AG Options History — July 2013

In July 2013, AG traded between $10.31 and $13.74. ATM implied volatility averaged 59.6%, placing in the 92.2% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded below realized volatility by 17.5% (HV 20d: 77.1%). 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 8 of 22 days. Put/call ratio averaged 0.42.

Notable Days

  • 2013-07-22: Highest Volume — 2,350 contracts
  • 2013-07-22: Largest IV spike — 6.4% change
  • 2013-07-30: Highest IV Rank — 100.0%
  • 2013-07-31: Largest Expected Move — 18.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.18$10.31$13.74$10.95$13.06
Max Pain$11.25$10.00$12.50$10.00$12.50
ATM IV59.6%56.7%64.0%57.0%64.0%
Expected Move17.2%16.3%18.4%16.4%18.4%
HV 20d77.1%56.1%86.6%73.2%56.1%
HV 60d71.1%68.3%75.8%74.1%68.9%
IV Rank92.2%85.3%100.0%86.0%100.0%
IV Percentile94.5%84.5%100.0%91.3%100.0%
Term Structure-0.9%-5.9%3.6%3.6%-5.9%
VWIV60.0%56.4%63.9%56.4%63.9%
Skew 25d-1.1%-9.7%8.1%0.8%-6.0%
Skew 10d-0.5%-25.4%17.3%4.1%-7.1%
Call IV 25d59.8%52.4%63.5%56.9%62.8%
Put IV 25d58.7%53.3%66.1%57.7%56.8%
Bid-Ask Spread %10.956.7418.9611.3211.99
Gamma HHI0.310.210.640.300.21
Net GEX264.1K222.6K536.2K258.5K230.0K
Net DEX-10.5M-15.1M-3.5M-6.2M-12.7M
Net VEX-103.8K-117.8K-88.1K-94.7K-113.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.111.000.230.76
Total Volume926.7732172,3501,001601
Total OI46,510.63637,26351,91749,80140,113

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-07-01$10.95$10.0057.0%16.4%73.2%86.0%56.4%0.8%3.6%258.5K-6.2M-94.7K0.2311.3281518638,51911,282
2013-07-02$10.31$10.0056.7%16.3%76.0%85.3%57.2%-9.7%2.7%247.5K-3.5M-88.1K0.2410.462506138,54811,324
2013-07-03$11.01$10.0059.6%17.1%80.0%92.3%58.9%1.0%1.8%256.4K-6.5M-96.3K0.117.077317838,59411,369
2013-07-05$10.80$10.0059.5%17.7%79.6%92.1%61.7%5.4%-0.1%259.3K-5.6M-90.6K0.4016.261877538,82511,340
2013-07-08$10.58$10.0061.2%18.0%78.9%96.2%63.2%-4.9%-2.7%265.5K-4.7M-88.4K0.976.7423122438,79611,315
2013-07-09$11.11$10.0060.8%17.9%81.0%95.4%60.7%2.4%-2.1%261.7K-6.9M-91.9K1.008.0062362438,83411,340
2013-07-10$11.51$10.0057.1%16.8%81.6%86.1%58.8%-1.4%0.6%250.6K-8.5M-94.4K0.1110.141,70719038,90811,283
2013-07-11$12.15$10.0057.7%16.5%83.6%87.6%58.2%0.6%0.7%253.0K-11.1M-101.1K0.2710.071,23933539,17311,355
2013-07-12$11.85$10.0060.0%17.2%84.3%93.2%61.5%0.2%-0.8%254.8K-10.2M-101.4K0.3812.7634213139,66511,486
2013-07-15$11.98$10.0058.0%16.6%83.7%88.5%58.3%1.6%0.4%258.9K-10.6M-100.5K0.2810.2366818839,77811,545
2013-07-16$12.66$10.0060.5%17.3%85.4%94.5%60.5%3.0%-0.9%313.0K-13.6M-107.5K0.2110.511,36828939,86211,560
2013-07-17$12.22$12.5060.5%17.4%86.6%94.6%61.1%-1.7%-1.1%289.4K-11.6M-104.9K0.3415.2279827440,05111,811
2013-07-18$12.08$12.5060.2%17.3%85.8%93.9%60.5%3.4%0.3%246.1K-10.5M-100.5K0.3610.7931411340,03111,740
2013-07-19$12.55$12.5056.8%16.3%81.0%85.4%57.0%3.0%0.8%536.2K-13.5M-104.9K0.2418.9686020840,24911,668
2013-07-22$13.34$12.5060.4%17.3%82.4%94.4%62.2%-8.8%-1.8%222.6K-13.8M-114.1K0.357.811,73861230,4906,773
2013-07-23$13.74$12.5060.6%17.4%74.7%94.7%59.5%8.1%-2.7%240.9K-15.1M-117.0K0.179.181,09618431,0347,133
2013-07-24$13.15$12.5059.6%17.1%78.0%92.5%59.6%-5.2%-3.1%229.5K-12.9M-111.4K0.5011.5573036831,4647,188
2013-07-25$13.55$12.5058.5%16.8%71.4%89.6%57.4%2.9%-0.3%237.3K-14.5M-117.1K0.179.0565511331,7957,425
2013-07-26$13.32$12.5058.6%16.8%70.5%89.8%58.1%-3.1%-1.2%240.0K-13.9M-117.8K0.768.1530223032,2387,466
2013-07-29$13.15$12.5061.1%17.5%61.6%96.1%61.0%-7.7%-2.7%233.5K-13.5M-115.5K0.8412.5723619832,2427,576
2013-07-30$12.95$12.5063.2%18.1%61.6%100.0%63.2%-8.7%-4.6%224.6K-12.5M-112.3K0.5012.071457232,3467,700
2013-07-31$13.06$12.5064.0%18.4%56.1%100.0%63.9%-6.0%-5.9%230.0K-12.7M-113.0K0.7611.9934225932,3637,750