AG Options History — June 2013

In June 2013, AG traded between $8.85 and $11.61. ATM implied volatility averaged 54.5%, placing in the 79.7% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded below realized volatility by 8.9% (HV 20d: 63.4%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.31.

Notable Days

  • 2013-06-28: Highest Volume — 4,069 contracts
  • 2013-06-13: Largest IV spike — 76.8% change
  • 2013-06-26: Highest IV Rank — 92.9%
  • 2013-06-26: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.55$8.85$11.61$11.38$10.59
Max Pain$11.25$10.00$12.50$10.00$10.00
ATM IV54.5%31.2%59.8%56.8%56.2%
Expected Move16.0%15.0%17.1%16.3%16.1%
HV 20d63.4%43.1%74.5%73.6%74.5%
HV 60d66.5%65.0%73.7%65.4%73.7%
IV Rank79.7%22.1%92.9%85.5%83.9%
IV Percentile84.3%1.2%97.6%91.3%88.1%
Term Structure2.2%-1.4%6.5%-1.1%4.0%
VWIV55.6%43.2%59.8%59.8%56.2%
Skew 25d-2.4%-21.6%15.8%6.2%-3.5%
Skew 10d-1.5%-38.1%60.1%13.3%-6.0%
Call IV 25d55.8%49.4%62.4%58.1%57.3%
Put IV 25d53.5%40.7%65.2%64.3%53.8%
Bid-Ask Spread %7.874.4211.159.1110.97
Gamma HHI0.320.280.370.340.33
Net GEX215.0K136.0K267.5K259.4K255.4K
Net DEX-2.8M-7.6M2.4M-7.6M-4.4M
Net VEX-82.9K-99.8K-59.5K-96.9K-91.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.021.870.120.11
Total Volume1,566.42134,0692,3824,069
Total OI47,999.1545,76749,56747,83549,567

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-06-03$11.38$10.0056.8%16.3%73.6%85.5%59.8%6.2%-1.1%259.4K-7.6M-96.9K0.129.112,12525737,45410,381
2013-06-04$11.26$10.0055.6%15.9%73.5%82.5%59.3%5.1%-1.4%259.9K-6.8M-96.4K0.069.001,1816837,46010,417
2013-06-05$11.32$10.0056.8%16.3%71.8%85.4%57.6%2.5%0.1%257.6K-6.7M-96.8K0.209.663,03159237,27610,478
2013-06-06$11.61$10.0055.2%15.8%71.1%81.4%43.2%5.4%1.8%264.9K-7.4M-99.8K0.066.678294737,41510,937
2013-06-07$11.20$10.0057.6%16.5%72.1%87.4%57.5%1.4%-0.7%260.2K-5.4M-93.7K0.3911.1564024937,46010,940
2013-06-10$11.22$10.0057.0%15.4%72.1%86.0%53.7%-1.1%2.4%267.5K-5.4M-91.9K0.196.862,78154137,63711,106
2013-06-11$10.98$12.5053.5%16.1%71.5%77.3%56.0%-2.9%0.8%217.5K-3.2M-87.1K0.346.0967123136,43711,600
2013-06-12$11.06$12.5031.2%15.8%71.6%22.1%55.0%-1.3%2.7%227.4K-3.5M-88.5K0.025.92417836,63011,664
2013-06-13$11.09$12.5055.2%15.8%62.5%81.4%54.8%2.7%3.3%225.8K-3.5M-86.8K0.2210.401,59334736,86111,661
2013-06-14$10.83$12.5053.3%15.3%63.2%76.9%54.5%-3.5%2.9%209.6K-2.8M-86.0K0.077.912001336,63811,553
2013-06-17$10.77$12.5055.8%16.0%58.8%83.0%54.4%-0.4%1.0%205.5K-2.5M-83.6K0.358.282438536,67811,554
2013-06-18$10.67$12.5053.9%15.5%43.6%78.3%55.4%-5.1%2.7%197.1K-2.1M-80.7K0.036.624601236,79711,566
2013-06-19$10.35$12.5052.8%15.1%43.1%75.4%54.1%-10.1%4.4%196.2K-1.1M-75.9K1.877.4814527137,04911,568
2013-06-20$9.63$12.5055.2%15.8%50.2%81.4%56.6%-16.3%3.5%161.9K1.7M-67.3K0.546.661,58385636,68611,474
2013-06-21$9.99$12.5052.3%15.0%52.2%74.3%52.3%-9.8%6.5%196.2K186.4K-73.5K0.614.4254032737,08911,669
2013-06-24$9.23$12.5056.9%16.3%58.8%85.6%57.0%-21.6%4.4%146.3K1.6M-64.9K0.1811.121,29923235,00210,765
2013-06-25$9.47$10.0055.5%15.9%59.8%82.3%55.1%15.8%3.8%172.2K1.2M-66.8K0.205.2654411035,64710,863
2013-06-26$8.85$10.0059.8%17.1%60.9%92.9%59.4%-2.9%0.2%136.0K2.4M-59.5K0.416.4095038835,92810,840
2013-06-27$9.47$10.0059.0%16.9%62.8%90.7%58.9%-7.8%2.3%182.5K281.3K-70.9K0.327.502,56582836,53410,702
2013-06-28$10.59$10.0056.2%16.1%74.5%83.9%56.2%-3.5%4.0%255.4K-4.4M-91.6K0.1110.973,66240738,41211,155