AG Options History — September 2011

In September 2011, AG traded between $15.21 and $24.38. ATM implied volatility averaged 73.8%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 21.1%. IV traded above realized volatility by 13.5% (HV 20d: 60.3%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.47.

Notable Days

  • 2011-09-22: Highest Volume — 7,178 contracts
  • 2011-09-06: Largest IV spike — 23.2% change
  • 2011-09-30: Highest IV Rank — 63.6%
  • 2011-09-30: Largest Expected Move — 25.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.09$15.21$24.38$23.93$15.21
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV73.8%59.4%87.8%61.1%87.8%
Expected Move21.1%17.0%25.2%17.5%25.2%
HV 20d60.3%53.8%67.6%67.6%59.6%
HV 60d69.3%66.8%71.5%71.5%70.5%
IV Rank39.9%21.1%63.6%23.2%63.6%
IV Percentile49.9%11.5%84.9%16.7%84.9%
Term Structure2.5%-2.3%7.8%5.5%1.3%
VWIV73.0%60.6%86.6%62.9%86.6%
Skew 25d6.2%2.2%18.2%15.9%3.7%
Skew 10d14.2%-14.5%38.6%31.4%-11.8%
Call IV 25d70.3%47.9%84.8%51.0%84.8%
Put IV 25d76.5%66.1%88.5%67.0%88.5%
Bid-Ask Spread %12.768.0921.6313.309.25
Gamma HHI0.220.160.310.280.21
Net GEX180.4K-63.2K445.4K401.2K-63.2K
Net DEX-6.9M-21.4M5.6M-19.7M5.6M
Net VEX-70.4K-80.1K-61.7K-80.1K-61.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.101.510.110.40
Total Volume2,125.5715577,178570879
Total OI32,631.28629,68235,71030,67335,710

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-09-01$23.93$20.0061.1%17.5%67.6%23.2%62.9%15.9%5.5%401.2K-19.7M-80.1K0.1113.305155518,55112,122
2011-09-02$24.38$20.0059.4%17.0%65.4%21.1%60.6%18.2%7.8%424.6K-21.4M-79.5K0.4810.6386941618,61812,176
2011-09-06$23.32$20.0073.2%21.0%62.5%37.7%72.9%6.4%1.6%378.2K-17.1M-75.6K0.1713.141,74829318,57212,276
2011-09-07$23.70$20.0068.1%20.3%62.2%31.6%70.2%5.7%3.2%426.4K-18.5M-75.2K0.3321.6341913818,82012,430
2011-09-08$23.71$20.0066.6%20.2%55.9%29.9%69.8%6.4%3.3%445.4K-19.0M-73.7K0.4320.771,01343318,85212,469
2011-09-09$22.66$20.0068.2%20.5%57.6%31.8%68.5%6.5%3.3%393.8K-14.8M-73.6K0.2113.481,90539719,33912,487
2011-09-12$20.89$20.0083.9%22.4%64.8%50.7%74.9%6.3%-2.3%216.9K-7.6M-67.8K0.4612.492,1801,00219,31412,636
2011-09-13$21.05$20.0074.3%21.2%60.0%39.2%72.2%3.4%-0.4%214.4K-8.3M-68.8K0.7813.531,4591,14519,70413,125
2011-09-14$20.52$20.0078.3%20.7%58.3%44.0%70.6%4.1%2.0%174.2K-6.4M-67.3K1.4410.751,5982,30019,87413,283
2011-09-15$20.05$20.0070.4%20.2%58.7%34.4%70.3%4.1%2.0%111.8K-4.6M-70.0K0.898.1871163320,34114,724
2011-09-16$20.39$20.0068.0%19.5%58.9%31.5%67.4%4.2%5.4%121.0K-6.4M-71.4K0.338.091,03434420,49914,957
2011-09-19$20.33$20.0069.6%19.9%58.4%33.4%68.5%5.9%2.7%174.3K-6.3M-70.3K0.1510.362,27333216,63313,049
2011-09-20$20.69$20.0067.6%19.4%53.8%31.0%67.8%2.9%4.6%199.5K-7.9M-70.8K0.2011.931,63333016,81313,129
2011-09-21$20.11$20.0069.2%19.8%54.5%32.9%66.5%2.2%4.5%175.8K-6.3M-70.2K0.1012.831,44914217,19313,278
2011-09-22$18.26$20.0076.3%21.9%61.1%41.5%78.2%4.9%3.4%78.5K-1.6M-65.4K1.5110.302,8574,32117,62213,242
2011-09-23$16.93$20.0082.6%23.7%63.6%49.1%83.5%3.0%1.1%6.3K1.8M-71.2K0.6114.911,8011,09618,55715,328
2011-09-26$16.88$20.0081.6%23.4%61.1%47.9%82.2%6.2%1.5%-7872.1M-70.3K0.2713.201,92952018,88015,674
2011-09-27$17.24$20.0078.5%22.5%61.7%50.7%78.6%6.4%-0.1%15.7K1.2M-70.0K0.2815.351,05929818,81815,808
2011-09-28$15.90$20.0082.3%23.6%60.1%56.1%81.2%5.4%2.9%-44.7K4.4M-63.9K0.2811.371,08530819,06015,880
2011-09-29$15.66$20.0083.3%23.9%59.9%57.5%80.5%7.8%-1.0%-61.3K5.3M-62.2K0.5412.501,11760119,42715,987
2011-09-30$15.21$20.0087.8%25.2%59.6%63.6%86.6%3.7%1.3%-63.2K5.6M-61.7K0.409.2562725219,68016,030