AG Options History — April 2013

In April 2013, AG traded between $10.97 and $15.74. ATM implied volatility averaged 51.3%, placing in the 68.0% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded below realized volatility by 7.4% (HV 20d: 58.7%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.84.

Notable Days

  • 2013-04-15: Highest Volume — 3,986 contracts
  • 2013-04-15: Largest IV spike — 29.0% change
  • 2013-04-17: Highest IV Rank — 94.7%
  • 2013-04-17: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.19$10.97$15.74$15.74$12.34
Max Pain$14.20$12.50$17.50$17.50$12.50
ATM IV51.3%39.9%62.7%40.0%56.5%
Expected Move14.9%11.4%18.0%11.5%16.2%
HV 20d58.7%38.5%82.5%38.5%81.2%
HV 60d45.2%34.5%54.5%34.5%54.5%
IV Rank68.0%41.2%94.7%41.5%80.3%
IV Percentile67.0%15.1%99.2%16.7%92.5%
Term Structure-2.1%-8.5%4.1%3.8%-2.8%
VWIV52.3%39.7%62.4%41.4%56.3%
Skew 25d0.4%-14.8%14.6%-3.0%-14.0%
Skew 10d5.4%-23.8%62.9%-6.1%-22.2%
Call IV 25d51.1%32.0%63.7%42.8%60.4%
Put IV 25d51.5%30.9%64.1%39.9%46.5%
Bid-Ask Spread %8.814.9115.8410.038.16
Gamma HHI0.210.150.310.210.20
Net GEX37.7K-5.6K82.3K48.7K78.9K
Net DEX5.6M732.2K9.4M5.7M896.7K
Net VEX-80.8K-97.2K-62.1K-94.6K-89.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.105.720.800.36
Total Volume1,573.5454693,9866601,108
Total OI42,616.54532,61150,58843,91836,210

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-04-01$15.74$17.5040.0%11.5%38.5%41.5%41.4%-3.0%3.8%48.7K5.7M-94.6K0.8010.0336729330,67713,241
2013-04-02$14.81$17.5040.3%11.6%41.4%42.2%42.3%-14.8%2.3%10.1K8.3M-81.0K0.677.9287458930,73413,248
2013-04-03$14.27$17.5040.9%11.7%43.3%43.6%40.6%-8.3%3.0%-5.6K9.4M-77.2K0.555.7394852230,92613,582
2013-04-04$14.97$17.5039.9%11.4%40.3%41.2%39.7%2.2%4.1%7.0K7.2M-86.9K5.724.913391,93831,44813,350
2013-04-05$15.07$15.0040.0%12.7%40.4%41.4%45.7%1.7%-0.9%18.8K6.2M-90.4K0.699.8355137831,51513,080
2013-04-08$14.73$15.0044.1%13.2%40.7%51.2%46.4%0.7%-0.9%12.9K6.9M-86.3K0.309.801,33539731,67913,062
2013-04-09$15.36$15.0041.5%13.0%43.9%45.1%45.5%2.0%-1.7%43.8K4.8M-97.2K0.459.3765229232,84913,240
2013-04-10$14.90$15.0042.8%13.0%43.0%48.2%45.6%1.7%-2.3%26.3K6.1M-92.2K0.8010.5163551033,05513,189
2013-04-11$14.69$15.0045.2%13.0%41.7%53.7%46.8%3.2%-2.0%20.8K6.8M-88.4K0.899.9124822133,30513,356
2013-04-12$13.99$15.0047.4%13.6%44.3%58.9%48.9%-0.8%-1.9%22.0K8.2M-81.0K0.698.5180855733,45113,320
2013-04-15$12.21$15.0061.2%17.5%63.4%91.1%61.2%2.3%-8.5%21.8K8.5M-65.7K0.627.362,4551,53133,69912,734
2013-04-16$11.90$12.5059.1%17.0%62.1%86.4%59.3%-1.1%-4.8%18.9K8.1M-68.9K0.658.341,6111,05235,29813,166
2013-04-17$10.97$12.5062.7%18.0%66.1%94.7%62.4%-1.6%-5.7%32.2K8.5M-62.1K0.519.731,46075036,25813,677
2013-04-18$11.43$12.5059.3%17.0%69.3%86.7%60.1%0.6%-4.5%46.6K6.6M-70.6K1.697.479041,52937,06012,764
2013-04-19$11.46$12.5058.9%16.9%68.4%85.9%60.6%9.0%-3.9%43.4K6.7M-72.2K0.278.5180121637,40013,188
2013-04-22$11.47$12.5058.6%16.8%68.7%85.1%60.5%11.1%-1.8%45.8K3.4M-70.5K0.358.7153018522,52610,085
2013-04-23$11.03$12.5061.7%17.7%68.9%92.3%60.7%1.3%-5.5%43.4K3.9M-66.8K0.235.5098122222,71110,156
2013-04-24$12.06$12.5053.0%15.2%79.1%72.0%51.4%12.4%0.1%62.0K2.1M-80.4K0.1013.321,43713923,28110,275
2013-04-25$12.62$12.5057.4%16.5%81.3%82.4%57.7%-10.9%-3.3%76.1K732.2K-88.3K0.197.762,24743223,82110,293
2013-04-26$12.02$12.5057.2%16.4%82.2%81.8%57.0%14.6%-2.9%73.3K2.0M-81.1K0.1115.849099924,56810,428
2013-04-29$12.11$12.5061.2%17.5%82.5%91.2%61.2%0.1%-6.0%82.3K1.1M-85.4K1.936.595351,03125,18010,479
2013-04-30$12.34$12.5056.5%16.2%81.2%80.3%56.3%-14.0%-2.8%78.9K896.7K-89.2K0.368.1681529325,48610,724