AG Options History — November 2012

In November 2012, AG traded between $20.92 and $23.69. ATM implied volatility averaged 44.7%, placing in the 47.4% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded below realized volatility by 2.1% (HV 20d: 46.7%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2012-11-14: Highest Volume — 5,935 contracts
  • 2012-11-14: Largest IV drop — 17.9% change
  • 2012-11-13: Highest IV Rank — 69.9%
  • 2012-11-07: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.73$20.92$23.69$23.69$23.00
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV44.7%39.9%54.0%43.2%41.0%
Expected Move12.7%11.4%14.3%12.4%11.8%
HV 20d46.7%39.7%55.2%41.1%46.7%
HV 60d40.7%37.3%43.2%37.3%40.8%
IV Rank47.4%39.0%69.9%39.0%41.8%
IV Percentile31.2%5.2%76.6%22.2%9.9%
Term Structure1.8%-3.1%5.3%-0.4%2.9%
VWIV44.2%39.3%49.8%41.3%40.5%
Skew 25d2.9%-0.9%7.8%2.2%3.8%
Skew 10d7.6%-9.5%20.4%-1.9%11.7%
Call IV 25d42.8%38.1%50.2%39.8%39.4%
Put IV 25d45.7%41.6%51.3%42.0%43.2%
Bid-Ask Spread %12.406.5920.037.7812.73
Gamma HHI0.460.340.620.440.52
Net GEX318.5K132.8K477.2K455.2K310.5K
Net DEX-20.1M-26.0M-9.4M-25.6M-21.7M
Net VEX-135.0K-141.2K-128.2K-132.4K-135.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.102.790.100.75
Total Volume1,926.3814205,9351,3821,801
Total OI34,495.09531,77538,35231,77534,690

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-11-01$23.69$22.5043.2%12.4%41.1%39.0%41.3%2.2%-0.4%455.2K-25.6M-132.4K0.107.781,25312921,70210,073
2012-11-02$22.89$22.5043.3%12.4%42.9%39.2%43.0%2.2%0.6%388.7K-22.1M-134.2K0.549.2193150621,99610,124
2012-11-05$22.42$22.5046.1%13.0%40.0%46.8%45.6%2.4%-0.0%350.7K-19.9M-132.2K0.2915.563269422,55010,397
2012-11-06$22.74$22.5044.3%13.1%40.1%43.2%45.3%5.5%0.7%385.7K-21.2M-133.6K0.6720.031,03769422,58510,437
2012-11-07$22.89$22.5047.8%14.3%39.7%50.2%49.6%7.8%-3.1%432.6K-22.2M-133.5K2.7916.348992,51022,96410,610
2012-11-08$23.67$22.5047.9%13.6%40.7%50.3%47.1%1.9%-0.4%458.1K-25.4M-141.2K1.0919.491,2001,31023,19312,530
2012-11-09$23.69$22.5048.1%13.4%40.5%52.3%45.5%2.4%0.0%473.5K-26.0M-140.8K0.4211.962,6611,11923,62212,606
2012-11-12$23.32$22.5053.8%13.6%41.0%69.1%47.8%0.9%0.1%476.5K-24.7M-140.0K0.3210.071,29241924,23612,510
2012-11-13$23.47$22.5054.0%13.7%40.7%69.9%47.3%2.5%-0.3%477.2K-25.1M-137.4K0.6618.021,50699324,29112,569
2012-11-14$21.65$22.5044.3%13.2%50.2%48.5%46.3%-0.9%1.5%165.8K-12.5M-131.6K0.596.593,7292,20624,51413,240
2012-11-15$20.92$22.5049.5%14.2%50.9%59.8%49.8%1.2%1.8%138.2K-9.4M-128.2K1.8911.161,1872,23924,38813,080
2012-11-16$21.19$22.5047.3%13.6%51.0%55.1%47.1%1.9%2.0%132.8K-9.4M-131.2K0.928.7099391324,44513,907
2012-11-19$22.47$22.5042.1%12.1%55.0%43.7%42.6%3.4%4.4%193.6K-17.6M-133.9K0.4411.411,23154620,80111,318
2012-11-20$22.17$22.5041.4%11.9%55.2%42.1%41.9%2.2%4.7%196.4K-17.0M-134.3K0.7310.7769150321,30611,517
2012-11-21$22.79$22.5040.6%11.7%54.8%40.9%40.9%3.8%3.9%255.8K-19.7M-135.8K0.8210.3353043221,62811,384
2012-11-23$23.15$22.5040.0%11.5%52.7%39.5%39.3%3.5%5.3%287.3K-21.6M-136.8K0.3411.6863421721,68011,431
2012-11-26$23.08$22.5040.6%11.6%51.7%40.8%41.2%4.3%3.8%291.2K-21.3M-133.7K0.589.4557933721,82411,515
2012-11-27$22.56$22.5041.4%11.9%49.7%42.6%42.0%2.6%3.5%247.3K-19.0M-136.0K0.4412.7784937322,16011,763
2012-11-28$22.68$22.5040.9%11.7%49.3%41.6%41.7%4.6%3.1%268.8K-19.4M-135.8K0.4613.1048222322,38811,893
2012-11-29$22.95$22.5039.9%11.4%47.3%39.2%41.4%2.7%3.5%301.5K-20.9M-136.7K1.2613.3039049022,62511,905
2012-11-30$23.00$22.5041.0%11.8%46.7%41.8%40.5%3.8%2.9%310.5K-21.7M-135.4K0.7512.731,03077122,79111,899