AG Options History — August 2013

In August 2013, AG traded between $11.49 and $15.77. ATM implied volatility averaged 56.5%, placing in the 78.0% IV rank vs the trailing year. The 30-day expected move averaged 16.0%. IV traded below realized volatility by 6.6% (HV 20d: 63.2%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.37.

Notable Days

  • 2013-08-15: Highest Volume — 4,425 contracts
  • 2013-08-13: Largest IV drop — 20.1% change
  • 2013-08-12: Highest IV Rank — 100.0%
  • 2013-08-01: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.84$11.49$15.77$12.60$14.21
Max Pain$13.75$12.50$15.00$12.50$15.00
ATM IV56.5%52.2%65.3%60.6%56.1%
Expected Move16.0%15.0%17.4%17.4%16.1%
HV 20d63.2%54.6%71.1%54.7%68.6%
HV 60d68.1%66.4%70.7%68.7%67.9%
IV Rank78.0%62.6%100.0%91.7%73.6%
IV Percentile78.9%65.1%100.0%95.6%74.6%
Term Structure1.0%-3.4%2.9%-3.4%1.5%
VWIV56.4%53.0%60.4%60.4%56.6%
Skew 25d-0.1%-21.1%4.2%-11.6%-0.2%
Skew 10d-3.0%-33.5%16.1%-20.5%-5.8%
Call IV 25d57.4%53.2%64.9%61.1%58.7%
Put IV 25d57.2%43.7%60.9%49.4%58.4%
Bid-Ask Spread %10.295.2917.5711.4416.62
Gamma HHI0.220.190.290.220.20
Net GEX272.5K170.8K395.0K210.2K295.1K
Net DEX-15.2M-23.7M-6.4M-10.8M-15.6M
Net VEX-118.6K-138.8K-93.9K-107.7K-129.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.101.200.510.28
Total Volume1,787.1364394,4256921,386
Total OI43,000.81840,37247,15240,37247,152

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-08-01$12.60$12.5060.6%17.4%54.7%91.7%60.4%-11.6%-3.4%210.2K-10.8M-107.7K0.5111.4445923332,4737,899
2013-08-02$12.23$12.5057.7%16.5%55.5%84.8%57.8%-21.1%-1.3%194.3K-9.3M-104.3K1.2013.2220023932,7268,093
2013-08-05$12.29$12.5059.0%16.3%54.6%88.0%57.3%2.2%1.3%195.4K-9.3M-104.0K0.789.5237329132,8238,165
2013-08-06$11.51$12.5059.6%16.7%58.1%89.3%58.6%-0.9%0.1%170.8K-6.6M-93.9K0.3910.5385733032,9708,157
2013-08-07$11.49$12.5059.0%16.3%56.7%88.0%57.8%0.7%1.6%171.0K-6.4M-94.2K0.119.831,05211533,4918,305
2013-08-08$12.25$12.5059.8%16.2%58.1%89.9%57.2%1.3%1.1%197.3K-8.8M-100.2K0.149.931,71024532,9428,346
2013-08-09$12.76$12.5056.7%16.3%58.9%82.3%56.7%2.1%0.6%227.1K-10.8M-104.9K0.2817.5772620532,9938,447
2013-08-12$13.30$12.5065.3%16.2%60.4%100.0%57.2%-0.7%1.7%250.2K-13.4M-110.5K0.278.531,94253133,2168,494
2013-08-13$13.11$12.5052.2%15.8%57.8%69.5%54.9%3.0%1.4%225.7K-12.2M-106.6K0.1913.9192117732,9988,600
2013-08-14$14.41$12.5052.4%15.7%64.7%70.0%55.1%4.2%1.3%320.1K-18.0M-118.6K0.177.633,19355433,1348,638
2013-08-15$15.27$12.5056.4%16.2%66.5%79.2%56.4%3.4%1.2%395.0K-22.4M-126.4K0.4110.053,1291,29633,8478,708
2013-08-16$14.78$15.0057.5%16.5%67.6%81.8%57.7%1.0%-0.5%339.9K-19.1M-125.6K0.577.951,61992034,6439,558
2013-08-19$14.49$15.0057.0%16.3%65.2%80.5%57.4%0.1%1.0%281.6K-17.0M-124.2K0.368.321,06238533,3358,317
2013-08-20$15.19$15.0055.9%16.0%66.4%73.0%56.2%1.0%1.0%314.6K-20.6M-132.4K0.257.541,19229833,8968,601
2013-08-21$14.55$15.0054.4%15.6%66.3%68.6%54.4%-0.6%1.8%294.4K-17.5M-126.4K0.619.671,37984734,2408,733
2013-08-22$15.08$15.0052.3%15.0%66.7%62.6%53.0%4.1%2.6%315.9K-20.0M-132.8K0.108.401,0309834,8039,416
2013-08-23$15.43$15.0052.4%15.0%66.4%63.0%53.4%3.0%2.9%334.1K-21.9M-137.3K0.568.6180644835,2489,443
2013-08-26$15.77$15.0053.2%15.2%66.1%65.1%54.2%0.8%1.9%353.7K-23.7M-138.8K0.315.291,54947635,4389,646
2013-08-27$14.86$15.0055.2%15.8%70.0%71.0%55.5%3.9%1.7%313.8K-18.8M-132.6K0.138.632,73536235,6599,687
2013-08-28$14.44$15.0055.2%15.8%71.1%71.1%56.0%1.3%2.9%299.5K-16.5M-130.0K0.3311.641,16538136,3429,919
2013-08-29$14.36$15.0056.1%16.1%69.6%73.5%56.5%-0.1%0.4%294.1K-16.1M-129.6K0.1011.562,18122036,33010,147
2013-08-30$14.21$15.0056.1%16.1%68.6%73.6%56.6%-0.2%1.5%295.1K-15.6M-129.0K0.2816.621,08530136,91210,240