AG Options History — February 2012

In February 2012, AG traded between $19.09 and $21.77. ATM implied volatility averaged 44.7%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 4.5% (HV 20d: 40.1%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.43.

Notable Days

  • 2012-02-29: Highest Volume — 5,166 contracts
  • 2012-02-09: Largest IV spike — 10.9% change
  • 2012-02-01: Highest IV Rank — 8.9%
  • 2012-02-06: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.03$19.09$21.77$20.67$20.46
Max Pain$19.75$17.50$20.00$17.50$20.00
ATM IV44.7%41.0%47.7%47.7%45.9%
Expected Move13.2%11.8%14.5%13.7%13.2%
HV 20d40.1%26.4%44.5%41.2%41.9%
HV 60d54.7%49.5%58.8%58.8%51.1%
IV Rank4.5%0.0%8.9%8.9%7.6%
IV Percentile2.0%0.0%5.6%2.8%5.6%
Term Structure1.7%-0.4%4.9%4.4%0.8%
VWIV45.8%40.5%50.6%47.2%45.8%
Skew 25d2.6%-10.2%5.5%5.5%-7.7%
Skew 10d4.7%-12.1%16.5%16.2%-7.6%
Call IV 25d44.6%37.8%49.0%44.1%46.0%
Put IV 25d47.2%35.1%52.9%49.6%38.3%
Bid-Ask Spread %10.207.1515.6710.109.37
Gamma HHI0.320.250.620.280.27
Net GEX388.6K261.5K913.0K381.4K366.8K
Net DEX-13.1M-20.4M-8.9M-16.2M-15.0M
Net VEX-112.9K-116.1K-106.8K-116.1K-114.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.031.930.461.93
Total Volume1,299.152695,1668345,166
Total OI29,495.1527,52233,64927,88929,795

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-02-01$20.67$17.5047.7%13.7%41.2%8.9%47.2%5.5%4.4%381.4K-16.2M-116.1K0.4610.1057326118,0029,887
2012-02-02$20.46$17.5045.8%13.1%41.7%6.0%46.0%5.4%4.9%381.3K-15.4M-116.0K0.2811.2394226618,0279,821
2012-02-03$20.04$20.0043.9%14.4%42.6%3.0%49.9%3.7%0.7%362.7K-13.4M-114.9K0.3511.5268124018,44410,001
2012-02-06$19.91$20.0044.8%14.5%42.7%4.3%50.6%4.5%0.8%362.0K-12.8M-114.0K0.3913.852309018,58210,103
2012-02-07$20.12$20.0043.7%14.5%42.7%2.7%50.3%3.2%0.2%396.5K-13.9M-113.8K0.279.9561116718,53810,143
2012-02-08$19.67$20.0042.8%13.7%43.8%1.3%47.7%5.5%2.2%366.7K-12.0M-112.6K0.1213.466397718,89610,249
2012-02-09$19.33$20.0047.5%13.6%44.3%8.6%47.3%3.7%1.5%329.2K-10.5M-108.4K0.647.6092759418,75310,293
2012-02-10$19.12$20.0047.3%13.6%44.5%8.4%48.7%4.0%2.3%282.4K-9.2M-110.3K0.3013.8548114219,20810,793
2012-02-13$19.26$20.0047.3%13.6%41.8%8.3%47.1%5.1%1.1%339.0K-9.6M-109.2K0.287.5071619719,27610,909
2012-02-14$19.09$20.0047.3%13.6%41.6%8.3%47.0%1.6%1.1%331.2K-8.9M-108.8K0.258.1656414019,82610,977
2012-02-15$19.26$20.0045.2%13.0%41.6%5.0%44.9%4.2%1.7%309.8K-9.2M-106.8K0.4010.491,62265320,00011,024
2012-02-16$19.89$20.0046.0%13.2%41.6%6.2%45.9%3.8%1.6%913.0K-13.8M-116.1K0.038.581,4933821,06411,489
2012-02-17$19.51$20.0044.1%12.6%42.4%3.3%44.1%2.5%2.4%567.8K-11.5M-114.1K0.2010.6761912622,14211,507
2012-02-21$19.86$20.0042.5%12.2%42.3%0.8%42.6%2.6%1.7%261.5K-11.4M-110.5K0.3211.181,14536117,40710,115
2012-02-22$20.43$20.0042.2%12.1%41.5%0.4%41.5%3.3%1.7%327.7K-14.1M-113.4K0.5115.6773137517,97410,248
2012-02-23$20.75$20.0041.7%12.0%31.3%0.0%40.7%3.6%2.1%360.9K-15.7M-115.1K0.357.1593432518,32510,449
2012-02-24$20.58$20.0041.0%11.8%31.0%0.0%40.5%5.3%2.0%365.1K-15.3M-114.5K0.767.8166050118,50510,476
2012-02-27$20.34$20.0044.3%12.7%26.4%5.0%44.9%-10.2%-0.4%350.1K-14.0M-112.9K0.608.6916810118,64310,634
2012-02-28$21.77$20.0042.7%12.2%35.6%2.6%44.1%3.1%0.7%416.4K-20.4M-115.1K0.167.202,08634118,69110,687
2012-02-29$20.46$20.0045.9%13.2%41.9%7.6%45.8%-7.7%0.8%366.8K-15.0M-114.9K1.939.371,7653,40119,06510,730