AG Options History — August 2012

In August 2012, AG traded between $15.97 and $19.73. ATM implied volatility averaged 41.9%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 1.0% (HV 20d: 42.8%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.41.

Notable Days

  • 2012-08-23: Highest Volume — 5,479 contracts
  • 2012-08-16: Largest IV spike — 86.5% change
  • 2012-08-13: Highest IV Rank — 45.1%
  • 2012-08-02: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.80$15.97$19.73$15.97$19.73
Max Pain$17.17$15.00$17.50$15.00$17.50
ATM IV41.9%22.3%54.2%50.0%41.3%
Expected Move12.3%11.0%14.7%14.3%11.9%
HV 20d42.8%35.6%49.6%47.2%42.4%
HV 60d48.7%44.9%55.0%53.1%46.3%
IV Rank25.8%0.0%45.1%30.8%28.1%
IV Percentile13.3%0.0%52.4%36.9%7.1%
Term Structure2.8%-1.7%5.1%0.7%4.1%
VWIV42.5%37.5%48.6%48.5%41.0%
Skew 25d3.4%0.6%11.1%2.0%4.3%
Skew 10d4.3%-8.6%28.0%1.2%3.9%
Call IV 25d41.4%31.6%48.1%47.9%39.6%
Put IV 25d44.8%38.0%51.4%49.8%44.0%
Bid-Ask Spread %9.534.3016.1412.579.86
Gamma HHI0.350.260.770.320.34
Net GEX394.6K185.9K1.5M185.9K486.9K
Net DEX-14.3M-24.0M-7.0M-7.0M-24.0M
Net VEX-110.4K-129.9K-94.5K-95.7K-129.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.071.730.190.17
Total Volume1,782.7393685,4794291,957
Total OI32,562.17428,12438,35228,12438,352

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-08-01$15.97$15.0050.0%14.3%47.2%30.8%48.5%2.0%0.7%185.9K-7.0M-95.7K0.1912.573626719,5038,621
2012-08-02$16.02$15.0051.3%14.7%47.0%32.4%48.6%3.2%-1.7%192.8K-7.2M-95.7K0.327.812798919,6778,636
2012-08-03$16.16$15.0048.4%13.9%43.7%28.9%0.0%3.5%-1.2%204.4K-7.6M-94.5K0.0713.899436719,7568,678
2012-08-06$17.33$17.5044.0%13.2%49.6%23.4%46.4%1.7%2.9%280.6K-12.2M-98.8K0.259.912,42860319,9308,662
2012-08-07$17.22$17.5045.9%12.9%44.6%25.7%45.4%2.7%2.5%296.6K-12.2M-102.3K0.6215.111,33182720,6828,833
2012-08-08$17.25$17.5046.1%12.9%44.6%27.2%46.0%2.0%2.3%308.1K-12.6M-103.7K0.8416.1458949521,0769,053
2012-08-09$17.35$17.5040.8%12.7%44.7%21.8%44.5%2.4%2.7%329.1K-12.8M-104.4K0.428.8762526221,3639,362
2012-08-10$17.25$17.5042.7%12.3%44.8%27.3%42.9%3.0%3.5%326.7K-12.3M-104.8K0.0811.581,1049121,5669,531
2012-08-13$16.95$17.5054.2%12.5%45.5%45.1%44.0%1.5%2.7%315.7K-11.0M-104.1K0.2911.981,67349021,9009,559
2012-08-14$16.65$17.5027.7%12.1%46.4%4.3%42.5%1.9%2.0%266.7K-9.2M-101.0K1.0611.1281285722,3519,849
2012-08-15$17.00$17.5022.3%12.0%46.5%0.0%42.4%3.3%3.1%383.7K-10.4M-104.7K0.2512.5471617822,65110,344
2012-08-16$17.52$17.5041.6%11.9%43.1%28.5%41.7%3.9%3.5%666.0K-13.5M-107.0K0.239.361,24828122,42910,396
2012-08-17$17.49$17.5039.4%11.3%42.8%25.2%39.1%5.1%4.1%1.5M-13.1M-106.0K0.5811.9673642822,45910,492
2012-08-20$18.04$17.5038.5%11.0%42.5%23.9%38.2%4.7%5.1%296.6K-13.9M-108.0K1.735.929621,66420,5779,823
2012-08-21$18.60$17.5039.1%11.2%42.7%24.9%37.5%2.3%4.9%304.0K-16.8M-113.4K0.206.462,65453921,19710,758
2012-08-22$19.16$17.5038.7%11.1%39.1%24.3%40.1%11.1%2.7%332.5K-19.1M-115.5K0.204.302,34547921,64510,936
2012-08-23$18.86$17.5041.9%12.0%39.3%29.0%42.5%1.4%2.2%353.2K-18.7M-119.5K0.255.374,3851,09422,58611,156
2012-08-24$19.33$17.5041.8%12.0%39.8%28.8%42.2%1.4%3.0%387.2K-21.1M-123.3K0.318.082,07563423,32411,674
2012-08-27$19.19$17.5041.5%11.9%40.1%28.3%41.7%3.0%2.7%422.2K-20.8M-125.8K0.325.401,55849224,54312,081
2012-08-28$19.08$17.5039.4%11.3%35.6%25.3%39.2%9.3%4.9%421.9K-19.9M-126.9K0.455.8053223924,93912,369
2012-08-29$18.69$17.5043.4%12.4%36.3%31.1%40.8%3.8%4.2%399.3K-17.8M-127.0K0.268.9160215525,17212,521
2012-08-30$18.48$17.5042.7%12.2%36.9%30.1%40.9%0.6%3.8%380.2K-16.3M-126.4K0.476.3171933725,34412,574
2012-08-31$19.73$17.5041.3%11.9%42.4%28.1%41.0%4.3%4.1%486.9K-24.0M-129.9K0.179.861,67728025,67312,679