AG Options History — January 2013

In January 2013, AG traded between $17.14 and $21.16. ATM implied volatility averaged 39.3%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded below realized volatility by 4.4% (HV 20d: 43.7%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2013-01-29: Highest Volume — 4,657 contracts
  • 2013-01-28: Largest IV spike — 10.5% change
  • 2013-01-02: Highest IV Rank — 51.0%
  • 2013-01-02: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.30$17.14$21.16$21.16$18.24
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV39.3%33.4%44.0%44.0%38.1%
Expected Move11.3%9.6%12.6%12.6%10.9%
HV 20d43.7%32.1%54.5%52.4%38.3%
HV 60d45.8%44.5%46.4%46.4%45.2%
IV Rank39.9%26.1%51.0%51.0%37.1%
IV Percentile9.8%2.0%36.5%36.5%4.4%
Term Structure1.8%0.1%5.7%0.6%5.7%
VWIV39.6%33.5%43.6%43.2%40.1%
Skew 25d1.3%-9.2%12.2%2.5%-2.7%
Skew 10d1.3%-14.7%20.8%5.6%-6.0%
Call IV 25d39.1%29.1%44.3%41.4%40.4%
Put IV 25d40.4%29.5%46.2%44.0%37.7%
Bid-Ask Spread %9.705.3920.755.7810.98
Gamma HHI0.210.180.270.250.25
Net GEX50.4K-34.2K206.0K206.0K182.7K
Net DEX-5.1M-14.7M3.0M-14.7M-5.2M
Net VEX-116.6K-132.6K-98.9K-123.4K-132.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.064.690.110.35
Total Volume1,690.5715704,6571,6221,800
Total OI33,809.23825,69238,35633,76735,311

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-01-02$21.16$20.0044.0%12.6%52.4%51.0%43.2%2.5%0.6%206.0K-14.7M-123.4K0.115.781,46116122,62711,140
2013-01-03$20.18$20.0042.9%12.3%54.5%48.4%43.6%2.0%1.6%135.5K-10.5M-119.1K0.626.4035221822,85011,153
2013-01-04$20.48$20.0041.9%12.4%53.9%46.0%42.8%2.8%0.7%148.7K-11.5M-120.3K0.2120.7591619322,94211,272
2013-01-07$20.23$20.0041.6%12.2%53.9%45.2%42.7%1.4%0.2%132.8K-10.4M-116.9K4.698.205132,40523,30311,402
2013-01-08$19.98$20.0041.5%12.1%53.1%45.0%43.0%1.7%0.1%55.7K-7.8M-123.2K0.428.1260025523,51013,178
2013-01-09$20.05$20.0039.6%11.8%52.5%40.6%41.1%1.6%0.7%48.8K-7.9M-123.7K1.239.7428735223,53313,316
2013-01-10$20.29$20.0040.8%11.7%52.8%43.3%40.3%1.6%0.3%47.6K-9.1M-124.4K0.079.919716523,65413,576
2013-01-11$20.00$20.0040.9%11.7%49.7%43.7%41.2%1.6%1.7%18.4K-7.7M-122.4K0.697.8647032423,85213,614
2013-01-14$19.66$20.0041.1%11.8%49.3%44.1%41.1%2.3%0.3%-13.8K-5.6M-119.6K0.3710.421,17843724,09613,771
2013-01-15$19.67$20.0040.7%11.7%48.9%43.1%40.8%1.3%1.2%-18.6K-5.3M-120.3K0.339.1971023424,31613,963
2013-01-16$19.33$20.0039.9%11.4%32.3%41.3%40.1%1.7%1.5%-18.2K-3.4M-118.0K1.079.6164869224,35813,998
2013-01-17$19.42$20.0038.6%11.1%32.3%38.3%38.9%0.9%2.1%41.5K-3.0M-115.0K0.4110.331,04142923,99913,568
2013-01-18$19.15$20.0037.3%10.7%32.1%35.1%37.5%1.8%2.4%29.1K-1.8M-110.2K0.429.701,23752224,55213,691
2013-01-22$19.23$20.0033.4%9.6%32.2%26.1%33.5%5.2%4.1%11.1K-3.1M-109.8K0.489.771,55874516,4939,199
2013-01-23$18.85$20.0034.9%10.0%32.6%29.6%35.1%1.7%1.7%5.1K-1.9M-110.9K0.1311.151,01812917,2219,840
2013-01-24$18.16$20.0034.7%9.9%34.7%29.1%34.7%-3.1%3.5%-11.7K177.0K-102.8K0.9710.9963361717,4759,835
2013-01-25$17.41$20.0035.7%10.2%37.0%31.5%36.0%-9.2%3.0%-34.2K2.4M-98.9K0.396.641,90773617,65110,368
2013-01-28$17.14$20.0039.5%11.3%37.1%40.4%39.0%12.2%0.2%-25.6K3.0M-98.9K0.445.391,06147118,26510,793
2013-01-29$18.31$20.0038.9%11.1%44.7%38.8%38.1%-0.3%3.0%1.2K-821.8K-112.7K0.1211.884,15050718,34710,951
2013-01-30$18.36$20.0039.1%11.2%42.9%39.3%38.6%0.5%3.5%116.0K-3.8M-125.5K0.0610.863,28621321,79811,213
2013-01-31$18.24$20.0038.1%10.9%38.3%37.1%40.1%-2.7%5.7%182.7K-5.2M-132.6K0.3510.981,33446624,08311,228