AG Options History — April 2011

In April 2011, AG traded between $20.53 and $25.61. ATM implied volatility averaged 68.7%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded below realized volatility by 19.2% (HV 20d: 87.9%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.38.

Notable Days

  • 2011-04-06: Highest Volume — 6,615 contracts
  • 2011-04-12: Largest IV spike — 28.8% change
  • 2011-04-12: Highest IV Rank — 34.0%
  • 2011-04-13: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.99$20.53$25.61$21.58$20.98
Max Pain$20.88$17.50$22.50$17.50$22.50
ATM IV68.7%50.0%82.3%50.0%74.7%
Expected Move20.2%14.3%22.7%14.3%21.4%
HV 20d87.9%67.3%146.8%146.8%96.2%
HV 60d108.4%105.0%111.7%105.0%108.8%
IV Rank23.0%9.5%34.0%9.5%27.6%
IV Percentile41.7%15.5%65.9%15.5%49.6%
Term Structure-0.1%-7.1%5.0%3.2%3.2%
VWIV69.9%50.0%77.0%50.0%72.7%
Skew 25d2.5%-2.4%9.8%8.1%4.1%
Skew 10d5.7%-12.2%38.2%10.3%4.2%
Call IV 25d69.0%42.8%78.0%42.8%74.0%
Put IV 25d71.6%50.9%80.4%50.9%78.1%
Bid-Ask Spread %38.5516.8665.2520.0333.15
Gamma HHI0.270.220.410.410.22
Net GEX201.7K120.0K370.2K136.5K177.0K
Net DEX-10.1M-16.7M-2.6M-7.7M-4.4M
Net VEX-62.6K-88.2K-25.5K-27.6K-82.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.110.770.410.25
Total Volume3,131.758426,6158421,113
Total OI20,162.88,91027,6168,91027,616

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$21.58$17.5050.0%14.3%146.8%9.5%50.0%8.1%3.2%136.5K-7.7M-27.6K0.4120.035962466,1002,810
2011-04-04$23.51$17.5050.7%16.0%80.7%10.1%55.9%5.4%-0.6%137.3K-10.5M-25.5K0.2132.482,5135326,1922,954
2011-04-05$25.61$17.5055.0%16.4%84.7%13.6%56.3%0.1%3.2%120.0K-13.6M-27.6K0.1127.923,6123966,9303,358
2011-04-06$25.38$20.0063.2%17.8%84.4%18.0%62.3%0.8%-1.8%218.0K-15.3M-34.4K0.3960.494,7541,8618,7253,590
2011-04-07$25.27$20.0064.0%18.8%67.3%18.6%65.6%1.6%-4.7%227.8K-16.7M-47.7K0.3430.861,28243111,4284,744
2011-04-08$24.54$20.0060.4%20.4%69.9%15.5%70.2%-2.4%-7.1%217.9K-14.7M-48.3K0.3235.751,82257411,7294,999
2011-04-11$22.62$20.0063.8%21.0%78.6%18.5%72.3%-1.1%-3.6%209.6K-9.8M-47.3K0.6232.903,2512,02112,4365,191
2011-04-12$20.53$20.0082.3%21.7%80.3%34.0%74.6%-0.6%-4.4%149.8K-4.1M-49.6K0.5546.932,9421,61613,4536,294
2011-04-13$23.05$20.0068.5%22.7%87.8%22.4%75.6%4.8%-5.7%307.9K-11.7M-60.8K0.3626.252,8271,00814,8226,476
2011-04-14$24.02$20.0073.7%21.1%86.9%26.8%74.5%2.3%-0.1%370.2K-15.6M-67.6K0.6145.693,2321,96815,7956,957
2011-04-15$23.69$22.5076.6%22.0%86.9%29.2%74.6%5.3%-3.8%230.4K-14.3M-75.5K0.6458.842,4921,59416,8208,450
2011-04-18$22.73$22.5074.7%21.4%85.6%27.6%77.0%2.4%3.5%169.8K-8.3M-78.4K0.2333.302,76964414,0737,778
2011-04-19$22.76$22.5076.3%21.9%85.1%29.0%75.6%0.1%2.9%202.7K-8.9M-80.6K0.7716.8674156815,0247,848
2011-04-20$23.70$22.5072.1%20.7%84.1%25.4%71.1%1.1%2.1%232.3K-11.8M-84.4K0.1251.043,39440315,3788,174
2011-04-21$23.31$22.5071.6%20.5%83.8%25.0%71.2%1.7%5.0%231.3K-11.6M-88.2K0.2665.2586622816,1338,373
2011-04-25$22.16$22.5074.5%21.4%86.1%27.5%75.6%0.2%2.2%202.8K-8.3M-83.4K0.5058.761,95496816,4008,481
2011-04-26$20.56$22.5076.0%21.8%90.5%28.7%74.7%4.3%1.2%134.9K-2.6M-76.6K0.5224.961,64385016,6499,079
2011-04-27$22.45$22.5072.9%20.9%95.4%26.1%73.4%9.8%1.4%191.2K-7.8M-85.0K0.2345.751,72739116,5039,189
2011-04-28$21.28$22.5073.2%21.0%96.7%26.3%73.9%2.5%1.7%167.6K-5.1M-81.5K0.1923.792,35345316,9759,330
2011-04-29$20.98$22.5074.7%21.4%96.2%27.6%72.7%4.1%3.2%177.0K-4.4M-82.0K0.2533.1589222118,0199,597