AG Options History — December 2008

In December 2008, AG traded between $19.35 and $24.65. ATM implied volatility averaged 91.8%, placing in the 43.7% IV rank vs the trailing year. The 30-day expected move averaged 26.1%. IV traded below realized volatility by 32.3% (HV 20d: 124.1%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 3.42.

Notable Days

  • 2008-12-11: Highest Volume — 13,407 contracts
  • 2008-12-19: Largest IV drop — 12.4% change
  • 2008-12-01: Highest IV Rank — 61.9%
  • 2008-12-01: Largest Expected Move — 32.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.41$19.35$24.65$20.10$23.59
Max Pain$28.75$22.50$30.00$25.00$30.00
ATM IV91.8%70.0%113.9%113.9%70.0%
Expected Move26.1%20.1%32.7%32.7%20.1%
HV 20d124.1%76.3%142.3%136.6%76.3%
HV 60d120.3%117.8%122.9%117.9%118.1%
IV Rank43.7%25.9%61.9%61.9%25.9%
IV Percentile83.2%70.2%94.0%94.0%70.2%
Term Structure2.1%-7.3%8.2%-7.3%8.2%
VWIV89.3%68.3%110.1%110.1%68.3%
Skew 25d14.9%7.3%24.2%14.6%7.3%
Skew 10d30.6%14.9%61.6%26.4%14.9%
Call IV 25d83.6%67.0%107.3%107.3%67.0%
Put IV 25d98.5%74.3%121.9%121.9%74.3%
Bid-Ask Spread %12.236.4424.1620.718.22
Gamma HHI0.380.200.700.290.20
Net GEX-292.6K-819.7K-105.4K-152.2K-105.4K
Net DEX13.1M8.7M23.8M15.5M9.3M
Net VEX-72.3K-89.5K-59.8K-67.5K-68.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.420.0341.293.400.37
Total Volume1,768.1825513,4072,286540
Total OI33,964.18229,74945,48329,82031,304

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-01$20.10$25.00113.9%32.7%136.6%61.9%110.1%14.6%-7.3%-152.2K15.5M-67.5K3.4020.715201,76615,93513,885
2008-12-02$21.23$22.50108.2%31.0%139.2%57.2%104.0%19.9%-7.2%-161.6K14.4M-71.5K0.1224.164805616,26113,488
2008-12-03$21.42$22.5097.9%28.1%137.3%48.7%96.3%13.7%-0.8%-160.2K14.3M-69.3K0.1815.743776616,58313,499
2008-12-04$19.35$22.50104.9%30.1%139.4%54.5%103.0%15.9%-3.3%-132.3K15.5M-59.8K0.5117.4728914816,63413,540
2008-12-05$20.20$30.00102.3%28.6%139.4%52.3%97.5%20.5%-0.3%-158.9K14.7M-60.5K1.037.9538839816,80212,952
2008-12-08$21.57$30.00101.1%27.0%141.9%51.4%90.8%18.9%2.1%-178.4K13.0M-69.7K0.2911.3490526516,99813,260
2008-12-09$22.47$30.0098.8%27.2%142.3%49.5%91.0%15.4%-0.1%-168.7K11.2M-71.5K0.038.714951617,51213,123
2008-12-10$23.32$30.0094.9%26.9%139.6%46.3%95.5%16.5%0.2%-177.1K9.7M-75.0K2.3215.6221549917,77413,015
2008-12-11$21.80$30.00102.5%29.4%139.9%52.6%107.6%18.4%-0.6%-166.7K11.9M-69.8K41.2910.7031713,09017,96113,366
2008-12-12$22.83$30.0098.4%28.2%129.0%49.1%100.7%24.2%-0.2%-689.3K19.7M-89.5K1.156.441,1111,27318,12323,903
2008-12-15$21.47$30.0097.6%28.0%129.8%48.5%83.2%17.1%1.5%-701.5K23.8M-79.1K7.607.468766118,92023,664
2008-12-16$22.58$30.0093.2%26.7%131.7%44.9%94.4%18.2%1.8%-793.2K19.6M-85.0K0.1711.241,75729718,95823,681
2008-12-17$24.65$30.0090.5%26.0%135.9%42.7%86.5%17.8%1.9%-446.6K8.7M-85.1K2.6911.121,4343,86120,16023,384
2008-12-18$23.60$30.0093.7%26.9%130.2%45.3%95.8%14.5%2.0%-819.7K13.5M-83.6K1.6312.0331851820,80624,677
2008-12-19$23.51$30.0082.1%23.5%120.5%35.8%82.8%11.1%7.0%-625.6K9.1M-74.1K5.1311.224512,31420,92224,381
2008-12-22$22.70$30.0080.5%23.1%108.7%34.5%76.9%11.0%6.6%-127.8K11.5M-69.1K0.3313.5652817416,81713,025
2008-12-23$22.73$30.0077.8%22.3%108.4%32.3%75.2%8.1%8.2%-173.2K12.0M-71.0K1.458.6715422417,15714,406
2008-12-24$23.05$30.0078.4%22.5%108.5%32.8%75.3%8.7%6.0%-127.4K10.9M-68.2K0.908.36292617,07813,081
2008-12-26$23.63$30.0078.0%22.4%108.8%32.4%76.3%14.3%7.8%-127.2K10.4M-69.7K3.6511.89176217,07713,067
2008-12-29$23.46$30.0078.9%22.6%108.2%33.2%82.5%10.3%6.1%-122.5K10.1M-66.8K0.9112.2922720617,08912,881
2008-12-30$23.69$30.0075.5%21.6%78.1%30.4%70.0%10.9%6.4%-121.1K10.0M-67.0K0.1314.202,07326817,21812,845
2008-12-31$23.59$30.0070.0%20.1%76.3%25.9%68.3%7.3%8.2%-105.4K9.3M-68.5K0.378.2239414618,38212,922