AG Options History — November 2011

In November 2011, AG traded between $14.09 and $18.46. ATM implied volatility averaged 66.4%, placing in the 37.8% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded above realized volatility by 3.4% (HV 20d: 63.0%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.26.

Notable Days

  • 2011-11-22: Highest Volume — 5,788 contracts
  • 2011-11-30: Largest IV drop — 9.1% change
  • 2011-11-01: Highest IV Rank — 52.5%
  • 2011-11-01: Largest Expected Move — 21.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.30$14.09$18.46$16.80$16.28
Max Pain$16.19$12.50$17.50$17.50$12.50
ATM IV66.4%58.3%75.8%75.8%58.3%
Expected Move18.9%16.7%21.7%21.7%16.7%
HV 20d63.0%57.6%73.3%73.3%68.3%
HV 60d66.9%65.6%69.4%68.8%69.4%
IV Rank37.8%25.3%52.5%52.5%25.3%
IV Percentile31.8%10.3%60.3%60.3%10.3%
Term Structure0.7%-2.7%3.7%-2.4%1.4%
VWIV65.7%59.0%71.7%71.7%59.0%
Skew 25d5.7%2.0%11.3%4.8%2.0%
Skew 10d10.9%-18.0%36.7%-1.5%-18.0%
Call IV 25d64.1%59.9%72.9%72.9%59.9%
Put IV 25d69.8%61.8%77.6%77.6%61.8%
Bid-Ask Spread %17.227.7829.9610.887.78
Gamma HHI0.290.200.830.220.20
Net GEX131.0K-65.3K926.6K74.6K132.8K
Net DEX-2.6M-9.9M3.6M-2.1M-9.9M
Net VEX-67.6K-74.7K-53.1K-70.5K-73.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.260.060.950.140.25
Total Volume1,726.0485475,7889152,016
Total OI28,966.76224,00133,51826,77033,518

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-11-01$16.80$17.5075.8%21.7%73.3%52.5%71.7%4.8%-2.4%74.6K-2.1M-70.5K0.1410.8880111416,08610,684
2011-11-02$17.54$17.5072.1%20.7%66.7%46.7%71.4%4.8%-2.7%109.3K-4.1M-73.2K0.1411.701,03114516,26310,685
2011-11-03$18.27$17.5071.9%20.6%64.0%46.3%69.4%11.3%-1.9%143.9K-6.1M-74.5K0.0613.791,4949616,27410,747
2011-11-04$17.81$17.5070.3%19.4%62.0%44.0%66.2%4.1%-0.1%123.1K-4.7M-73.5K0.1227.9698811516,25510,814
2011-11-07$18.46$17.5073.1%19.4%61.1%48.3%65.1%5.1%0.1%163.2K-6.6M-74.7K0.1529.9689513616,44710,900
2011-11-08$18.24$17.5071.5%19.5%61.2%45.8%66.5%6.3%0.1%164.6K-6.5M-74.0K0.2918.251,05330316,73910,933
2011-11-09$17.04$17.5067.8%19.4%66.3%40.1%67.3%4.4%0.3%79.4K-2.6M-70.2K0.7717.4383764516,85111,043
2011-11-10$16.95$17.5064.9%18.6%65.3%35.6%67.2%6.2%0.8%92.2K-2.1M-71.0K0.3619.7989532117,09111,199
2011-11-11$17.27$17.5064.2%18.4%65.3%34.5%62.9%4.9%1.0%100.4K-3.4M-71.4K0.2918.7242312417,12911,349
2011-11-14$16.75$17.5065.9%18.9%64.0%37.2%64.7%4.2%0.4%71.7K-1.6M-68.1K0.1821.1459710717,40011,292
2011-11-15$16.42$17.5062.7%18.0%63.4%32.2%63.4%3.9%2.3%46.0K-418.8K-65.0K0.1515.601,86928617,45611,363
2011-11-16$16.36$17.5063.1%18.1%57.6%32.8%64.6%5.9%1.3%15.1K-1.1M-63.4K0.1418.111,37019218,25711,440
2011-11-17$15.25$17.5067.7%19.4%62.8%40.0%65.9%8.5%0.0%225.2K741.9K-59.4K0.1911.812,75353219,40811,431
2011-11-18$15.15$17.5064.0%18.4%62.8%34.2%63.9%5.5%1.6%926.6K-1.8M-58.5K0.9522.1873469621,07111,454
2011-11-21$14.55$17.5065.1%18.7%58.6%35.8%65.1%6.9%0.1%-65.3K3.6M-53.1K0.259.011,65642113,76910,232
2011-11-22$15.16$15.0061.8%17.7%59.0%30.7%64.9%7.2%3.7%-44.7K2.0M-59.4K0.1611.804,97781114,59510,547
2011-11-23$14.23$12.5063.1%18.1%61.2%32.8%67.0%7.1%2.4%43.5K375.2K-62.2K0.1323.893,18940118,59310,811
2011-11-25$14.09$12.5063.6%18.2%58.1%33.5%66.5%6.1%2.4%98.8K-902.3K-65.5K0.1225.531,14413821,01711,146
2011-11-28$14.84$12.5062.3%17.9%62.4%31.5%62.9%5.3%1.9%127.0K-3.8M-69.4K0.2811.8383323021,69011,197
2011-11-29$14.87$12.5064.1%18.4%59.1%34.4%64.7%4.9%1.4%123.9K-4.1M-69.0K0.3314.4766121821,90611,220
2011-11-30$16.28$12.5058.3%16.7%68.3%25.3%59.0%2.0%1.4%132.8K-9.9M-73.7K0.257.781,61240422,15311,365