AG Options History — December 2011

In December 2011, AG traded between $14.63 and $17.54. ATM implied volatility averaged 57.8%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded below realized volatility by 11.8% (HV 20d: 69.6%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.28.

Notable Days

  • 2011-12-16: Highest Volume — 8,263 contracts
  • 2011-12-09: Largest IV drop — 23.2% change
  • 2011-12-08: Highest IV Rank — 39.1%
  • 2011-12-15: Largest Expected Move — 18.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.62$14.63$17.54$16.73$16.84
Max Pain$17.02$12.50$17.50$12.50$17.50
ATM IV57.8%51.5%67.2%54.9%54.9%
Expected Move16.7%15.3%18.7%15.7%15.7%
HV 20d69.6%61.3%78.7%67.2%65.5%
HV 60d69.4%65.6%73.3%69.6%65.6%
IV Rank24.6%14.9%39.1%20.1%20.1%
IV Percentile14.1%2.4%39.7%6.7%8.7%
Term Structure5.0%1.5%7.0%4.5%5.9%
VWIV58.8%53.2%64.5%57.0%56.5%
Skew 25d4.7%1.4%13.6%12.0%2.8%
Skew 10d8.5%-13.9%27.9%17.5%-2.3%
Call IV 25d56.8%47.3%63.8%47.9%57.0%
Put IV 25d61.5%56.8%66.8%59.9%59.8%
Bid-Ask Spread %13.226.9423.968.3112.86
Gamma HHI0.280.220.330.220.33
Net GEX142.9K32.8K263.7K154.3K226.5K
Net DEX-7.7M-11.7M726.5K-11.7M-8.6M
Net VEX-83.8K-102.7K-62.5K-75.4K-96.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.020.680.090.02
Total Volume2,039.4293808,2634,028581
Total OI34,310.95232,03336,26833,98636,268

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-12-01$16.73$12.5054.9%15.7%67.2%20.1%57.0%12.0%4.5%154.3K-11.7M-75.4K0.098.313,68134722,42411,562
2011-12-02$16.66$12.5054.4%15.6%65.2%19.2%59.2%13.6%4.5%112.9K-9.0M-75.1K0.158.182,40535321,17111,737
2011-12-05$16.75$17.5057.5%16.9%64.8%24.1%60.4%5.1%5.7%110.3K-8.1M-72.6K0.2522.0080820020,46311,582
2011-12-06$16.80$17.5057.6%16.8%63.2%24.2%59.3%4.3%6.2%104.9K-8.1M-70.8K0.1010.801,54415820,36211,671
2011-12-07$16.56$17.5056.9%16.8%63.3%23.1%58.8%4.4%6.7%94.6K-7.5M-70.9K0.6215.4344027120,76111,698
2011-12-08$15.73$17.5067.2%18.1%61.3%39.1%61.4%5.8%5.1%74.1K-4.4M-68.8K0.1720.852,20636720,95411,869
2011-12-09$16.81$17.5051.5%17.1%66.2%14.9%59.5%3.5%4.7%129.2K-9.2M-73.0K0.3111.611,65050921,75812,064
2011-12-12$16.30$17.5059.4%17.2%66.6%27.1%60.2%6.3%5.8%79.0K-6.2M-70.2K0.4123.9697840221,69412,347
2011-12-13$15.45$17.5061.4%17.9%68.4%30.2%60.6%4.3%4.6%48.3K-2.7M-66.4K0.5711.1948927721,66212,510
2011-12-14$14.63$17.5066.2%18.5%70.5%37.5%64.5%3.0%4.3%32.8K726.5K-62.5K0.2123.403,12164721,73912,518
2011-12-15$16.05$17.5065.2%18.7%78.7%36.1%63.4%3.2%1.5%47.2K-4.7M-69.1K0.1612.564,88177821,29712,270
2011-12-16$17.09$17.5060.3%17.3%77.3%28.4%59.9%1.4%7.0%123.1K-10.0M-91.6K0.1013.717,53472923,80612,429
2011-12-19$16.66$17.5058.7%16.8%78.0%25.9%59.6%4.4%4.0%133.6K-7.0M-98.9K0.3314.981,45948222,29111,488
2011-12-20$17.30$17.5055.8%16.0%76.9%21.5%56.2%3.7%4.7%196.2K-9.7M-101.3K0.157.641,04016022,47411,739
2011-12-21$17.53$17.5054.7%15.7%76.0%19.7%54.8%5.2%5.4%234.1K-11.0M-102.1K0.686.9472248822,98111,769
2011-12-22$17.46$17.5055.6%16.0%71.5%21.2%55.8%3.3%4.8%243.9K-10.9M-102.7K0.147.225718023,39912,051
2011-12-23$17.54$17.5053.3%15.3%71.1%17.6%53.2%4.3%5.3%263.7K-11.4M-102.4K0.5314.4924813223,62712,087
2011-12-27$17.14$17.5054.6%15.6%70.4%19.6%58.7%4.3%5.8%237.4K-9.6M-98.9K0.158.014446823,76812,131
2011-12-28$16.34$17.5057.0%16.3%73.1%23.3%57.3%2.7%4.6%147.3K-5.7M-95.0K0.6212.8968442323,75812,141
2011-12-29$16.75$17.5057.1%16.4%66.2%23.5%58.1%2.1%3.9%208.5K-8.0M-96.2K0.1710.684036824,11712,093
2011-12-30$16.84$17.5054.9%15.7%65.5%20.1%56.5%2.8%5.9%226.5K-8.6M-96.7K0.0212.865701124,25812,010