AG Options History — March 2013

In March 2013, AG traded between $15.13 and $16.89. ATM implied volatility averaged 40.1%, placing in the 41.7% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 2.8% (HV 20d: 37.3%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 1.41.

Notable Days

  • 2013-03-28: Highest Volume — 3,132 contracts
  • 2013-03-11: Largest IV drop — 28.6% change
  • 2013-03-06: Highest IV Rank — 63.3%
  • 2013-03-01: Largest Expected Move — 13.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.28$15.13$16.89$15.81$16.17
Max Pain$18.50$17.50$20.00$17.50$17.50
ATM IV40.1%30.4%49.3%48.1%37.3%
Expected Move11.6%10.2%13.8%13.8%10.7%
HV 20d37.3%25.5%40.7%25.5%38.0%
HV 60d38.7%35.7%42.5%39.7%35.8%
IV Rank41.7%19.0%63.3%60.4%35.2%
IV Percentile21.6%1.2%77.4%74.6%5.2%
Term Structure0.9%-2.9%4.0%-2.9%3.0%
VWIV40.2%30.6%46.2%46.2%30.6%
Skew 25d0.2%-2.4%4.9%2.7%0.1%
Skew 10d-2.3%-15.3%67.9%0.0%3.5%
Call IV 25d41.0%35.0%45.7%44.5%37.2%
Put IV 25d41.2%37.3%47.2%47.2%37.3%
Bid-Ask Spread %9.286.1915.8012.788.75
Gamma HHI0.350.240.430.340.24
Net GEX154.7K77.0K223.8K120.9K113.3K
Net DEX3.0M-727.9K8.0M5.7M2.4M
Net VEX-106.5K-118.1K-90.3K-104.6K-99.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.1217.320.5917.32
Total Volume902.052773,1321,0833,132
Total OI43,569.3541,66245,69143,44542,583

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-03-01$15.81$17.5048.1%13.8%25.5%60.4%46.2%2.7%-2.9%120.9K5.7M-104.6K0.5912.7868140229,80213,643
2013-03-04$15.13$20.0049.1%12.8%28.0%62.8%45.4%-1.7%-0.1%80.8K7.8M-92.5K0.3514.501,10838329,82713,611
2013-03-05$15.19$20.0046.1%12.7%28.2%55.8%45.1%-0.5%-2.1%77.0K8.0M-90.3K0.4015.8075530430,16013,672
2013-03-06$16.19$20.0049.3%12.2%38.2%63.3%42.6%-0.0%-0.4%141.1K4.3M-107.8K0.4510.031,00945130,37013,581
2013-03-07$16.19$20.0041.4%12.6%37.8%44.8%43.1%-2.4%-2.1%144.3K4.2M-109.3K0.496.9458128730,75013,804
2013-03-08$16.33$20.0042.6%12.0%38.2%47.6%41.8%-1.4%-1.0%158.3K3.2M-112.7K0.287.6857415930,97213,827
2013-03-11$16.38$20.0030.4%12.0%37.9%19.0%42.0%-1.0%-0.9%161.0K4.0M-109.9K0.459.5731414231,20113,892
2013-03-12$16.89$20.0038.9%11.7%39.3%38.8%41.5%-1.1%0.7%207.4K1.1M-118.1K0.1510.741,05215431,33413,924
2013-03-13$16.29$20.0034.9%12.1%40.7%29.5%41.7%-2.0%-0.2%154.0K4.3M-108.6K0.4710.9978437231,52913,979
2013-03-14$16.33$17.5039.0%11.2%40.3%39.0%39.8%0.2%1.8%166.8K4.0M-107.9K0.657.8128418631,77013,751
2013-03-15$16.32$17.5039.1%11.2%40.0%39.4%37.6%0.8%0.9%166.6K4.0M-107.6K2.846.1929984831,87113,820
2013-03-18$16.66$17.5037.5%10.7%39.5%35.6%38.1%0.7%3.5%193.3K248.3K-110.4K0.279.0967418029,68511,977
2013-03-19$16.52$17.5039.5%11.3%39.4%40.4%42.1%-0.5%2.1%189.6K449.2K-109.5K0.126.986877929,76412,036
2013-03-20$16.53$17.5038.3%11.0%39.3%37.4%37.0%-0.5%2.5%176.9K778.3K-107.7K0.569.0421812129,90912,057
2013-03-21$16.85$17.5038.4%11.0%39.5%37.8%40.0%1.5%1.6%223.8K-727.9K-113.2K0.366.2849117730,01812,151
2013-03-22$16.67$17.5037.1%10.6%39.4%34.7%37.9%0.7%3.3%191.1K248.9K-110.1K1.317.2912115830,24512,176
2013-03-25$16.54$17.5039.1%11.2%39.1%39.3%39.3%-0.7%1.5%168.1K1.1M-106.4K0.716.4216411730,32412,186
2013-03-26$16.19$17.5039.9%11.4%39.2%41.2%36.7%3.8%2.2%118.0K2.8M-100.4K0.259.502526430,45312,257
2013-03-27$16.46$17.5035.5%10.2%38.2%31.1%35.4%4.9%4.0%142.5K1.4M-103.3K0.299.232156230,53911,937
2013-03-28$16.17$17.5037.3%10.7%38.0%35.2%30.6%0.1%3.0%113.3K2.4M-99.0K17.328.751712,96130,65511,928