AG Options History — June 2012

In June 2012, AG traded between $13.84 and $16.29. ATM implied volatility averaged 48.8%, placing in the 29.2% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded below realized volatility by 4.8% (HV 20d: 53.5%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2012-06-20: Highest Volume — 2,523 contracts
  • 2012-06-14: Largest IV spike — 79.7% change
  • 2012-06-04: Highest IV Rank — 40.6%
  • 2012-06-06: Largest Expected Move — 16.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.18$13.84$16.29$14.73$14.45
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV48.8%31.4%58.0%55.5%43.6%
Expected Move14.9%12.2%16.8%15.9%12.5%
HV 20d53.5%41.9%64.2%62.7%49.4%
HV 60d51.0%49.7%52.1%51.2%51.7%
IV Rank29.2%8.0%40.6%37.5%23.0%
IV Percentile26.5%0.4%50.0%41.7%9.5%
Term Structure4.0%-0.7%8.0%2.7%6.9%
VWIV52.1%44.7%59.7%55.5%45.2%
Skew 25d5.7%-1.1%22.1%22.1%10.3%
Skew 10d13.1%-5.1%77.3%36.4%20.0%
Call IV 25d48.7%36.9%55.6%40.1%36.9%
Put IV 25d54.4%43.3%63.6%62.2%47.2%
Bid-Ask Spread %10.055.9617.0614.0815.34
Gamma HHI0.210.190.260.190.21
Net GEX80.7K24.1K141.3K84.8K35.1K
Net DEX-5.0M-9.3M-202.8K-3.7M-1.7M
Net VEX-89.8K-96.9K-75.0K-91.8K-78.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.164.380.190.18
Total Volume1,107.1432782,5231,0522,176
Total OI29,354.61927,97031,00328,79429,372

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-06-01$14.73$15.0055.5%15.9%62.7%37.5%55.5%22.1%2.7%84.8K-3.7M-91.8K0.1914.0888316918,53310,261
2012-06-04$14.72$15.0058.0%16.8%62.2%40.6%59.7%8.3%0.5%88.8K-3.6M-91.4K0.4413.7861827218,87010,269
2012-06-05$15.10$15.0057.4%16.6%60.9%39.8%57.5%6.5%0.6%112.8K-5.0M-92.8K0.3310.1260919919,02510,403
2012-06-06$15.77$15.0056.4%16.8%62.7%38.6%56.5%5.2%-0.7%141.3K-7.6M-96.9K0.328.391,22739219,02310,384
2012-06-07$15.38$15.0051.4%16.2%63.5%32.5%55.8%4.9%1.6%128.6K-6.1M-95.3K0.5910.6051330318,94310,651
2012-06-08$15.60$15.0048.1%16.1%63.6%28.4%57.9%5.3%1.6%137.3K-6.7M-95.0K1.109.4730133219,06610,740
2012-06-11$15.25$15.0054.7%15.9%64.2%36.6%57.7%4.3%1.8%139.7K-5.5M-91.7K0.847.1648340819,07310,642
2012-06-12$16.06$15.0033.4%15.8%63.6%10.4%54.6%5.0%3.9%82.0K-8.6M-94.0K0.2210.931,75938819,10310,719
2012-06-13$15.98$15.0031.4%16.3%45.0%8.0%54.5%4.8%2.5%83.2K-9.3M-94.9K0.2310.9495221519,49610,583
2012-06-14$15.79$15.0056.5%16.2%45.2%38.8%56.0%3.4%3.6%100.3K-8.6M-96.2K0.3513.6698334119,76010,577
2012-06-15$15.74$15.0052.9%15.2%44.8%34.3%52.6%3.5%4.3%88.1K-8.4M-95.2K0.249.131,07425720,22210,781
2012-06-18$15.91$15.0049.5%14.2%44.2%30.2%48.6%4.7%4.3%67.8K-6.0M-93.6K0.395.9766326018,2169,754
2012-06-19$16.29$15.0042.6%12.2%41.9%21.7%44.7%8.0%6.1%96.2K-7.4M-95.8K0.575.9674041918,6919,858
2012-06-20$15.84$15.0047.9%13.7%43.4%28.2%47.6%-1.1%7.8%72.9K-6.0M-95.1K4.386.934692,05419,00710,167
2012-06-21$14.72$15.0048.8%14.0%50.2%29.3%49.1%0.4%5.2%56.4K-3.2M-86.4K0.2810.7859616619,2469,405
2012-06-22$14.66$15.0046.6%13.3%50.2%26.5%46.7%3.8%6.4%47.7K-2.5M-83.6K1.437.7530043019,3929,330
2012-06-25$14.55$15.0049.5%14.2%50.3%30.2%49.3%1.6%5.9%44.1K-2.3M-83.0K0.436.9256724419,5519,429
2012-06-26$14.10$15.0046.9%13.4%51.5%27.0%47.8%1.0%8.0%24.1K-922.6K-77.8K0.168.3373011519,6409,498
2012-06-27$14.39$15.0046.1%13.2%51.9%26.0%46.3%11.8%5.3%37.7K-1.6M-80.8K0.207.732324619,9059,535
2012-06-28$13.84$15.0046.8%13.4%52.5%26.8%49.6%5.1%5.2%26.3K-202.8K-75.0K0.4517.0625111419,8729,455
2012-06-29$14.45$15.0043.6%12.5%49.4%23.0%45.2%10.3%6.9%35.1K-1.7M-78.5K0.1815.341,85132519,9169,456