AG Options History — May 2011

In May 2011, AG traded between $16.83 and $21.14. ATM implied volatility averaged 74.3%, placing in the 27.3% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded below realized volatility by 21.3% (HV 20d: 95.6%). Max pain ranged from $17.50 to $25.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.69.

Notable Days

  • 2011-05-03: Highest Volume — 6,266 contracts
  • 2011-05-24: Largest IV drop — 9.3% change
  • 2011-05-05: Highest IV Rank — 36.7%
  • 2011-05-05: Largest Expected Move — 24.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.56$16.83$21.14$18.71$21.14
Max Pain$20.83$17.50$25.00$22.50$25.00
ATM IV74.3%62.5%85.5%80.3%63.5%
Expected Move21.4%17.9%24.5%23.0%18.2%
HV 20d95.6%79.8%108.1%104.1%79.8%
HV 60d112.2%110.1%113.6%110.1%112.2%
IV Rank27.3%17.3%36.7%32.3%18.2%
IV Percentile46.3%19.8%69.8%62.7%22.2%
Term Structure0.7%-3.3%6.5%-2.0%4.2%
VWIV74.4%62.5%83.8%74.2%63.7%
Skew 25d3.0%-2.6%6.3%0.1%6.2%
Skew 10d4.5%-22.5%22.4%-3.6%12.7%
Call IV 25d73.8%59.8%85.1%78.6%59.8%
Put IV 25d76.8%65.6%85.8%78.7%66.0%
Bid-Ask Spread %28.2314.5035.6827.8418.03
Gamma HHI0.210.170.330.190.19
Net GEX87.3K-22.8K227.1K95.8K-22.8K
Net DEX1.7M-7.9M8.1M1.7M787.8K
Net VEX-73.6K-86.5K-51.3K-67.1K-51.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.112.171.330.12
Total Volume2,320.7149766,2663,4701,863
Total OI32,749.47619,32138,49027,74919,321

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-05-02$18.71$22.5080.3%23.0%104.1%32.3%74.2%0.1%-2.0%95.8K1.7M-67.1K1.3327.841,4921,97818,0509,699
2011-05-03$17.75$22.5081.4%23.3%99.2%33.3%81.3%4.6%1.7%76.8K3.8M-60.0K2.1730.971,9754,29118,3929,673
2011-05-04$18.28$22.5083.3%23.9%93.5%34.9%81.7%3.2%-0.3%85.1K2.4M-73.2K0.5728.151,9891,12919,02012,052
2011-05-05$16.83$20.0085.5%24.5%96.3%36.7%83.8%-2.6%2.1%64.6K4.7M-66.2K0.6934.091,7921,22920,04912,275
2011-05-06$18.24$22.5078.7%23.0%102.7%31.0%79.6%6.3%-1.8%108.3K1.9M-77.4K0.2924.052,84482720,39113,197
2011-05-09$19.77$22.5076.1%22.1%108.1%28.8%77.8%3.1%-0.6%182.5K-2.6M-84.6K0.6632.431,8181,19120,69513,488
2011-05-10$19.72$22.5072.2%21.9%104.9%25.5%76.3%3.6%1.1%177.3K-2.3M-86.5K0.4633.261,44166521,27614,015
2011-05-11$18.10$20.0075.9%22.3%103.7%28.6%77.9%0.7%-1.6%71.9K3.4M-76.7K0.7628.421,05079321,20014,487
2011-05-12$18.70$22.5079.9%22.9%94.5%32.0%77.9%5.1%-2.3%77.8K2.4M-79.9K1.0230.461,0251,04121,24715,093
2011-05-13$18.00$22.5079.0%22.7%92.9%31.3%80.3%2.8%-2.1%37.9K5.0M-76.5K0.3434.661,70758721,42915,574
2011-05-16$17.22$20.0079.8%22.9%93.5%31.9%78.5%2.1%-3.3%15.8K7.1M-70.3K1.1533.2960169222,15015,722
2011-05-17$16.96$20.0075.5%21.6%93.0%28.3%75.3%4.8%-0.3%2.1K8.1M-66.8K0.4730.191,40865922,16515,851
2011-05-18$17.73$20.0075.1%21.5%95.2%28.0%75.5%4.9%0.3%46.6K5.8M-72.2K0.6735.6876951922,64815,842
2011-05-19$17.39$20.0073.9%21.2%93.1%27.0%74.6%0.4%0.7%3.1K6.8M-69.7K1.4021.4840657022,26715,762
2011-05-20$17.98$20.0072.2%20.7%94.7%25.5%72.8%4.8%2.0%41.8K4.5M-71.2K1.6734.477021,17022,48515,622
2011-05-23$17.76$20.0072.4%20.8%93.7%25.7%72.4%0.6%1.1%50.4K2.1M-69.7K0.2426.5893222214,86712,547
2011-05-24$19.28$20.0065.6%18.8%96.1%20.0%66.8%5.3%2.8%107.9K-1.8M-78.0K0.1115.032,80130515,59012,642
2011-05-25$19.87$17.5064.9%18.6%90.8%19.4%65.3%0.5%3.9%179.4K-5.3M-81.5K0.1734.961,78630717,06412,805
2011-05-26$19.85$17.5063.2%18.1%89.1%17.9%63.5%2.9%6.5%203.9K-5.7M-82.6K0.1724.3699416917,54112,925
2011-05-27$20.48$17.5062.5%17.9%89.8%17.3%62.5%4.1%2.6%227.1K-7.9M-83.7K0.1514.5086712917,70012,921
2011-05-31$21.14$25.0063.5%18.2%79.8%18.2%63.7%6.2%4.2%-22.8K787.8K-51.3K0.1218.031,6691948,76210,559