AG Options History — March 2009

In March 2009, AG traded between $15.10 and $21.17. ATM implied volatility averaged 80.6%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 23.0%. IV traded below realized volatility by 4.7% (HV 20d: 85.4%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.97.

Notable Days

  • 2009-03-04: Highest Volume — 2,008 contracts
  • 2009-03-05: Largest IV spike — 11.3% change
  • 2009-03-02: Highest IV Rank — 45.2%
  • 2009-03-02: Largest Expected Move — 26.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.95$15.10$21.17$15.37$19.60
Max Pain$17.84$17.50$20.00$20.00$17.50
ATM IV80.6%70.1%93.5%93.5%76.6%
Expected Move23.0%20.1%26.8%26.8%22.0%
HV 20d85.4%80.4%91.4%84.2%85.1%
HV 60d85.5%82.0%90.3%86.9%87.9%
IV Rank34.6%26.0%45.2%45.2%31.3%
IV Percentile64.4%54.0%81.7%81.7%58.3%
Term Structure3.3%-6.1%8.0%-6.1%7.1%
VWIV79.0%70.7%92.4%79.6%79.6%
Skew 25d11.9%8.5%16.1%9.3%8.5%
Skew 10d22.9%7.8%39.8%7.8%18.8%
Call IV 25d74.5%64.1%90.8%86.7%74.3%
Put IV 25d86.5%78.4%99.5%96.0%82.8%
Bid-Ask Spread %17.8911.2927.0512.3823.72
Gamma HHI0.160.150.230.160.17
Net GEX77.3K13.2K135.5K13.2K104.2K
Net DEX-314.9K-5.4M4.0M3.9M-2.6M
Net VEX-61.2K-80.1K-43.9K-43.9K-71.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.265.941.195.94
Total Volume952.3181262,0081,043534
Total OI26,704.54523,93929,62524,71225,422

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$15.37$20.0093.5%26.8%84.2%45.2%79.6%9.3%-6.1%13.2K3.9M-43.9K1.1912.3847656717,4647,248
2009-03-03$15.81$20.0089.3%25.6%85.3%41.7%83.7%8.5%-0.4%17.1K3.6M-46.7K0.3015.2767720517,6927,512
2009-03-04$16.33$20.0083.9%24.0%86.4%37.3%81.9%10.2%-2.1%22.5K2.8M-51.4K0.2614.961,59341517,8677,542
2009-03-05$15.11$17.5093.4%26.8%85.0%45.0%92.4%8.6%-3.9%21.0K4.0M-45.7K0.3516.7648516918,6037,654
2009-03-06$15.10$17.5090.3%25.8%81.3%42.6%87.9%13.0%1.2%26.3K3.8M-47.6K0.3513.4740214018,9297,766
2009-03-09$15.53$17.5093.4%25.7%80.4%45.0%83.5%14.1%2.6%34.1K3.3M-49.2K0.6014.0290453819,0847,791
2009-03-10$16.58$17.5085.1%23.8%85.8%38.3%83.5%12.0%2.6%49.9K2.1M-53.9K0.7118.4344231419,3397,998
2009-03-11$16.75$17.5083.4%23.6%83.3%36.8%78.2%12.2%1.8%58.0K1.7M-55.4K0.5311.2934918519,5507,998
2009-03-12$17.60$17.5080.9%23.2%86.3%34.8%81.5%14.6%3.0%85.0K198.2K-59.5K0.8118.6881765819,7338,008
2009-03-13$17.09$17.5077.8%22.3%86.4%32.3%76.0%15.3%5.1%84.9K1.1M-59.7K0.4813.6647822820,1968,500
2009-03-16$17.46$17.5078.9%22.6%86.2%33.2%87.1%12.2%4.0%84.1K726.2K-59.7K1.0413.0431633020,0678,655
2009-03-17$18.58$17.5076.1%21.8%82.4%30.9%75.8%12.8%5.9%107.3K-1.4M-62.5K0.7214.941,01973219,9298,627
2009-03-18$19.30$17.5070.1%20.1%83.1%26.0%70.7%14.4%4.8%116.0K-3.4M-65.3K0.3327.0578925920,1579,035
2009-03-19$19.57$17.5072.1%20.7%81.9%27.6%73.4%10.3%4.3%119.9K-4.5M-68.1K0.5521.7541723120,3539,162
2009-03-20$17.88$17.5077.6%22.3%84.3%32.2%72.0%11.9%5.4%135.5K-1.1M-60.7K0.7020.3358941520,4669,159
2009-03-23$20.12$17.5071.4%20.5%91.4%27.1%72.0%16.1%5.8%92.5K-2.9M-69.2K0.9022.9154249017,0786,861
2009-03-24$19.90$17.5075.1%21.5%88.5%30.0%75.5%11.4%6.3%93.1K-3.1M-70.9K1.1324.4379790217,2147,054
2009-03-25$19.66$17.5073.7%21.1%86.9%28.9%73.4%14.1%6.8%89.3K-2.3M-73.8K0.4819.8894445617,3417,772
2009-03-26$21.17$17.5075.7%21.7%89.4%30.6%70.7%12.6%5.6%128.0K-5.3M-79.4K0.4818.8143020817,9177,706
2009-03-27$21.08$17.5075.8%21.7%89.1%30.7%73.9%8.8%8.0%124.5K-5.4M-80.1K1.4218.17527417,7157,823
2009-03-30$19.35$17.5079.9%22.9%85.3%34.0%85.6%11.6%5.5%93.8K-2.2M-71.9K2.1719.6412126217,7337,780
2009-03-31$19.60$17.5076.6%22.0%85.1%31.3%79.6%8.5%7.1%104.2K-2.6M-71.7K5.9423.727745717,7707,652