AG Options History — October 2011

In October 2011, AG traded between $14.17 and $18.21. ATM implied volatility averaged 76.1%, placing in the 52.1% IV rank vs the trailing year. The 30-day expected move averaged 22.1%. IV traded above realized volatility by 1.3% (HV 20d: 74.7%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.40.

Notable Days

  • 2011-10-04: Highest Volume — 2,723 contracts
  • 2011-10-13: Largest IV spike — 9.4% change
  • 2011-10-03: Highest IV Rank — 66.8%
  • 2011-10-03: Largest Expected Move — 25.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.41$14.17$18.21$14.90$17.01
Max Pain$17.50$15.00$20.00$20.00$17.50
ATM IV76.1%64.8%90.0%90.0%70.7%
Expected Move22.1%18.6%25.8%25.8%20.3%
HV 20d74.7%57.6%82.5%57.6%75.9%
HV 60d72.5%69.3%74.7%70.5%70.0%
IV Rank52.1%35.5%66.8%66.8%44.6%
IV Percentile57.6%27.8%86.9%86.9%41.3%
Term Structure0.5%-2.6%5.3%-0.3%-0.5%
VWIV76.8%62.4%90.3%88.1%70.9%
Skew 25d4.9%3.2%6.7%3.2%3.3%
Skew 10d5.8%-14.2%25.8%-6.6%-14.2%
Call IV 25d75.8%60.8%90.0%90.0%70.4%
Put IV 25d80.7%66.3%93.2%93.2%73.6%
Bid-Ask Spread %19.249.3939.479.3910.78
Gamma HHI0.270.210.470.220.22
Net GEX-1.0K-108.1K123.4K-79.8K85.4K
Net DEX1.2M-5.7M8.1M6.3M-2.8M
Net VEX-69.0K-77.3K-53.2K-57.8K-70.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.101.270.870.58
Total Volume1,229.7145552,723777786
Total OI34,960.09522,86341,10035,94426,426

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-10-03$14.90$20.0090.0%25.8%57.6%66.8%88.1%3.2%-0.3%-79.8K6.3M-57.8K0.879.3941536219,88416,060
2011-10-04$14.17$20.0087.8%25.2%57.9%63.7%90.3%5.6%0.9%-108.1K8.1M-53.2K0.4216.021,92280120,06616,180
2011-10-05$15.63$20.0084.6%24.3%71.3%64.4%83.9%5.9%3.9%-64.7K4.5M-63.8K0.3912.7175429520,47216,224
2011-10-06$16.73$20.0077.3%22.2%77.7%54.7%78.8%5.4%5.3%-1.6K1.4M-70.1K0.219.601,49831720,86316,313
2011-10-07$15.95$17.5081.6%23.9%77.8%61.5%83.0%5.1%-1.5%-38.9K3.3M-68.5K0.3639.471,58356621,53716,515
2011-10-10$16.73$17.5075.7%23.0%77.3%52.2%80.4%4.8%-0.1%15.5K811.8K-75.7K0.3626.3061822022,27916,837
2011-10-11$16.98$17.5074.3%23.0%77.6%50.2%81.4%5.6%0.1%25.2K132.6K-77.3K0.1031.896596322,43316,970
2011-10-12$17.07$17.5069.6%21.9%77.6%42.8%77.0%4.9%1.5%27.9K70.0K-76.2K0.3317.5895231822,63917,026
2011-10-13$16.55$17.5076.1%21.8%77.8%52.9%77.6%4.8%0.9%-151.7M-73.4K0.1116.941,01611022,89517,154
2011-10-14$16.88$17.5074.0%21.2%77.9%49.6%73.1%5.7%2.4%30.8K529.6K-74.1K0.1313.434936223,19417,038
2011-10-17$16.11$17.5079.2%22.7%79.0%57.7%77.6%5.1%-0.6%-25.5K3.1M-68.2K0.3313.7449016123,26017,023
2011-10-18$16.63$17.5074.9%21.5%79.8%51.1%75.1%4.3%1.1%5.7K1.6M-70.6K0.2815.3662617623,41617,067
2011-10-19$15.48$17.5078.5%22.5%82.5%56.6%78.1%4.5%0.1%-58.3K4.6M-64.3K0.9021.1937633823,50817,022
2011-10-20$15.19$17.5081.0%23.2%76.5%60.6%80.6%5.2%-2.6%-90.2K5.1M-63.3K1.2720.8657873523,68617,178
2011-10-21$15.34$15.0077.4%22.2%72.6%54.9%73.8%6.7%-0.2%-102.8K4.2M-62.5K0.7926.3450539823,80417,296
2011-10-24$16.43$15.0070.7%20.3%77.1%44.6%71.4%3.2%-0.4%15.2K-740.0K-65.9K0.3027.391,15834613,0089,855
2011-10-25$17.05$15.0071.3%20.4%78.0%45.5%71.2%5.0%-1.8%39.7K-2.1M-69.9K0.1625.211,23219313,59810,119
2011-10-26$17.47$15.0070.6%20.3%72.3%44.5%70.7%4.0%0.7%74.8K-3.5M-72.3K0.3616.9692333014,31110,231
2011-10-27$18.21$17.5067.3%19.3%73.0%39.2%66.8%6.1%-0.7%104.2K-5.5M-75.1K0.1416.631,70724214,63210,356
2011-10-28$18.15$17.5064.8%18.6%71.9%35.5%62.4%5.4%3.0%123.4K-5.7M-75.9K0.1016.231,36613415,33010,457
2011-10-31$17.01$17.5070.7%20.3%75.9%44.6%70.9%3.3%-0.5%85.4K-2.8M-70.5K0.5810.7849629015,92110,505