AG Options History — July 2011

In July 2011, AG traded between $18.10 and $24.94. ATM implied volatility averaged 57.8%, placing in the 13.4% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded below realized volatility by 6.6% (HV 20d: 64.4%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.48.

Notable Days

  • 2011-07-20: Highest Volume — 6,505 contracts
  • 2011-07-11: Largest IV spike — 14.7% change
  • 2011-07-29: Highest IV Rank — 18.3%
  • 2011-07-29: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.26$18.10$24.94$18.10$22.37
Max Pain$19.13$17.50$20.00$20.00$20.00
ATM IV57.8%48.8%63.6%51.7%63.6%
Expected Move17.1%14.8%18.2%14.8%18.2%
HV 20d64.4%55.9%75.7%70.0%63.9%
HV 60d77.2%70.6%83.6%81.3%70.6%
IV Rank13.4%5.8%18.3%8.2%18.3%
IV Percentile11.1%0.4%22.6%3.2%22.6%
Term Structure2.0%-0.7%8.3%8.3%-0.5%
VWIV60.2%52.6%66.2%52.6%66.2%
Skew 25d2.6%-5.9%4.9%-5.9%4.8%
Skew 10d10.4%-22.4%30.3%-22.4%30.3%
Call IV 25d59.5%52.5%63.7%52.5%63.7%
Put IV 25d62.1%46.5%68.5%46.5%68.5%
Bid-Ask Spread %24.078.2251.4611.258.22
Gamma HHI0.350.230.830.290.26
Net GEX530.6K228.0K2.8M228.0K378.4K
Net DEX-17.4M-26.8M34.5K34.5K-14.9M
Net VEX-74.3K-88.4K-57.5K-57.5K-85.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.071.520.320.39
Total Volume2,593.555876,505587747
Total OI30,659.624,29034,76829,36431,477

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-07-01$18.10$20.0051.7%14.8%70.0%8.2%52.6%-5.9%8.3%228.0K34.5K-57.5K0.3211.2544614117,26212,102
2011-07-05$19.69$17.5053.2%16.5%75.1%9.5%57.8%2.1%4.5%340.0K-5.4M-58.3K0.2310.521,58337017,44512,176
2011-07-06$20.33$17.5049.0%17.0%75.7%5.9%57.8%3.9%2.8%378.3K-8.2M-59.3K0.2310.042,06346817,83812,384
2011-07-07$20.62$17.5054.8%16.9%72.0%10.9%58.1%4.1%3.1%382.1K-10.3M-64.4K0.1412.601,89627018,94212,701
2011-07-08$20.79$17.5048.8%16.7%69.1%5.8%58.1%3.4%2.6%423.3K-11.4M-64.9K1.3115.958391,10119,49312,872
2011-07-11$19.86$17.5056.0%17.6%69.5%11.8%60.7%3.9%1.9%368.4K-8.2M-62.2K1.5221.831,9713,00219,32812,416
2011-07-12$20.34$17.5057.0%17.1%61.0%12.7%60.2%2.3%3.2%431.0K-12.2M-69.5K0.1927.251,42227220,40712,821
2011-07-13$21.92$17.5057.6%17.4%63.6%13.2%61.2%2.3%1.5%525.6K-22.8M-70.7K0.0821.354,23132520,92011,890
2011-07-14$22.17$20.0059.8%17.1%61.7%15.0%60.6%1.1%2.7%665.5K-24.2M-70.2K0.0720.333,90127621,98312,058
2011-07-15$22.57$20.0060.3%17.3%59.8%15.4%61.0%2.2%1.3%2.8M-26.7M-72.6K0.3344.091,31843722,67912,089
2011-07-18$24.47$20.0061.0%17.5%64.0%16.1%61.7%2.4%0.7%318.9K-21.9M-71.3K0.3012.644,1561,24415,4908,800
2011-07-19$23.68$20.0059.0%16.9%66.1%14.4%60.2%4.6%6.5%335.2K-20.2M-78.6K0.9551.462,3752,26716,4619,600
2011-07-20$24.75$20.0061.3%17.6%59.0%16.3%61.7%4.1%-0.5%352.0K-24.8M-81.0K0.3737.694,7471,75817,69310,130
2011-07-21$24.57$20.0059.7%17.1%58.8%15.0%60.1%2.3%0.6%458.9K-26.3M-86.7K0.9246.081,00792219,77610,199
2011-07-22$24.94$20.0059.7%17.1%58.8%15.0%59.8%3.0%0.3%456.1K-26.8M-88.4K0.449.9370830919,50110,541
2011-07-25$24.69$20.0059.4%17.0%57.0%14.7%60.3%4.1%0.5%467.5K-25.8M-86.4K0.3833.441,18344419,67910,807
2011-07-26$24.29$20.0060.7%17.4%55.9%15.8%60.9%1.8%-0.7%460.7K-23.8M-87.5K0.4635.2972433619,79010,939
2011-07-27$22.65$20.0062.2%17.8%63.6%17.0%62.5%1.3%-0.1%412.8K-16.9M-86.0K0.3338.8694731419,97711,188
2011-07-28$22.50$20.0062.2%17.8%63.6%17.1%62.4%4.9%1.4%408.1K-16.1M-86.1K0.5712.6286248920,10211,236
2011-07-29$22.37$20.0063.6%18.2%63.9%18.3%66.2%4.8%-0.5%378.4K-14.9M-85.1K0.398.2253621119,90711,570