AG Options History — December 2012

In December 2012, AG traded between $19.58 and $23.33. ATM implied volatility averaged 44.5%, placing in the 50.9% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 2.2% (HV 20d: 46.7%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.76.

Notable Days

  • 2012-12-17: Highest Volume — 4,531 contracts
  • 2012-12-13: Largest IV spike — 14.7% change
  • 2012-12-18: Highest IV Rank — 59.5%
  • 2012-12-18: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.42$19.58$23.33$22.61$20.19
Max Pain$20.50$20.00$22.50$22.50$20.00
ATM IV44.5%39.4%47.8%41.9%47.0%
Expected Move13.0%12.0%13.7%12.0%13.5%
HV 20d46.7%37.3%54.3%45.4%49.1%
HV 60d43.3%40.4%46.6%41.0%45.3%
IV Rank50.9%38.6%59.5%43.8%57.9%
IV Percentile38.0%5.2%62.7%15.9%59.1%
Term Structure1.8%-0.2%3.8%2.9%-0.2%
VWIV45.5%42.1%47.9%42.4%47.2%
Skew 25d2.9%0.5%6.8%1.4%3.4%
Skew 10d5.8%-5.6%19.6%4.6%13.8%
Call IV 25d44.5%38.9%48.2%42.3%46.3%
Put IV 25d47.5%43.7%50.3%43.7%49.7%
Bid-Ask Spread %8.524.6116.4611.737.67
Gamma HHI0.360.210.580.520.23
Net GEX186.5K17.6K391.3K297.9K127.8K
Net DEX-14.6M-23.8M-7.6M-20.4M-10.4M
Net VEX-127.1K-137.1K-116.9K-135.4K-120.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.242.040.410.99
Total Volume1,250.852954,531785936
Total OI35,278.1532,80537,80935,18233,394

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-12-03$22.61$22.5041.9%12.0%45.4%43.8%42.4%1.4%2.9%297.9K-20.4M-135.4K0.4111.7355822723,54411,638
2012-12-04$22.81$22.5042.4%12.2%44.9%44.9%42.5%3.4%3.6%332.3K-21.6M-137.1K0.6416.4672746423,68911,613
2012-12-05$22.04$22.5041.9%12.0%46.3%43.8%42.2%3.2%3.3%228.8K-17.1M-134.4K0.369.221,45453023,64511,857
2012-12-06$21.78$22.5041.8%12.0%46.3%43.6%42.1%1.5%3.8%178.0K-15.1M-130.7K1.0510.6732834423,23012,188
2012-12-07$22.26$20.0039.6%12.8%45.3%38.6%44.7%1.9%1.8%237.0K-17.8M-133.0K0.258.4740610323,40512,058
2012-12-10$22.65$20.0042.7%13.1%45.8%45.4%45.7%5.0%1.1%295.4K-20.1M-132.5K0.707.6424917523,45212,095
2012-12-11$22.33$20.0041.7%12.9%45.8%43.2%45.9%2.6%2.2%248.6K-18.2M-130.2K0.927.6723221323,43912,066
2012-12-12$23.33$20.0039.4%12.6%48.5%39.0%44.3%6.8%1.9%391.3K-23.8M-131.6K0.815.441,2371,00223,48012,167
2012-12-13$22.70$20.0045.2%13.0%39.7%52.2%44.7%4.5%1.6%327.4K-20.4M-129.7K1.145.8743249123,77611,846
2012-12-14$22.92$20.0044.5%12.7%37.3%50.5%44.9%4.2%2.0%338.6K-21.4M-130.0K2.044.619719823,81712,122
2012-12-17$20.59$20.0047.7%13.7%54.3%57.9%47.9%1.9%1.8%73.7K-8.9M-116.9K0.6210.992,7921,73923,83212,114
2012-12-18$20.38$20.0047.8%13.7%49.5%59.5%47.4%2.7%0.6%35.5K-7.6M-119.3K0.5710.111,15566124,16312,478
2012-12-19$20.62$20.0047.0%13.5%49.7%57.9%47.3%0.8%1.1%75.3K-9.6M-122.1K0.4310.041,66272024,70412,468
2012-12-20$20.51$20.0046.7%13.4%48.3%57.2%47.5%0.5%1.6%31.7K-8.9M-122.6K0.249.221,60138624,50412,544
2012-12-21$20.32$20.0046.5%13.3%47.7%56.7%46.5%1.3%1.2%17.6K-10.2M-129.6K1.488.9534350825,51412,295
2012-12-24$20.32$20.0046.8%13.4%47.7%57.4%46.7%4.0%0.9%145.0K-10.9M-123.2K0.566.1020311322,05610,749
2012-12-26$20.31$20.0046.9%13.4%47.3%57.7%46.7%3.7%0.7%137.5K-10.9M-123.0K0.415.5049420222,10510,800
2012-12-27$20.11$20.0046.0%13.2%47.2%55.5%46.9%2.8%2.4%121.8K-10.2M-122.2K0.586.2937421622,26810,929
2012-12-28$19.58$20.0046.3%13.3%47.3%56.2%46.3%3.1%0.8%89.7K-7.9M-118.6K1.057.7270474122,47911,040
2012-12-31$20.19$20.0047.0%13.5%49.1%57.9%47.2%3.4%-0.2%127.8K-10.4M-120.7K0.997.6747146522,42610,968