AG Options History — June 2011

In June 2011, AG traded between $16.38 and $20.25. ATM implied volatility averaged 61.6%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded below realized volatility by 8.7% (HV 20d: 70.3%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.38.

Notable Days

  • 2011-06-01: Highest Volume — 2,739 contracts
  • 2011-06-06: Largest IV spike — 10.5% change
  • 2011-06-06: Highest IV Rank — 22.8%
  • 2011-06-06: Largest Expected Move — 19.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.00$16.38$20.25$20.25$18.44
Max Pain$20.91$17.50$22.50$17.50$20.00
ATM IV61.6%54.3%69.0%62.5%54.3%
Expected Move17.8%15.6%19.8%17.9%15.6%
HV 20d70.3%62.8%79.6%78.9%69.8%
HV 60d84.7%81.3%87.5%87.3%81.3%
IV Rank16.6%10.4%22.8%17.4%10.4%
IV Percentile17.7%6.0%30.2%20.2%6.0%
Term Structure3.3%0.3%7.1%5.6%5.3%
VWIV62.0%54.1%67.7%66.1%54.1%
Skew 25d3.5%-4.4%8.0%5.0%6.8%
Skew 10d1.1%-21.9%18.3%-8.7%6.2%
Call IV 25d60.9%49.8%66.6%63.8%49.8%
Put IV 25d64.4%50.2%71.0%68.8%56.7%
Bid-Ask Spread %24.418.9848.7944.8410.93
Gamma HHI0.270.180.370.340.30
Net GEX186.0K54.3K295.2K252.5K240.4K
Net DEX1.1M-7.5M7.6M-7.5M-947.2K
Net VEX-62.2K-80.4K-51.2K-80.4K-59.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.071.040.130.64
Total Volume1,092.1823492,7392,739351
Total OI30,946.18225,86434,50931,28329,289

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-06-01$20.25$17.5062.5%17.9%78.9%17.4%66.1%5.0%5.6%252.5K-7.5M-80.4K0.1344.842,41432518,21713,066
2011-06-02$19.61$17.5062.8%18.0%79.6%17.6%64.0%2.9%4.2%290.7K-6.3M-80.3K0.5015.651,03051519,32413,070
2011-06-03$19.43$22.5062.5%19.4%73.0%17.3%67.7%3.7%0.6%295.2K-5.2M-78.1K0.1648.7978112619,45013,206
2011-06-06$18.66$22.5069.0%19.8%69.5%22.8%67.5%4.5%0.3%271.0K-1.7M-71.2K0.1832.624688319,23813,262
2011-06-07$18.62$22.5066.1%19.5%62.8%20.4%65.5%3.7%0.9%272.3K-1.1M-69.6K0.1640.636069819,23413,306
2011-06-08$17.56$22.5059.3%18.9%65.8%14.6%65.7%2.3%3.7%198.1K2.9M-62.2K0.7433.2280659419,15313,368
2011-06-09$18.69$22.5064.6%18.5%62.9%19.1%63.7%4.4%3.3%278.9K-699.1K-67.1K0.1923.961,05120119,21513,670
2011-06-10$17.93$22.5065.5%18.8%63.6%19.9%64.7%3.5%1.9%204.2K2.3M-63.6K0.8131.9819315619,34213,765
2011-06-13$16.47$22.5064.4%18.5%69.0%19.0%64.6%2.9%2.6%63.5K6.9M-53.5K0.2818.512,02857019,38113,813
2011-06-14$17.34$22.5062.5%17.9%70.0%17.3%62.3%2.4%3.8%175.4K4.5M-58.3K0.0719.716204619,92913,937
2011-06-15$16.84$22.5065.2%18.7%70.6%19.6%64.8%1.7%1.3%146.8K6.1M-54.5K0.3322.1346515520,02613,936
2011-06-16$16.38$22.5066.4%19.0%69.2%20.6%66.7%-2.8%0.7%60.0K7.6M-51.2K0.8833.2354948219,98214,011
2011-06-17$16.75$20.0063.0%18.1%69.5%17.8%63.2%7.6%4.2%109.8K7.0M-53.1K1.0442.6463666420,24714,262
2011-06-20$16.66$20.0060.5%17.3%68.3%15.6%61.1%3.3%3.6%54.3K4.6M-52.2K0.1122.871,00810714,16811,696
2011-06-21$18.46$20.0059.9%17.2%77.9%15.1%58.2%5.5%2.3%132.9K538.3K-59.1K0.1825.102,06337514,67411,760
2011-06-22$18.25$20.0057.8%16.6%72.0%13.4%57.9%1.6%4.4%165.9K-46.4K-60.7K0.0714.721,0517315,73411,801
2011-06-23$18.39$20.0058.0%16.6%71.1%13.5%58.0%3.3%5.3%176.1K-502.3K-61.0K1.0113.0941842215,87911,835
2011-06-24$17.82$20.0059.5%17.1%71.7%14.8%57.6%8.0%4.2%161.7K1.2M-58.9K0.1910.3483315516,16112,017
2011-06-27$17.32$20.0059.0%16.9%70.8%14.3%59.6%3.5%3.1%149.5K2.5M-56.7K0.3010.012888716,67212,108
2011-06-28$17.79$20.0057.9%16.6%70.4%13.5%57.5%7.4%4.2%175.8K1.5M-57.3K0.1313.083784816,63612,080
2011-06-29$18.31$20.0055.1%15.8%70.4%11.1%54.2%-4.4%7.1%217.8K-482.2K-59.5K0.358.9852418516,81412,082
2011-06-30$18.44$20.0054.3%15.6%69.8%10.4%54.1%6.8%5.3%240.4K-947.2K-59.1K0.6410.9321413717,16712,122