AG Options History — March 2012

In March 2012, AG traded between $15.99 and $20.81. ATM implied volatility averaged 42.4%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 9.7% (HV 20d: 52.2%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.79.

Notable Days

  • 2012-03-07: Highest Volume — 5,636 contracts
  • 2012-03-13: Largest IV spike — 45.2% change
  • 2012-03-15: Highest IV Rank — 25.5%
  • 2012-03-06: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.68$15.99$20.81$20.81$16.58
Max Pain$19.43$17.50$20.00$20.00$17.50
ATM IV42.4%24.9%51.7%45.7%41.4%
Expected Move12.7%11.6%14.4%13.1%11.9%
HV 20d52.2%42.4%58.4%42.4%49.7%
HV 60d48.3%45.4%54.1%51.2%45.7%
IV Rank15.8%0.0%25.5%7.2%20.2%
IV Percentile4.7%0.0%16.7%5.2%2.8%
Term Structure2.9%-1.1%6.3%-1.1%6.3%
VWIV43.6%37.1%49.8%41.4%41.6%
Skew 25d1.5%-7.4%12.7%-0.5%7.1%
Skew 10d1.8%-11.9%19.0%0.7%16.9%
Call IV 25d43.4%33.6%48.9%42.3%37.4%
Put IV 25d44.9%36.8%50.9%41.7%44.4%
Bid-Ask Spread %10.756.9019.6510.089.77
Gamma HHI0.310.250.450.330.27
Net GEX145.3K-9.3K405.8K311.4K77.2K
Net DEX-443.4K-11.8M4.4M-11.8M1.8M
Net VEX-104.0K-124.5K-90.8K-121.7K-100.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.036.230.460.33
Total Volume1,340.8643465,6361,099374
Total OI36,206.27333,10041,27433,15037,507

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-03-01$20.81$20.0045.7%13.1%42.4%7.2%41.4%-0.5%-1.1%311.4K-11.8M-121.7K0.4610.0875534419,43013,720
2012-03-02$20.28$20.0044.7%12.8%43.3%5.7%44.1%-7.4%1.3%283.2K-8.8M-118.5K0.7513.9630823219,24913,851
2012-03-05$19.38$20.0043.4%13.0%45.6%3.7%45.0%1.5%2.0%236.2K-4.3M-111.2K0.6419.6576449219,35413,993
2012-03-06$18.20$20.0051.7%14.4%50.5%16.4%49.8%2.0%-0.1%115.0K457.2K-104.3K1.359.701,1951,61619,52214,107
2012-03-07$18.32$20.0048.0%13.5%50.4%10.8%44.9%2.3%2.6%74.8K389.3K-104.8K0.109.135,13749919,46514,846
2012-03-08$18.73$20.0046.2%13.4%50.8%7.9%45.9%0.7%2.3%405.8K-6.0M-124.5K0.2710.1846012526,24615,028
2012-03-09$19.15$20.0039.0%12.4%51.2%0.0%43.5%2.7%3.6%375.1K-5.9M-121.3K0.969.7128026923,55715,099
2012-03-12$18.50$20.0024.9%13.3%52.5%0.0%46.3%-0.2%1.9%225.4K-2.5M-112.2K0.6114.6754233023,61615,248
2012-03-13$18.39$20.0036.2%13.0%52.4%13.8%43.8%0.7%2.7%197.7K-1.7M-111.3K1.4115.6516523323,70715,259
2012-03-14$17.07$20.0040.2%13.0%58.3%18.8%46.0%0.0%2.2%-9.3K3.9M-101.4K1.997.236481,29123,77415,295
2012-03-15$17.24$20.0045.7%13.1%58.4%25.5%45.8%2.5%1.7%6802.9M-102.2K0.239.781,00423323,80214,913
2012-03-16$16.93$20.0042.6%12.2%56.8%21.8%44.1%-0.9%3.9%56.0K4.3M-98.8K0.2810.8474321024,17814,966
2012-03-19$16.73$20.0041.8%12.0%56.6%20.7%42.0%1.8%3.6%73.5K3.3M-94.3K0.1414.8071810120,74813,332
2012-03-20$16.86$20.0041.2%11.8%56.1%20.0%40.9%2.4%5.3%84.2K3.2M-92.7K0.1010.361,21611620,91713,419
2012-03-21$16.69$20.0042.3%12.1%54.5%21.3%42.9%1.4%3.3%106.7K2.7M-95.5K0.038.109983321,72313,432
2012-03-22$16.16$20.0044.6%12.8%54.1%24.2%41.2%2.6%3.3%60.2K4.4M-90.8K0.258.6964316021,98113,459
2012-03-23$16.88$20.0042.5%12.2%57.7%21.6%37.1%12.7%3.2%131.2K2.2M-95.5K0.5010.161,09355122,19213,420
2012-03-26$17.08$17.5040.5%11.6%58.2%19.2%41.6%-1.0%4.0%167.4K-3.3M-97.5K0.1410.7293313522,64511,026
2012-03-27$16.69$17.5044.0%12.6%50.8%23.4%44.0%-1.0%2.2%136.0K-2.1M-96.1K6.239.454332,69623,10211,081
2012-03-28$15.99$17.5044.6%12.8%48.7%24.2%44.3%-0.7%4.2%30.5K4.0M-93.8K0.206.9089618223,25413,649
2012-03-29$16.31$17.5042.1%12.1%49.0%21.1%43.2%3.5%5.4%57.0K2.8M-98.2K0.456.9323810823,67013,756
2012-03-30$16.58$17.5041.4%11.9%49.7%20.2%41.6%7.1%6.3%77.2K1.8M-100.8K0.339.772819323,70513,802