AG Options History — January 2009

In January 2009, AG traded between $19.61 and $28.13. ATM implied volatility averaged 85.2%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 24.6%. IV traded below realized volatility by 1.8% (HV 20d: 87.0%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 1.84.

Notable Days

  • 2009-01-21: Highest Volume — 2,783 contracts
  • 2009-01-12: Largest IV spike — 31.5% change
  • 2009-01-14: Highest IV Rank — 50.7%
  • 2009-01-22: Largest Expected Move — 26.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.74$19.61$28.13$25.99$21.28
Max Pain$27.75$25.00$30.00$30.00$25.00
ATM IV85.2%65.8%100.3%65.8%87.5%
Expected Move24.6%18.9%26.9%18.9%25.1%
HV 20d87.0%71.8%99.5%82.9%99.5%
HV 60d114.3%107.4%120.0%119.6%107.4%
IV Rank38.3%22.4%50.7%22.4%40.2%
IV Percentile76.7%65.5%88.1%65.5%75.0%
Term Structure-4.8%-8.1%10.3%10.3%-7.6%
VWIV84.9%63.2%96.9%63.2%95.2%
Skew 25d15.6%12.3%21.3%13.1%15.7%
Skew 10d33.4%25.5%53.6%27.9%29.1%
Call IV 25d77.3%58.1%84.4%58.1%82.9%
Put IV 25d92.9%71.2%104.1%71.2%98.6%
Bid-Ask Spread %9.897.3213.809.2813.80
Gamma HHI0.200.150.280.180.22
Net GEX-85.2K-151.5K-15.7K-60.7K-106.3K
Net DEX6.9M154.7K12.4M5.2M5.9M
Net VEX-65.8K-82.9K-47.6K-77.9K-67.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.840.128.500.781.69
Total Volume1,013.351902,783467395
Total OI28,973.7520,76832,55831,60327,817

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-01-02$25.99$30.0065.8%18.9%82.9%22.4%63.2%13.1%10.3%-60.7K5.2M-77.9K0.789.2826320418,66412,939
2009-01-05$26.60$30.0075.8%22.5%71.8%30.7%78.2%13.1%-5.3%-42.8K3.2M-78.9K0.8311.1460550118,68112,713
2009-01-06$28.13$30.0069.5%20.4%72.6%25.5%73.7%14.7%-3.3%-15.7K154.7K-82.9K0.3811.4929211118,83912,828
2009-01-07$25.80$30.0077.2%23.4%78.8%31.8%83.5%14.5%-5.7%-61.7K4.8M-79.0K1.057.5158761918,81312,808
2009-01-08$26.44$30.0076.5%23.4%78.1%31.2%76.1%14.4%-5.5%-43.4K3.6M-77.5K0.7110.411329418,79812,717
2009-01-09$25.42$30.0070.5%23.2%79.0%26.3%79.0%15.1%-5.4%-67.0K5.8M-72.3K6.077.674225518,85612,735
2009-01-12$22.43$30.0092.8%25.0%88.1%44.5%86.1%14.1%-7.2%-111.5K10.8M-62.6K0.7311.2190966218,91012,784
2009-01-13$22.93$30.0087.8%24.6%86.9%40.5%85.2%13.4%-4.4%-120.3K10.3M-61.4K1.1312.4616518719,16213,014
2009-01-14$20.99$30.00100.3%26.8%89.9%50.7%87.2%12.6%-7.4%-151.5K12.4M-54.3K0.358.7953018719,19812,907
2009-01-15$20.73$30.0093.0%26.7%87.9%44.8%88.6%14.2%-6.7%-43.6K11.2M-52.9K0.588.5946927119,56712,617
2009-01-16$20.96$30.0089.0%25.5%81.2%41.5%84.2%12.3%-5.3%-105.6K10.9M-53.4K0.2811.4386924119,93012,628
2009-01-20$19.61$25.0090.8%26.0%82.9%42.9%85.7%16.0%-3.2%-39.9K6.8M-47.6K3.177.655191,64712,8087,960
2009-01-21$21.45$25.0086.2%24.7%90.1%39.1%93.8%19.0%-2.5%-67.4K6.4M-58.6K7.7511.183182,46513,1969,119
2009-01-22$19.96$25.0093.8%26.9%92.7%45.4%94.0%21.3%-4.4%-119.0K9.2M-57.2K0.717.761,4181,00013,27311,053
2009-01-23$19.83$25.0092.2%26.4%92.6%44.1%89.5%17.8%-3.4%-112.1K8.3M-58.5K0.727.8538727814,31411,317
2009-01-26$20.32$25.0092.5%26.5%93.0%44.3%87.6%18.7%-7.9%-118.3K7.7M-59.9K0.957.3296792114,53611,555
2009-01-27$21.17$25.0091.7%26.3%93.9%43.7%89.4%19.0%-8.1%-118.0K6.3M-68.1K0.3710.6536313415,01812,234
2009-01-28$22.83$25.0084.5%24.2%98.2%37.8%81.4%16.5%-6.2%-96.4K3.3M-74.1K0.128.3895611415,11212,153
2009-01-29$21.85$25.0085.9%24.6%99.2%38.9%96.9%17.1%-6.7%-102.0K5.0M-71.3K8.5013.192017015,74212,160
2009-01-30$21.28$25.0087.5%25.1%99.5%40.2%95.2%15.7%-7.6%-106.3K5.9M-67.5K1.6913.8014724815,75512,062