AG Options History — October 2013

In October 2013, AG traded between $10.55 and $12.44. ATM implied volatility averaged 59.4%, placing in the 83.0% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded above realized volatility by 4.8% (HV 20d: 54.6%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.44.

Notable Days

  • 2013-10-24: Highest Volume — 3,808 contracts
  • 2013-10-17: Largest IV drop — 6.3% change
  • 2013-10-10: Highest IV Rank — 98.8%
  • 2013-10-03: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.42$10.55$12.44$11.54$11.31
Max Pain$11.41$10.00$12.50$12.50$10.00
ATM IV59.4%55.4%64.9%57.3%58.5%
Expected Move17.3%16.8%17.8%17.4%17.1%
HV 20d54.6%35.2%63.1%62.9%58.2%
HV 60d61.1%58.1%63.2%63.2%62.7%
IV Rank83.0%71.6%98.8%77.0%80.5%
IV Percentile81.1%58.3%99.6%76.2%77.8%
Term Structure-1.6%-5.4%6.0%6.0%-2.3%
VWIV60.8%58.7%66.2%61.0%59.4%
Skew 25d2.2%-7.0%17.5%8.3%2.6%
Skew 10d2.1%-26.3%30.8%20.5%12.8%
Call IV 25d59.0%46.6%66.5%54.3%58.8%
Put IV 25d61.1%55.2%66.4%62.6%61.4%
Bid-Ask Spread %13.5211.1416.5115.2612.67
Gamma HHI0.300.260.340.270.33
Net GEX200.9K154.8K272.3K197.9K229.2K
Net DEX-6.0M-11.9M-2.8M-5.7M-6.7M
Net VEX-97.6K-110.9K-85.1K-99.3K-96.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.081.020.300.82
Total Volume1,182.4354753,8081,385961
Total OI49,137.60942,99752,80849,53047,776

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-10-01$11.54$12.5057.3%17.4%62.9%77.0%61.0%8.3%6.0%197.9K-5.7M-99.3K0.3015.261,06831739,6029,928
2013-10-02$11.58$12.5060.2%17.4%63.1%85.3%61.0%-6.5%3.1%200.8K-5.7M-98.5K0.2515.773819439,8599,882
2013-10-03$11.30$12.5058.5%17.8%61.9%80.4%63.3%2.7%5.4%189.6K-5.1M-95.4K0.1716.511,59527439,9379,896
2013-10-04$11.28$12.5061.4%17.4%60.7%88.7%60.9%0.5%-2.6%192.9K-5.0M-97.8K1.0214.8139440140,4309,913
2013-10-07$11.45$12.5062.0%17.5%61.2%90.5%60.2%1.4%-4.3%189.1K-5.4M-97.9K0.1112.856026740,51610,280
2013-10-08$10.94$12.5062.5%17.6%62.3%92.0%61.8%-4.5%-3.3%172.1K-3.8M-93.6K0.3013.1266920240,61310,320
2013-10-09$10.87$12.5062.3%17.7%61.8%91.2%61.5%-4.5%-4.3%172.1K-3.7M-92.0K0.4413.8391440541,07510,324
2013-10-10$10.90$12.5064.9%17.6%56.8%98.8%66.2%-5.1%-3.4%178.5K-3.8M-92.9K0.1913.9389416641,14610,340
2013-10-11$10.69$12.5064.0%17.6%56.5%96.1%60.6%-6.7%-2.5%172.6K-3.2M-89.9K0.0811.144754041,61310,365
2013-10-14$10.72$12.5063.1%17.5%56.2%93.7%0.0%-7.0%-1.6%175.2K-3.2M-89.1K0.9612.1251549441,71310,277
2013-10-15$10.84$12.5062.2%17.6%56.2%91.1%62.2%-2.6%-1.3%161.9K-3.8M-89.4K0.9814.1976374441,92610,271
2013-10-16$10.55$12.5060.1%17.5%35.2%85.0%61.5%-4.7%-0.9%154.8K-2.8M-85.1K0.9213.5056952242,08810,524
2013-10-17$11.48$12.5056.3%17.1%49.7%74.1%59.8%9.8%0.3%177.7K-5.5M-96.2K0.4012.551,15045741,74410,807
2013-10-18$11.31$10.0055.7%17.1%44.8%72.3%59.7%6.2%0.3%170.0K-4.7M-94.1K0.6615.3064842541,84010,968
2013-10-21$11.60$10.0055.4%16.9%44.7%71.6%59.7%1.0%-1.1%184.1K-6.2M-98.2K0.3615.8377127433,6929,305
2013-10-22$12.03$10.0056.0%17.0%46.9%73.2%59.6%4.5%-2.8%221.4K-8.0M-104.1K0.2813.002,16361534,0079,403
2013-10-23$11.48$10.0058.3%17.0%48.6%80.0%59.3%8.1%-3.6%190.5K-5.8M-98.2K0.1613.2584813534,3919,704
2013-10-24$12.26$10.0055.9%17.2%53.5%72.9%59.9%4.8%-2.2%237.8K-8.8M-107.7K0.1812.153,23757134,6349,826
2013-10-25$12.44$10.0057.3%16.9%53.7%76.9%0.0%5.9%-3.7%272.3K-11.9M-110.9K0.2913.0546813836,90310,077
2013-10-28$12.18$10.0059.1%16.9%53.3%82.3%0.0%1.3%-5.4%264.7K-11.0M-108.6K0.5712.1037821637,14910,127
2013-10-29$11.79$10.0056.9%16.8%53.7%75.8%58.7%16.5%-3.3%255.0K-9.0M-104.1K0.4011.2534413737,19110,243
2013-10-30$12.04$10.0058.1%17.0%54.2%79.2%59.4%17.5%-3.6%261.2K-9.9M-104.7K0.2312.6856612937,20810,332
2013-10-31$11.31$10.0058.5%17.1%58.2%80.5%0.0%2.6%-2.3%229.2K-6.7M-96.6K0.8212.6752743437,40410,372