AG Options History — September 2013

In September 2013, AG traded between $11.86 and $14.63. ATM implied volatility averaged 59.1%, placing in the 82.1% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded below realized volatility by 3.7% (HV 20d: 62.8%). Max pain ranged from $10.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.23.

Notable Days

  • 2013-09-18: Highest Volume — 3,600 contracts
  • 2013-09-18: Largest IV drop — 8.5% change
  • 2013-09-11: Highest IV Rank — 97.1%
  • 2013-09-10: Largest Expected Move — 18.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.20$11.86$14.63$14.63$11.86
Max Pain$15.00$10.00$20.00$15.00$15.00
ATM IV59.1%55.8%64.3%58.1%58.5%
Expected Move17.3%16.0%18.0%16.6%17.4%
HV 20d62.8%53.7%69.0%69.0%64.3%
HV 60d67.7%63.0%70.6%67.6%63.1%
IV Rank82.1%72.8%97.1%79.2%80.5%
IV Percentile85.1%65.9%99.6%84.9%82.5%
Term Structure1.4%-2.2%5.1%1.3%5.1%
VWIV59.7%43.2%64.5%59.5%60.5%
Skew 25d1.3%-2.7%3.6%2.2%-1.2%
Skew 10d2.9%-13.3%17.3%2.4%-5.9%
Call IV 25d61.1%58.4%65.5%59.6%63.5%
Put IV 25d62.4%59.1%66.5%61.7%62.2%
Bid-Ask Spread %15.765.8333.9616.0316.41
Gamma HHI0.230.200.270.200.23
Net GEX248.8K183.4K341.6K321.9K183.8K
Net DEX-11.3M-17.9M-6.2M-17.9M-6.2M
Net VEX-115.6K-131.8K-100.1K-131.8K-100.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.230.060.790.130.06
Total Volume1,5026443,6001,0782,117
Total OI48,751.0546,56052,06347,52447,666

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-09-03$14.63$15.0058.1%16.6%69.0%79.2%59.5%2.2%1.3%321.9K-17.9M-131.8K0.1316.0395312537,18910,335
2013-09-04$14.61$15.0057.5%16.5%63.4%77.5%43.2%3.6%1.9%326.1K-17.6M-130.6K0.098.959668437,26110,349
2013-09-05$13.94$15.0055.9%16.0%66.6%72.9%56.3%1.1%4.1%290.9K-14.3M-122.6K0.297.3382024137,46510,367
2013-09-06$14.27$12.5057.1%17.1%63.7%76.5%59.9%1.7%-0.3%315.1K-16.0M-127.4K0.078.036364737,67210,433
2013-09-09$13.94$12.5058.4%17.5%63.4%80.1%60.7%-0.9%-1.0%298.0K-14.4M-122.9K0.205.8353810637,96210,412
2013-09-10$13.56$12.5061.8%18.0%62.8%89.8%62.8%2.4%-2.2%267.3K-12.2M-119.0K0.418.191,58865638,15210,455
2013-09-11$13.70$12.5064.3%17.7%62.6%97.1%60.4%1.9%-2.0%285.7K-13.1M-120.6K0.2112.371,01121038,68410,479
2013-09-12$12.68$12.5062.4%17.9%58.6%91.6%64.5%2.2%-1.8%203.2K-8.2M-108.6K0.1512.483,10245638,83210,635
2013-09-13$12.82$12.5061.7%17.7%53.9%89.7%61.9%3.0%0.1%212.1K-9.0M-111.8K0.2211.8482718539,44010,797
2013-09-16$12.46$0.0061.8%17.2%53.7%89.9%0.0%3.6%-0.4%183.4K-7.6M-107.7K0.1833.961,04418839,64210,768
2013-09-17$12.61$0.0062.3%17.3%54.0%91.4%59.9%-1.3%-0.5%184.4K-8.3M-109.9K0.4220.9959124939,96710,829
2013-09-18$14.08$20.0057.0%17.3%65.7%76.2%60.4%2.9%2.7%341.6K-15.5M-124.3K0.1227.583,21738340,25210,777
2013-09-19$13.85$10.0058.9%17.0%64.3%81.5%59.3%-0.4%1.0%286.9K-14.1M-120.3K0.7914.511,4571,15740,02810,399
2013-09-20$12.95$20.0058.1%17.4%66.5%79.1%59.1%1.4%2.2%229.8K-10.4M-117.1K0.0718.121,96813141,05011,013
2013-09-23$12.48$20.0058.3%17.6%66.3%79.9%61.8%1.7%3.0%208.2K-8.5M-107.5K0.4619.1071133037,2279,333
2013-09-24$12.39$20.0058.5%17.4%65.2%80.5%63.4%1.8%3.2%206.2K-8.2M-106.7K0.2021.9665012737,2599,558
2013-09-25$12.68$15.0059.0%17.3%63.8%81.8%60.8%3.2%3.4%221.8K-9.5M-112.1K0.1720.6694715737,4949,587
2013-09-26$12.29$15.0056.0%17.0%63.9%73.3%59.6%-2.7%4.9%212.7K-8.0M-106.8K0.2518.1881320037,8559,732
2013-09-27$12.19$15.0055.8%17.3%63.9%72.8%60.5%0.7%3.9%197.9K-7.4M-104.6K0.1912.6288117137,8339,833
2013-09-30$11.86$15.0058.5%17.4%64.3%80.5%0.0%-1.2%5.1%183.8K-6.2M-100.1K0.0616.411,99312437,8339,833