AG Options History — August 2011

In August 2011, AG traded between $19.08 and $24.28. ATM implied volatility averaged 78.1%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 21.7%. IV traded below realized volatility by 0.9% (HV 20d: 79.0%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.40.

Notable Days

  • 2011-08-22: Highest Volume — 4,390 contracts
  • 2011-08-04: Largest IV spike — 29.2% change
  • 2011-08-08: Highest IV Rank — 54.5%
  • 2011-08-08: Largest Expected Move — 26.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.73$19.08$24.28$22.50$24.01
Max Pain$20.54$20.00$22.50$20.00$20.00
ATM IV78.1%61.9%106.5%63.5%61.9%
Expected Move21.7%17.7%26.0%18.2%17.7%
HV 20d79.0%59.1%84.3%63.0%83.9%
HV 60d71.2%65.6%73.1%68.3%72.7%
IV Rank33.3%17.8%54.5%18.2%24.1%
IV Percentile52.0%17.1%91.3%22.2%17.1%
Term Structure0.3%-10.0%5.8%-0.8%4.4%
VWIV76.4%63.7%91.7%64.8%64.0%
Skew 25d6.3%0.6%19.8%4.6%14.9%
Skew 10d13.6%-10.2%37.5%28.0%34.8%
Call IV 25d73.2%47.0%90.5%61.7%50.7%
Put IV 25d79.4%65.7%94.6%66.3%65.7%
Bid-Ask Spread %19.8310.4938.4910.4912.49
Gamma HHI0.220.180.310.270.28
Net GEX305.5K165.3K483.1K406.8K407.8K
Net DEX-13.1M-24.0M-4.1M-15.7M-19.6M
Net VEX-82.4K-89.3K-78.6K-83.0K-79.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.110.880.780.15
Total Volume2,099.1747604,3907601,813
Total OI33,143.65227,58037,92431,77030,622

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-08-01$22.50$20.0063.5%18.2%63.0%18.2%64.8%4.6%-0.8%406.8K-15.7M-83.0K0.7810.4942733320,09311,677
2011-08-02$23.86$20.0063.0%18.1%59.6%17.8%65.4%3.9%0.4%461.1K-21.8M-85.3K0.3019.981,08333020,20711,645
2011-08-03$24.28$20.0064.7%18.5%59.1%19.2%65.0%6.2%-0.1%483.1K-24.0M-87.1K0.2913.193,28894620,57611,699
2011-08-04$21.24$20.0083.5%24.0%77.8%35.1%84.4%6.9%-10.0%325.1K-11.6M-82.1K0.8414.721,9631,65220,99811,938
2011-08-05$20.39$22.5084.5%22.0%79.1%35.9%78.1%0.6%0.9%245.0K-8.2M-86.1K0.6132.992,5291,53921,19412,871
2011-08-08$19.08$22.50106.5%26.0%81.0%54.5%91.7%4.0%-6.1%165.3K-4.1M-80.8K0.5114.451,53177921,42213,024
2011-08-09$19.63$22.50102.9%24.9%81.2%51.4%88.6%4.9%-0.1%180.2K-4.6M-81.2K0.3827.441,94873222,09513,247
2011-08-10$21.31$22.5097.9%24.7%82.2%47.2%87.7%4.7%-2.4%297.9K-13.1M-89.3K0.4818.291,83187422,12513,274
2011-08-11$20.72$22.5087.8%25.2%82.5%38.7%88.5%6.3%-4.9%284.7K-10.9M-87.2K0.8819.1395183322,49413,383
2011-08-12$20.33$20.0083.1%23.8%82.3%34.7%83.8%4.0%-0.7%258.3K-8.4M-84.3K0.8516.5657548722,63313,727
2011-08-15$21.75$20.0076.0%21.8%80.6%28.7%75.6%6.0%2.2%394.9K-14.4M-82.2K0.1315.731,24816522,79613,901
2011-08-16$20.76$20.0076.4%21.9%81.3%30.1%76.6%2.2%1.2%321.4K-10.2M-79.6K0.2321.191,56235523,01113,942
2011-08-17$20.96$20.0073.6%21.1%79.4%27.6%71.9%3.1%1.7%352.4K-11.4M-81.0K0.3021.8180924023,72414,097
2011-08-18$20.67$20.0077.6%22.3%79.4%31.2%78.6%7.2%1.8%330.5K-10.0M-81.6K0.4720.6087641123,68514,040
2011-08-19$21.11$20.0080.4%23.0%79.7%40.6%79.6%3.5%0.6%227.4K-13.0M-81.3K0.2118.842,24347523,81414,110
2011-08-22$22.47$20.0077.9%22.3%83.5%38.0%77.8%7.0%3.2%221.1K-14.0M-81.1K0.1124.823,96742316,58510,995
2011-08-23$22.21$20.0075.4%21.6%83.5%35.3%76.2%7.7%4.2%236.8K-13.1M-79.3K0.1720.791,72130116,85011,163
2011-08-24$21.03$20.0077.6%22.2%82.0%37.6%77.5%6.5%0.0%210.8K-9.9M-79.3K0.6327.5398562317,62611,409
2011-08-25$21.77$20.0075.6%21.7%83.1%35.5%78.5%4.6%0.9%242.7K-12.3M-82.4K0.2219.771,69536517,94211,782
2011-08-26$22.57$20.0073.7%21.1%84.2%33.5%73.0%7.7%2.0%269.9K-14.3M-81.5K0.1938.4964211917,75711,858
2011-08-29$22.85$20.0070.1%20.1%84.3%29.7%67.4%7.8%3.3%315.4K-15.3M-78.6K0.2715.2998426718,01711,910
2011-08-30$24.19$20.0062.2%17.8%84.1%21.4%63.7%19.8%5.8%387.5K-20.6M-80.6K0.1511.521,18018118,31412,032
2011-08-31$24.01$20.0061.9%17.7%83.9%24.1%64.0%14.9%4.4%407.8K-19.6M-79.5K0.1512.491,57324018,53012,092