8621,87513,5338,594
2008-08-19$59.68$60.0050.2%14.4%70.4%37.7%50.7%7.0%-0.6%292.4K-18.5M-339.8K1.6616.2221936414,83210,180
2008-08-20$61.08$60.0048.2%13.8%70.7%33.4%48.6%8.5%1.4%340.6K-21.9M-343.4K1.5720.7238560414,91210,438
2008-08-21$60.19$60.0047.6%13.7%69.2%32.1%47.1%7.3%1.9%273.3K-19.7M-342.8K1.0814.7016317615,00510,638
2008-08-22$60.56$60.0045.3%13.0%68.9%27.1%45.6%8.2%2.2%283.3K-19.9M-341.2K0.3916.0169627015,05010,666
2008-08-25$60.20$60.0047.2%13.5%68.9%31.1%43.7%7.0%0.8%303.3K-20.2M-340.6K4.3710.219541515,57410,795
2008-08-26$60.76$60.0046.6%13.4%54.9%29.9%47.0%7.5%0.5%291.4K-20.4M-345.5K1.3910.43567815,62511,178
2008-08-27$61.42$60.0045.3%13.0%49.1%27.0%42.5%7.7%1.7%330.4K-22.8M-345.2K0.6612.1256937715,63411,233
2008-08-28$61.50$60.0044.4%12.7%45.2%25.2%41.6%8.9%0.4%340.2K-22.5M-348.1K0.7013.5426818815,98711,506
2008-08-29$61.63$60.0043.6%12.5%44.7%23.4%42.6%8.1%1.4%386.6K-24.3M-349.3K1.1314.7624327516,07611,535