AG Options History — May 2012

In May 2012, AG traded between $12.40 and $16.05. ATM implied volatility averaged 55.5%, placing in the 37.6% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 3.8% (HV 20d: 51.8%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.57.

Notable Days

  • 2012-05-15: Highest Volume — 5,527 contracts
  • 2012-05-14: Largest IV spike — 12.4% change
  • 2012-05-17: Highest IV Rank — 49.1%
  • 2012-05-17: Largest Expected Move — 18.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.27$12.40$16.05$16.05$13.80
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV55.5%47.5%64.9%47.5%56.2%
Expected Move15.7%13.6%18.6%13.6%16.1%
HV 20d51.8%38.4%60.2%44.5%58.9%
HV 60d49.7%45.9%54.0%45.9%49.2%
IV Rank37.6%27.6%49.1%27.6%38.4%
IV Percentile41.0%20.2%68.3%20.2%44.0%
Term Structure0.1%-3.0%2.6%-0.9%0.0%
VWIV55.1%44.8%65.0%44.8%58.9%
Skew 25d4.5%-9.6%15.3%2.4%6.3%
Skew 10d10.2%-15.8%41.2%3.6%13.2%
Call IV 25d53.1%44.5%65.4%44.5%56.0%
Put IV 25d57.6%42.3%68.2%47.0%62.3%
Bid-Ask Spread %9.675.5517.939.199.23
Gamma HHI0.200.160.260.230.17
Net GEX34.1K-9.5K75.8K75.8K47.5K
Net DEX-658.9K-3.4M3.9M-3.4M-1.1M
Net VEX-82.2K-92.0K-62.9K-86.0K-85.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.091.551.550.66
Total Volume1,157.7732585,527671258
Total OI26,847.81823,50630,66023,50628,703

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-05-01$16.05$15.0047.5%13.6%44.5%27.6%44.8%2.4%-0.9%75.8K-3.4M-86.0K1.559.1926340815,3928,114
2012-05-02$15.65$15.0048.4%13.9%44.3%28.8%48.4%-2.6%0.2%50.0K-2.0M-84.1K0.477.2644120715,4488,371
2012-05-03$15.05$15.0049.7%14.3%43.8%30.4%49.3%-9.6%-1.1%30.7K-581.5K-80.9K0.936.1348245015,6328,513
2012-05-04$15.38$15.0049.5%13.6%44.6%30.1%47.4%3.9%0.4%45.6K-1.5M-83.8K1.4817.9346669015,8618,590
2012-05-07$14.73$15.0055.0%14.9%46.9%36.8%51.6%3.0%-1.4%13.0K-64.8K-80.7K0.649.2285354515,9108,915
2012-05-08$14.68$15.0055.7%14.7%46.9%37.7%54.1%2.0%-0.7%10.7K193.3K-79.6K0.418.6887236116,0549,005
2012-05-09$14.67$15.0056.9%14.9%46.8%39.2%52.2%3.5%-1.2%16.8K-131.9K-81.0K0.2911.281,04630116,4649,183
2012-05-10$14.76$15.0050.7%14.5%40.3%31.7%51.0%1.8%0.0%21.1K-467.6K-82.3K0.3611.8153519316,9289,306
2012-05-11$14.73$15.0049.4%14.2%38.4%30.0%49.4%2.8%0.9%24.8K-453.1K-82.3K0.4410.0629713217,1079,356
2012-05-14$14.02$15.0055.5%15.9%41.4%37.5%56.0%4.0%-3.0%9.4K1.5M-76.4K0.2813.0566818917,2449,390
2012-05-15$12.50$15.0061.9%17.7%55.4%45.3%61.3%4.7%-1.7%-9.5K3.9M-62.9K0.7712.293,1152,41217,3159,427
2012-05-16$12.40$15.0062.1%17.8%55.3%45.6%64.6%0.1%-0.5%29.3K3.2M-68.0K0.4910.731,17257319,16310,402
2012-05-17$12.82$15.0064.9%18.6%56.7%49.1%65.0%2.8%-0.5%22.4K1.8M-74.8K0.499.5898948819,29310,559
2012-05-18$13.22$15.0063.6%18.2%58.4%47.4%62.9%5.2%0.2%22.3K555.5K-78.9K0.4312.871,19351819,88910,771
2012-05-21$13.89$15.0056.9%16.3%60.1%39.2%58.1%6.5%2.6%29.9K-1.4M-85.8K0.115.555286017,1749,676
2012-05-22$13.75$15.0060.3%17.3%60.1%43.3%57.0%9.2%1.7%26.8K-1.0M-84.6K0.196.731,03020017,3039,699
2012-05-23$14.30$15.0056.3%16.1%60.2%38.5%56.2%15.3%1.3%53.7K-2.6M-88.4K1.207.4158069417,7019,639
2012-05-24$14.38$15.0055.4%15.9%59.4%37.3%56.7%4.9%1.5%54.2K-2.8M-91.3K0.429.3339616517,91910,042
2012-05-25$14.45$15.0054.0%15.5%59.5%35.7%54.8%4.1%2.4%54.6K-2.9M-92.0K0.546.5038520617,97210,105
2012-05-29$14.44$15.0055.7%16.0%59.1%37.8%55.9%15.3%0.4%57.5K-2.9M-90.7K0.099.556425718,18410,163
2012-05-30$14.24$15.0056.5%16.2%58.6%38.8%57.3%13.5%1.9%64.2K-2.2M-88.1K0.238.303337818,56810,202
2012-05-31$13.80$15.0056.2%16.1%58.9%38.4%58.9%6.3%0.0%47.5K-1.1M-85.0K0.669.2315510318,46110,242