AG Options History — October 2012

In October 2012, AG traded between $21.62 and $23.68. ATM implied volatility averaged 44.2%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 7.7% (HV 20d: 36.4%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.45.

Notable Days

  • 2012-10-04: Highest Volume — 2,297 contracts
  • 2012-10-11: Largest IV spike — 15.7% change
  • 2012-10-23: Highest IV Rank — 43.8%
  • 2012-10-09: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.72$21.62$23.68$22.94$23.20
Max Pain$21.55$17.50$22.50$17.50$22.50
ATM IV44.2%40.5%46.8%43.3%44.2%
Expected Move13.0%12.1%13.9%12.4%12.7%
HV 20d36.4%33.4%40.5%35.7%40.5%
HV 60d38.9%36.9%40.3%40.3%39.5%
IV Rank37.5%30.5%43.8%31.1%40.9%
IV Percentile27.2%6.0%40.5%21.0%29.8%
Term Structure0.9%-1.6%5.4%4.1%0.9%
VWIV45.4%41.8%48.6%43.0%44.7%
Skew 25d4.0%1.2%8.0%4.0%2.8%
Skew 10d12.9%-8.7%24.2%11.3%12.0%
Call IV 25d43.9%40.3%47.6%41.9%43.9%
Put IV 25d47.9%43.8%51.4%45.9%46.7%
Bid-Ask Spread %9.004.6716.387.5616.10
Gamma HHI0.370.300.790.300.40
Net GEX518.4K247.0K2.2M418.5K400.3K
Net DEX-26.6M-33.8M-16.1M-30.1M-23.3M
Net VEX-132.2K-136.7K-129.0K-135.8K-131.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.171.110.470.42
Total Volume1,2554712,297979864
Total OI38,421.04828,34343,52140,04631,389

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-10-01$22.94$17.5043.3%12.4%35.7%31.1%43.0%4.0%4.1%418.5K-30.1M-135.8K0.477.5666531424,85515,191
2012-10-02$22.86$17.5043.5%12.5%35.1%31.3%44.1%2.9%5.1%413.3K-29.7M-136.3K0.207.7274415024,87215,305
2012-10-03$22.62$17.5042.3%12.1%35.4%30.5%43.5%2.1%5.4%404.7K-28.6M-136.7K0.358.9035012125,15115,415
2012-10-04$23.68$17.5042.8%12.3%38.1%32.9%41.8%3.5%5.0%464.1K-33.8M-135.8K0.274.671,80848925,11715,462
2012-10-05$23.32$22.5040.9%13.5%37.9%31.4%47.1%4.2%-1.0%462.0K-31.8M-134.4K0.1716.381,05018025,20615,691
2012-10-08$22.89$22.5043.0%13.8%37.9%34.9%47.8%8.0%-1.3%427.9K-29.5M-132.5K0.518.5863432125,23415,725
2012-10-09$22.44$22.5043.3%13.9%38.5%35.7%48.6%5.3%-1.6%418.2K-26.7M-133.4K0.4110.8762025425,25915,895
2012-10-10$22.74$22.5040.5%13.7%38.6%31.0%47.6%7.0%-0.9%441.3K-28.6M-131.8K0.608.9986051725,43115,948
2012-10-11$22.77$22.5046.8%13.4%35.7%41.8%47.1%6.4%-0.5%477.9K-29.3M-130.5K0.528.6274839225,54615,840
2012-10-12$22.51$22.5046.6%13.4%34.8%41.3%46.4%3.1%-0.5%472.2K-27.9M-129.0K0.428.291,17149625,88315,913
2012-10-15$22.44$22.5046.4%13.3%34.8%41.0%47.6%4.5%-0.3%503.9K-27.6M-130.4K0.6514.261,30684926,57216,277
2012-10-16$22.84$22.5045.5%13.1%34.4%39.5%45.5%3.7%0.8%555.6K-30.4M-131.0K0.415.9489236526,85316,243
2012-10-17$23.08$22.5045.0%12.9%34.4%38.6%43.6%6.7%0.9%596.1K-32.1M-132.1K0.376.6177028427,17316,348
2012-10-18$22.49$22.5045.2%13.0%35.4%39.0%45.1%4.4%-0.0%818.4K-27.8M-129.7K0.296.5874021827,03316,233
2012-10-19$22.44$22.5044.0%12.6%35.1%36.9%44.2%3.9%0.7%2.2M-26.5M-129.5K0.527.911,13759127,09716,332
2012-10-22$23.18$22.5044.4%12.7%33.4%40.0%43.9%4.5%0.1%279.1K-21.1M-129.6K0.357.211,44951419,0299,314
2012-10-23$22.19$22.5045.8%13.1%36.2%43.8%47.4%1.2%-0.0%275.8K-18.2M-130.1K0.356.371,19141820,0829,476
2012-10-24$21.62$22.5044.9%12.9%37.3%42.1%45.1%1.3%0.7%247.0K-16.1M-130.3K1.118.5855261220,7779,615
2012-10-25$22.67$22.5044.6%12.8%37.6%41.7%44.4%2.5%0.5%321.4K-20.2M-133.5K0.5810.7073142520,9939,899
2012-10-26$22.29$22.5044.3%12.7%37.9%41.1%44.0%2.9%0.7%301.8K-19.1M-131.9K0.478.0738417921,2209,948
2012-10-31$23.20$22.5044.2%12.7%40.5%40.9%44.7%2.8%0.9%400.3K-23.3M-131.6K0.4216.1060925521,4459,944