AG Options History — May 2013

In May 2013, AG traded between $9.56 and $12.15. ATM implied volatility averaged 55.1%, placing in the 78.4% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded below realized volatility by 16.0% (HV 20d: 71.1%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.24.

Notable Days

  • 2013-05-31: Highest Volume — 7,133 contracts
  • 2013-05-14: Largest IV spike — 32.5% change
  • 2013-05-31: Highest IV Rank — 96.8%
  • 2013-05-31: Largest Expected Move — 17.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.01$9.56$12.15$12.03$10.82
Max Pain$11.48$10.00$12.50$12.50$10.00
ATM IV55.1%37.9%62.6%58.5%61.4%
Expected Move15.9%14.7%17.6%16.8%17.6%
HV 20d71.1%61.4%80.7%80.7%71.2%
HV 60d59.3%54.5%65.5%54.6%64.3%
IV Rank78.4%36.5%96.8%84.9%96.8%
IV Percentile85.1%6.0%98.8%94.8%98.8%
Term Structure-0.6%-5.3%2.3%-4.6%2.3%
VWIV55.8%51.3%60.4%58.3%60.4%
Skew 25d-1.1%-13.9%15.3%15.3%1.4%
Skew 10d-1.3%-21.5%28.1%28.1%1.9%
Call IV 25d54.4%44.9%59.6%48.0%59.6%
Put IV 25d53.3%41.1%63.3%63.3%61.0%
Bid-Ask Spread %12.326.9820.867.5711.70
Gamma HHI0.260.210.310.210.27
Net GEX109.1K61.3K192.9K82.1K169.4K
Net DEX1.2M-4.1M4.3M1.1M-2.1M
Net VEX-77.8K-89.7K-56.9K-87.9K-84.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.240.021.030.260.04
Total Volume1,380.7272397,1339917,133
Total OI39,519.09136,72343,51936,72343,073

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-05-01$12.03$12.5058.5%16.8%80.7%84.9%58.3%15.3%-4.6%82.1K1.1M-87.9K0.267.5778620525,98610,737
2013-05-02$11.95$12.5058.8%16.9%78.0%85.7%58.8%-5.2%-5.3%87.6K1.1M-88.1K1.036.9817017526,58510,862
2013-05-03$12.15$12.5053.3%15.3%78.3%72.7%53.3%-3.8%-1.9%90.0K757.6K-89.7K0.289.5053115026,64710,954
2013-05-06$11.97$12.5054.5%14.7%78.2%75.6%51.3%0.8%0.3%86.4K1.5M-85.4K0.3512.182277926,79110,998
2013-05-07$11.44$12.5058.1%15.2%76.6%83.9%54.4%2.3%-0.9%77.6K2.8M-78.0K0.1620.8676912026,95511,051
2013-05-08$11.87$12.5057.0%14.9%78.5%81.3%53.0%3.8%-0.5%91.0K1.6M-84.9K0.4312.4657824927,02911,070
2013-05-09$11.69$12.5055.9%14.8%78.5%78.8%52.0%3.2%0.9%90.0K1.9M-82.7K0.3416.7963321527,14111,076
2013-05-10$11.66$12.5044.6%15.2%77.3%52.4%54.7%4.0%-0.5%91.9K2.1M-82.3K0.1313.596538627,42411,191
2013-05-13$11.28$12.5037.9%15.6%62.0%36.5%57.0%2.2%-1.7%83.7K3.0M-76.0K0.158.064306527,72511,163
2013-05-14$11.25$12.5050.2%16.6%61.4%65.3%54.6%8.9%-2.5%85.1K2.9M-74.3K0.2811.9590425027,84011,019
2013-05-15$10.24$12.5062.6%15.6%63.7%94.5%54.7%-9.2%0.5%77.2K4.2M-62.7K0.4316.961,09746728,29211,170
2013-05-16$10.15$12.5053.6%15.4%61.5%73.5%55.8%-8.0%0.3%78.2K3.5M-61.6K0.2712.8789723828,46110,580
2013-05-17$9.56$12.5054.4%15.6%64.3%75.2%55.0%-13.9%2.2%61.3K4.3M-56.9K0.2514.301,62340328,72210,594
2013-05-20$10.69$10.0054.7%15.7%77.3%75.9%54.9%-1.8%1.1%88.8K1.8M-72.3K0.0715.372,30215727,1339,991
2013-05-21$10.32$10.0056.3%16.1%77.1%79.7%56.3%-4.3%0.3%105.8K1.5M-71.6K0.1616.653796028,85510,069
2013-05-22$10.31$10.0057.2%16.4%68.9%84.6%57.7%-6.4%0.7%107.3K1.4M-71.9K0.027.993,6557629,04210,089
2013-05-23$10.30$10.0057.2%16.4%66.1%86.5%57.8%-7.4%-0.2%155.5K-440.4K-77.4K0.1214.444014931,84810,135
2013-05-24$10.37$10.0056.4%16.2%64.7%84.3%56.6%-6.3%1.4%155.9K-548.0K-76.7K0.1911.512013831,97610,109
2013-05-28$10.23$10.0057.4%16.4%64.5%86.8%57.0%-2.5%-0.5%157.9K-247.0K-74.9K0.1612.981,20619132,10710,117
2013-05-29$10.71$10.0058.7%16.8%66.7%90.1%58.4%-0.2%-3.1%185.4K-2.1M-82.8K0.228.812846333,03810,256
2013-05-30$11.31$10.0054.1%15.5%69.7%78.6%55.6%2.7%-1.5%192.9K-4.1M-89.0K0.027.462,1334833,22510,294
2013-05-31$10.82$10.0061.4%17.6%71.2%96.8%60.4%1.4%2.3%169.4K-2.1M-84.5K0.0411.706,86327032,76210,311