AG Options History — November 2013

In November 2013, AG traded between $9.39 and $11.02. ATM implied volatility averaged 53.0%, placing in the 56.5% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 1.8% (HV 20d: 51.2%). 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 18 of 20 days. Put/call ratio averaged 0.77.

Notable Days

  • 2013-11-18: Highest Volume — 4,892 contracts
  • 2013-11-14: Largest IV spike — 43.6% change
  • 2013-11-04: Highest IV Rank — 100.0%
  • 2013-11-08: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.28$9.39$11.02$10.92$9.89
Max Pain$11.75$10.00$12.50$10.00$10.00
ATM IV53.0%37.0%70.9%58.9%48.6%
Expected Move16.9%16.3%17.3%17.1%16.5%
HV 20d51.2%40.3%59.5%59.5%40.9%
HV 60d55.7%53.4%61.6%61.6%53.9%
IV Rank56.5%16.4%100.0%81.5%45.0%
IV Percentile54.9%3.2%100.0%80.6%38.5%
Term Structure1.1%-1.3%5.0%1.0%0.8%
VWIV59.0%57.1%60.6%60.1%58.6%
Skew 25d-1.2%-9.7%31.1%-2.0%4.7%
Skew 10d-0.1%-16.8%59.2%-0.3%7.2%
Call IV 25d50.5%38.7%63.0%63.0%39.1%
Put IV 25d49.2%40.0%82.1%60.9%43.7%
Bid-Ask Spread %12.249.4514.9313.1613.06
Gamma HHI0.300.270.340.320.29
Net GEX101.2K22.4K203.8K203.8K45.1K
Net DEX-932.9K-4.8M2.8M-4.7M973.5K
Net VEX-82.8K-90.8K-75.1K-89.5K-90.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.103.290.230.27
Total Volume1,465.053874,8921,635387
Total OI48,794.244,30952,93248,18952,932

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$10.92$10.0058.9%17.1%59.5%81.5%60.1%-2.0%1.0%203.8K-4.7M-89.5K0.2313.161,33230337,53310,656
2013-11-04$11.02$10.0070.9%17.1%59.3%100.0%59.8%0.3%-1.2%199.4K-4.8M-90.7K0.7412.4527620537,06210,625
2013-11-05$10.80$12.5062.9%17.1%57.5%80.4%59.5%-4.2%0.1%179.1K-3.7M-86.1K1.1712.7526230637,05410,694
2013-11-06$10.81$12.5059.8%17.1%57.4%72.6%60.6%-2.5%0.1%177.5K-3.8M-86.0K0.9012.3947643037,07410,774
2013-11-07$10.47$12.5065.5%17.2%58.5%86.8%59.8%-7.5%1.3%152.5K-2.4M-82.9K0.209.4593219137,10311,037
2013-11-08$10.63$12.5057.6%17.3%58.4%67.2%60.1%-5.8%1.6%155.7K-2.9M-83.4K0.3211.6469422037,40911,090
2013-11-11$10.73$12.5068.8%17.2%58.5%94.9%59.1%-6.0%2.3%135.5K-3.8M-81.2K0.6211.5972744937,47411,080
2013-11-12$10.46$12.5041.7%17.1%59.0%27.9%59.4%-5.9%1.2%144.0K-2.4M-79.2K0.1010.792,03620037,52211,224
2013-11-13$10.52$12.5037.0%17.2%58.3%16.4%59.4%-7.4%2.2%109.9K-2.1M-78.5K0.5011.4959929736,83811,136
2013-11-14$10.75$12.5053.2%17.1%49.9%56.3%0.0%-4.9%1.3%129.5K-2.9M-80.0K0.6811.1652535936,36410,909
2013-11-15$10.56$12.5048.3%16.8%50.0%44.2%59.0%-5.0%2.0%112.8K-2.2M-77.0K3.2912.898272,72536,38510,983
2013-11-18$10.03$12.5048.8%16.5%51.5%45.5%58.0%-9.7%1.8%72.4K364.4K-75.1K1.9113.301,6823,21033,04211,267
2013-11-19$10.23$12.5048.7%16.7%50.0%45.3%58.9%31.1%0.4%43.8K1.3M-82.4K2.2112.2840388933,40113,990
2013-11-20$9.85$12.5049.6%16.3%49.2%47.4%58.3%3.3%0.0%27.9K2.1M-80.0K0.7114.9385160533,67614,424
2013-11-21$9.59$12.5048.7%16.6%41.2%45.2%59.3%-2.9%1.7%24.1K2.7M-78.4K0.3012.311,37941634,24114,825
2013-11-22$9.60$12.5044.4%16.5%40.3%34.6%57.8%1.3%5.0%30.5K2.2M-83.2K0.4612.9167731235,14615,127
2013-11-25$9.77$10.0049.0%16.5%41.5%45.9%57.1%4.0%1.0%34.2K1.8M-84.9K0.3511.261,91367835,53015,310
2013-11-26$9.39$10.0048.6%16.5%42.1%45.0%58.8%-3.8%0.7%22.4K2.8M-82.5K0.1612.9376412436,43615,815
2013-11-27$9.48$10.0049.5%16.7%41.1%47.3%58.4%-2.1%-1.3%24.4K2.6M-84.9K0.2812.0250014036,79015,906
2013-11-29$9.89$10.0048.6%16.5%40.9%45.0%58.6%4.7%0.8%45.1K973.5K-90.8K0.2713.063048336,99315,939