AG Options History — April 2009

In April 2009, AG traded between $20.63 and $25.58. ATM implied volatility averaged 72.3%, placing in the 27.8% IV rank vs the trailing year. The 30-day expected move averaged 21.5%. IV traded below realized volatility by 9.8% (HV 20d: 82.1%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2009-04-24: Highest Volume — 20,476 contracts
  • 2009-04-09: Largest IV spike — 24.4% change
  • 2009-04-14: Highest IV Rank — 34.0%
  • 2009-04-06: Largest Expected Move — 23.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.30$20.63$25.58$20.63$24.30
Max Pain$21.90$17.50$22.50$17.50$22.50
ATM IV72.3%62.4%79.8%75.1%63.4%
Expected Move21.5%18.2%23.4%21.5%18.2%
HV 20d82.1%73.0%88.7%86.0%73.0%
HV 60d84.4%81.7%89.2%88.5%82.7%
IV Rank27.8%19.7%34.0%30.1%20.5%
IV Percentile50.7%34.9%61.9%55.2%34.9%
Term Structure-2.8%-7.6%7.9%7.9%1.8%
VWIV75.5%64.5%85.2%72.0%64.5%
Skew 25d9.9%1.7%14.7%12.7%1.7%
Skew 10d18.8%3.3%28.4%22.3%7.6%
Call IV 25d71.0%66.3%75.7%68.4%66.3%
Put IV 25d80.9%68.0%89.6%81.1%68.0%
Bid-Ask Spread %13.278.9123.5323.539.89
Gamma HHI0.230.170.320.170.32
Net GEX186.1K109.3K299.2K120.2K299.2K
Net DEX-8.6M-13.1M-4.1M-4.1M-10.0M
Net VEX-79.5K-86.9K-69.2K-76.0K-85.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.083.010.170.34
Total Volume1,755.14322120,476358870
Total OI25,731.71422,39629,83025,67629,830

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$20.63$17.5075.1%21.5%86.0%30.1%72.0%12.7%7.9%120.2K-4.1M-76.0K0.1723.533065217,7757,901
2009-04-02$22.29$17.5072.0%20.6%82.1%27.5%75.1%7.8%7.7%156.1K-7.7M-83.1K0.4723.0154625717,8817,920
2009-04-03$22.93$20.0066.8%22.5%81.8%23.3%69.7%13.8%-5.5%182.3K-9.7M-86.9K0.2111.7896020318,3508,021
2009-04-06$22.89$22.5069.3%23.4%82.2%25.3%80.0%13.3%-7.6%173.0K-9.2M-84.1K0.7011.871309117,9168,006
2009-04-07$21.44$22.5065.5%22.9%85.5%22.2%85.2%14.7%-5.1%154.6K-6.1M-79.0K0.809.7314111317,9087,984
2009-04-08$21.39$22.5062.4%22.7%85.7%19.7%78.6%12.7%-5.2%156.5K-6.0M-78.3K1.4313.7415722418,0108,021
2009-04-09$23.30$22.5077.7%22.3%88.7%32.2%78.6%13.5%-4.8%192.9K-10.0M-83.2K2.4613.074361,07118,0678,128
2009-04-13$23.61$22.5078.5%22.5%87.2%32.9%75.2%12.8%-5.6%191.0K-10.8M-83.5K0.8611.7831727218,1228,390
2009-04-14$23.36$22.5079.8%22.9%87.6%34.0%80.5%10.8%-7.3%187.8K-9.9M-82.0K0.198.912715218,0218,389
2009-04-15$23.87$22.5074.0%21.2%85.9%29.2%79.1%11.5%-4.6%209.9K-11.3M-83.1K3.0112.5310230718,4758,436
2009-04-16$24.90$22.5073.2%21.0%86.1%28.5%76.9%11.0%-4.2%243.6K-13.1M-77.7K0.2514.452546417,0307,760
2009-04-17$24.16$22.5072.3%20.7%87.4%27.8%79.5%9.5%-4.0%190.1K-11.2M-75.8K1.2614.7120125317,1137,775
2009-04-20$22.28$22.5078.7%22.6%86.0%33.0%77.9%13.0%-4.6%109.3K-4.5M-69.2K0.6712.0732321615,3317,065
2009-04-21$22.92$22.5077.3%22.2%76.6%31.9%76.1%14.3%-4.4%119.8K-5.2M-70.1K0.6313.9717511015,4127,246
2009-04-22$23.92$22.5070.8%20.3%77.3%26.5%73.9%8.7%-2.1%149.6K-7.5M-73.1K1.3413.1849866715,4407,282
2009-04-23$23.60$22.5076.1%21.8%77.4%30.9%75.6%12.5%-4.0%138.1K-6.8M-72.6K1.909.6114928315,5527,332
2009-04-24$25.58$22.5074.6%21.4%78.2%29.7%75.1%3.3%-2.6%187.6K-11.2M-78.0K0.0814.9519,0151,46115,6337,548
2009-04-27$24.25$22.5076.0%21.8%81.2%30.8%76.5%3.6%-5.3%246.1K-9.5M-83.5K0.5712.141,59490119,0028,469
2009-04-28$23.68$22.5069.1%19.8%74.5%25.2%68.2%4.7%-0.1%246.4K-7.6M-82.5K0.4113.221,19649120,4388,831
2009-04-29$24.08$22.5065.5%18.8%74.6%22.2%67.3%2.2%0.1%253.0K-8.6M-82.8K0.2110.431,76036919,6838,873
2009-04-30$24.30$22.5063.4%18.2%73.0%20.5%64.5%1.7%1.8%299.2K-10.0M-85.6K0.349.8964722320,6929,138