AG Options History — December 2013

In December 2013, AG traded between $8.95 and $10.02. ATM implied volatility averaged 52.3%, placing in the 54.1% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded below realized volatility by 1.8% (HV 20d: 54.1%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2013-12-04: Highest Volume — 2,910 contracts
  • 2013-12-03: Largest IV spike — 9.0% change
  • 2013-12-13: Highest IV Rank — 62.3%
  • 2013-12-06: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.43$8.95$10.02$9.15$9.80
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV52.3%48.0%55.6%50.9%48.8%
Expected Move16.8%16.5%17.1%16.5%16.6%
HV 20d54.1%45.3%59.5%47.1%45.3%
HV 60d52.7%50.0%57.3%55.6%50.8%
IV Rank54.1%43.6%62.3%50.8%45.4%
IV Percentile42.3%30.2%52.8%42.5%32.9%
Term Structure0.3%-1.9%2.9%2.5%1.6%
VWIV58.7%57.3%60.6%58.5%58.0%
Skew 25d-2.3%-18.7%73.0%-12.7%73.0%
Skew 10d-1.7%-29.4%109.9%-11.8%109.9%
Call IV 25d52.6%42.9%60.3%50.8%43.3%
Put IV 25d50.4%38.1%116.4%38.1%116.4%
Bid-Ask Spread %17.1613.1323.0913.1318.00
Gamma HHI0.280.240.340.290.25
Net GEX60.6K4.8K97.6K14.6K81.4K
Net DEX1.2M-1.2M3.7M3.3M-254.3K
Net VEX-86.6K-96.0K-77.4K-79.7K-89.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.061.920.660.37
Total Volume1,002.4293622,9101,986995
Total OI56,582.04853,08659,03053,08656,611

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-12-02$9.15$10.0050.9%16.5%47.1%50.8%58.5%-12.7%2.5%14.6K3.3M-79.7K0.6613.131,19479237,09415,992
2013-12-03$8.95$10.0055.5%16.8%46.8%62.1%58.8%-13.0%-1.5%4.8K3.7M-77.4K1.0217.5729830537,51216,319
2013-12-04$9.46$10.0053.4%16.5%52.1%56.8%59.0%-6.9%1.2%20.1K2.0M-84.4K0.1117.672,61229837,57915,854
2013-12-05$9.25$10.0055.4%17.1%52.3%61.7%60.6%-6.3%-1.9%49.1K1.5M-85.8K0.2617.0580621039,75115,928
2013-12-06$9.09$10.0055.5%17.1%51.7%62.1%59.5%-1.6%0.4%44.4K1.9M-83.7K1.9220.6312423840,11416,034
2013-12-09$9.48$10.0051.7%16.8%54.1%52.7%59.2%0.8%1.2%54.6K1.1M-87.2K1.6616.3234958140,14116,070
2013-12-10$10.02$10.0052.2%16.7%58.1%53.9%58.6%-12.4%-1.7%84.0K-1.2M-96.0K0.1316.041,80522840,36416,457
2013-12-11$9.60$10.0053.1%16.8%59.3%56.2%59.6%-0.5%0.3%70.2K205.8K-91.0K0.0615.469976340,85016,473
2013-12-12$9.39$10.0052.7%16.8%59.5%55.2%58.2%0.4%1.0%70.1K1.3M-88.1K1.0115.8841341641,53116,525
2013-12-13$9.57$10.0055.6%16.9%59.3%62.3%57.5%1.1%-1.8%90.3K251.0K-92.0K0.2315.5366215241,67516,690
2013-12-16$9.64$10.0053.9%17.0%59.3%58.1%60.0%2.5%-0.2%97.6K168.0K-92.2K0.4916.9543020941,96016,770
2013-12-17$9.51$10.0053.7%17.0%56.8%57.5%58.8%-17.7%-0.1%93.9K848.9K-89.0K0.2514.693929742,20516,700
2013-12-18$9.37$10.0055.4%16.9%56.3%61.8%59.0%-18.7%-0.6%77.6K1.2M-88.0K0.0623.091,0346642,35116,679
2013-12-19$9.20$10.0053.0%16.6%55.2%55.9%57.9%-1.0%-0.0%54.6K2.0M-83.4K0.3920.2648718842,37516,273
2013-12-20$9.29$10.0050.4%16.9%54.7%49.4%57.3%-8.2%2.0%55.7K2.0M-83.9K0.4917.3742721142,37916,385
2013-12-23$9.21$10.0051.1%16.6%54.7%51.3%60.3%-10.2%1.5%52.6K1.2M-82.9K1.1221.2671880339,90115,153
2013-12-24$9.35$10.0048.5%16.8%54.6%44.8%0.0%-5.5%2.2%54.9K1.4M-84.3K0.4315.9525811039,91415,758
2013-12-26$9.59$10.0048.2%16.7%53.6%44.0%57.6%-3.1%2.9%69.6K313.2K-87.4K0.4816.3043220640,01515,719
2013-12-27$9.66$10.0048.0%16.7%53.5%43.6%57.8%-2.3%-0.1%69.0K419.6K-87.8K0.1113.505856740,04415,851
2013-12-30$9.44$10.0051.3%16.6%51.8%51.6%58.0%-5.5%-1.9%64.0K738.1K-86.1K0.1417.7469310040,34215,885
2013-12-31$9.80$10.0048.8%16.6%45.3%45.4%58.0%73.0%1.6%81.4K-254.3K-89.1K0.3718.0072726840,65915,952