AG Options History — October 2008

In October 2008, AG traded between $23.26 and $41.30. ATM implied volatility averaged 114.9%, placing in the 75.2% IV rank vs the trailing year. The 30-day expected move averaged 30.9%. IV traded above realized volatility by 14.4% (HV 20d: 100.5%). Max pain ranged from $30.00 to $55.00. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 0 of 23 days. Put/call ratio averaged 1.14.

Notable Days

  • 2008-10-22: Highest Volume — 6,650 contracts
  • 2008-10-10: Largest IV spike — 37.1% change
  • 2008-10-02: Highest IV Rank — 100.0%
  • 2008-10-27: Largest Expected Move — 39.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$31.12$23.26$41.30$41.30$31.52
Max Pain$48.04$30.00$55.00$50.00$30.00
ATM IV114.9%83.2%160.5%83.2%95.1%
Expected Move30.9%23.9%39.2%23.9%27.3%
HV 20d100.5%71.9%133.9%71.9%133.9%
HV 60d78.4%64.7%91.8%64.7%91.8%
IV Rank75.2%46.4%100.0%88.6%46.4%
IV Percentile97.9%91.7%100.0%99.6%91.7%
Term Structure-14.3%-23.6%-4.1%-4.1%-4.6%
VWIV105.2%78.7%130.7%78.7%87.3%
Skew 25d18.2%1.5%29.3%6.5%24.3%
Skew 10d28.2%-0.5%61.1%9.9%51.1%
Call IV 25d98.0%76.7%120.5%76.7%80.8%
Put IV 25d116.2%83.3%143.6%83.3%105.1%
Bid-Ask Spread %38.4611.9566.6420.6327.80
Gamma HHI0.110.090.150.110.10
Net GEX-52.9K-97.6K6.1K-87.6K423
Net DEX19.8M5.5M25.7M21.3M5.5M
Net VEX-123.4K-197.9K-74.3K-197.9K-122.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.140.063.890.170.81
Total Volume1,296.1742376,6502981,350
Total OI30,757.82627,81932,90129,66832,741

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-10-01$41.30$50.0083.2%23.9%71.9%88.6%78.7%6.5%-4.1%-87.6K21.3M-197.9K0.1720.632544416,85212,816
2008-10-02$37.01$50.00100.0%28.7%78.6%100.0%99.4%1.5%-6.0%-71.2K24.9M-164.1K1.1023.8476984516,92612,797
2008-10-03$35.62$50.00100.4%28.8%78.2%100.0%98.8%3.5%-9.6%-67.4K25.1M-159.8K0.5432.2858831817,11013,209
2008-10-06$33.09$55.00117.8%28.2%80.4%100.0%95.9%8.3%-15.2%-64.8K25.2M-136.2K1.8349.2241375417,29613,103
2008-10-07$31.46$55.00116.9%29.2%77.1%98.9%99.8%2.1%-19.7%-53.5K25.5M-125.7K0.0657.559065517,37813,094
2008-10-08$32.72$55.00112.9%29.2%79.8%94.1%101.6%10.1%-18.5%-54.5K25.7M-129.7K0.3462.0279527117,32713,040
2008-10-09$33.00$55.00117.1%30.2%78.8%99.1%95.2%15.6%-14.4%-35.2K23.6M-139.4K0.1362.935026517,65012,988
2008-10-10$35.66$55.00160.5%35.2%83.9%100.0%114.4%26.1%-23.6%-7.8K18.3M-170.7K0.8564.3269559117,93712,956
2008-10-13$37.61$55.00115.6%29.4%86.1%63.3%108.9%22.8%-15.1%6.1K19.6M-175.4K3.8941.183851,49818,15712,913
2008-10-14$34.73$55.00128.1%31.0%87.1%73.5%103.3%14.2%-18.4%-17.3K23.7M-153.4K1.1155.5047552918,20014,064
2008-10-15$29.44$55.00156.4%33.2%100.4%96.7%105.1%17.1%-16.7%-41.8K24.3M-119.3K2.6837.2714037518,35413,910
2008-10-16$29.74$55.00115.3%33.0%96.8%63.0%111.6%18.9%-21.8%-68.7K25.5M-111.6K0.9366.6455151418,28313,816
2008-10-17$30.63$55.00112.9%32.4%97.6%61.0%105.2%23.5%-23.0%-97.6K24.7M-116.4K1.5055.8021632418,76313,965
2008-10-20$29.64$55.0099.6%28.5%97.4%50.1%92.3%21.3%-13.6%-66.3K22.5M-95.0K1.7911.9549789115,89811,921
2008-10-21$30.89$50.0095.2%27.3%100.3%46.5%88.6%17.7%-11.0%-85.0K21.8M-97.2K0.6127.4738823516,19512,110
2008-10-22$24.79$50.00118.9%34.1%122.3%66.0%123.9%29.0%-16.1%-57.7K19.7M-74.3K2.9339.651,6914,95916,48911,620
2008-10-23$24.88$40.00119.7%34.3%122.5%66.6%122.0%25.7%-13.6%-86.6K17.7M-81.9K1.0415.8750452617,68113,526
2008-10-24$24.02$40.00122.4%35.1%122.5%68.9%126.4%24.3%-15.2%-73.0K15.2M-84.4K0.7018.321399817,88112,745
2008-10-27$23.26$40.00136.6%39.2%118.8%80.5%130.7%23.1%-22.9%-73.7K14.9M-75.0K0.6523.4818812317,90612,426
2008-10-28$26.82$40.00120.5%34.6%131.6%67.3%112.6%29.3%-14.0%-82.9K14.2M-88.6K0.0721.802,05713517,93012,450
2008-10-29$27.94$30.00100.9%28.9%133.5%51.2%107.6%24.3%-8.5%-18.1K9.6M-106.4K2.1741.248641,87619,65612,450
2008-10-30$29.95$30.0097.6%28.0%132.6%48.5%109.8%28.5%-4.2%-12.5K8.1M-114.0K0.4227.7229512420,00712,894
2008-10-31$31.52$30.0095.1%27.3%133.9%46.4%87.3%24.3%-4.6%4235.5M-122.3K0.8127.8074760320,14712,594