AG Options History — November 2008

In November 2008, AG traded between $20.58 and $31.88. ATM implied volatility averaged 98.5%, placing in the 49.3% IV rank vs the trailing year. The 30-day expected move averaged 27.7%. IV traded below realized volatility by 31.3% (HV 20d: 129.8%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 1.52.

Notable Days

  • 2008-11-19: Highest Volume — 2,332 contracts
  • 2008-11-13: Largest IV drop — 21.4% change
  • 2008-11-20: Highest IV Rank — 70.6%
  • 2008-11-20: Largest Expected Move — 35.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.45$20.58$31.88$30.36$24.62
Max Pain$27.63$25.00$30.00$30.00$25.00
ATM IV98.5%82.7%124.6%92.7%93.5%
Expected Move27.7%23.5%35.7%26.6%26.8%
HV 20d129.8%115.0%136.0%132.1%121.0%
HV 60d101.1%91.5%111.6%91.5%111.4%
IV Rank49.3%36.3%70.6%44.5%45.2%
IV Percentile91.5%86.9%98.4%91.3%87.7%
Term Structure-3.9%-7.6%1.5%-7.6%-2.4%
VWIV97.1%80.2%119.6%89.2%99.8%
Skew 25d19.9%15.1%25.2%22.4%18.2%
Skew 10d43.5%31.1%64.0%40.3%58.4%
Call IV 25d87.4%74.3%114.4%82.9%85.5%
Put IV 25d107.3%94.7%132.5%105.3%103.7%
Bid-Ask Spread %22.5014.1449.6225.8516.30
Gamma HHI0.140.090.300.100.27
Net GEX-33.8K-167.7K29.2K409-167.7K
Net DEX10.6M5.1M18.0M7.1M12.8M
Net VEX-94.4K-123.1K-67.9K-117.9K-82.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.520.196.900.191.16
Total Volume977.5791422,3321,294233
Total OI33,626.73727,15637,21933,65729,732

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-11-03$30.36$30.0092.7%26.6%132.1%44.5%89.2%22.4%-7.6%4097.1M-117.9K0.1925.851,08620820,62113,036
2008-11-04$31.88$30.0086.0%24.7%132.2%39.0%83.2%21.3%-3.7%29.2K5.1M-123.1K0.5625.63915121,29512,992
2008-11-05$29.79$30.0084.0%24.1%133.5%37.4%80.2%17.2%-1.7%18.4K7.2M-112.4K0.2349.6245410521,23512,911
2008-11-06$27.51$30.0089.9%25.8%136.0%42.2%96.8%18.3%-4.5%6.4K9.6M-101.2K0.9430.4627325721,29712,819
2008-11-07$28.06$30.0082.7%23.5%132.6%36.3%88.1%18.5%-4.3%8.3K9.9M-98.2K0.7218.521349721,33112,773
2008-11-10$28.98$30.0090.9%24.7%131.4%43.0%80.3%19.2%-6.2%20.3K7.8M-103.5K0.4318.3823410121,33812,646
2008-11-11$26.28$30.00104.3%26.7%132.8%54.0%98.3%17.5%-6.4%-4.5K11.1M-89.6K6.9019.921521,04921,33812,534
2008-11-12$24.70$30.00115.7%28.3%121.8%63.3%97.5%18.4%-6.3%-21.7K12.5M-82.2K0.3421.2282127521,29012,726
2008-11-13$28.70$25.0090.9%26.1%134.2%43.0%91.8%21.4%-4.1%29.1K7.6M-102.3K1.0220.1271472721,72213,262
2008-11-14$27.60$25.0093.0%26.7%134.3%44.8%91.3%20.1%-4.6%14.6K8.2M-104.1K0.5924.5131218421,94313,764
2008-11-17$27.10$30.00107.4%30.8%134.0%56.6%98.3%23.1%-2.6%26.0K8.9M-98.8K2.2319.0419844122,08613,595
2008-11-18$26.38$30.00104.8%30.1%133.1%54.4%100.8%22.0%-5.9%2.3K10.9M-93.9K0.4421.9435615621,99713,858
2008-11-19$23.48$25.00112.9%32.4%115.0%61.1%114.3%15.1%-4.1%-32.2K14.0M-81.9K1.2920.021,0171,31522,12213,894
2008-11-20$20.58$25.00124.6%35.7%123.8%70.6%119.6%18.1%-1.6%-110.1K18.0M-67.9K0.9721.1154152322,04714,773
2008-11-21$23.90$25.00110.9%31.8%135.5%59.4%105.7%25.2%-7.3%-63.4K13.8M-84.9K0.2718.511,17131922,23114,988
2008-11-24$24.42$25.0099.3%28.5%135.2%49.9%104.7%20.2%1.5%-93.5K10.8M-85.2K3.6424.533471,26215,22411,932
2008-11-25$24.31$25.0096.2%27.6%124.6%47.4%104.0%20.0%0.6%-137.5K12.2M-86.2K5.0914.143741,90415,38213,145
2008-11-26$23.89$25.0091.8%26.3%123.5%43.8%101.0%22.4%-2.2%-165.6K13.5M-77.6K1.9117.5837571715,59413,435
2008-11-28$24.62$25.0093.5%26.8%121.0%45.2%99.8%18.2%-2.4%-167.7K12.8M-82.9K1.1616.3010812515,83913,893