AG Options History — January 2014

In January 2014, AG traded between $10.05 and $11.19. ATM implied volatility averaged 47.0%, placing in the 41.1% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded below realized volatility by 2.5% (HV 20d: 49.6%). 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 20 of 21 days. Put/call ratio averaged 0.33.

Notable Days

  • 2014-01-07: Highest Volume — 25,468 contracts
  • 2014-01-16: Largest IV spike — 52.8% change
  • 2014-01-07: Highest IV Rank — 57.1%
  • 2014-01-07: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.59$10.05$11.19$10.45$10.44
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV47.0%32.1%53.5%50.1%49.2%
Expected Move16.6%16.2%17.0%16.7%16.4%
HV 20d49.6%44.0%56.7%49.0%51.5%
HV 60d51.7%49.7%54.2%52.5%49.8%
IV Rank41.1%4.3%57.1%48.6%46.5%
IV Percentile27.5%0.8%44.0%35.3%32.1%
Term Structure3.7%-2.6%5.9%-2.6%1.8%
VWIV57.6%55.7%59.4%57.8%56.3%
Skew 25d3.4%-10.1%44.8%44.8%11.5%
Skew 10d18.7%-11.7%112.6%112.6%13.7%
Call IV 25d45.1%32.8%52.7%36.8%36.3%
Put IV 25d48.6%42.5%81.5%81.5%47.8%
Bid-Ask Spread %14.0810.7119.1719.1714.08
Gamma HHI0.330.260.520.310.26
Net GEX181.2K104.8K279.9K120.1K149.4K
Net DEX-10.0M-15.4M-2.5M-3.4M-8.6M
Net VEX-124.4K-137.5K-95.7K-97.1K-125.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.060.990.240.25
Total Volume3,096.71451725,4682,816517
Total OI62,347.52452,37276,81057,11753,165

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-01-02$10.45$10.0050.1%16.7%49.0%48.6%57.8%44.8%-2.6%120.1K-3.4M-97.1K0.2419.172,27254441,04016,077
2014-01-03$10.10$10.0045.9%16.7%47.8%38.2%59.2%7.1%3.7%104.8K-2.5M-95.7K0.4114.9751421142,05316,040
2014-01-06$10.19$10.0048.6%16.7%46.8%45.1%58.3%-6.9%2.6%110.9K-3.0M-95.9K0.2416.1663315042,20916,166
2014-01-07$10.53$10.0053.5%17.0%47.1%57.1%58.6%-3.7%5.8%131.3K-4.8M-99.7K0.0613.2123,9901,47842,44916,149
2014-01-08$10.50$10.0049.2%17.0%45.3%46.5%59.2%-4.6%5.6%241.9K-10.3M-119.8K0.9910.712,6252,58951,83816,890
2014-01-09$10.05$10.0049.4%16.7%44.4%46.9%59.4%-10.1%4.5%208.4K-7.1M-130.1K0.3310.881,91463253,48120,804
2014-01-10$10.57$10.0046.5%16.8%44.8%39.8%58.0%-3.8%5.2%258.4K-11.7M-133.0K0.4311.181,43160954,98019,607
2014-01-13$10.81$10.0033.3%16.7%44.0%7.1%58.0%-1.6%2.6%188.4K-14.0M-134.8K0.4215.381,27753955,58919,828
2014-01-14$10.31$10.0044.0%16.6%47.8%33.5%57.9%-8.9%5.3%279.9K-10.2M-130.5K0.4216.111,87078855,61419,874
2014-01-15$10.60$10.0032.1%16.6%48.5%4.3%57.8%-4.1%5.9%198.3K-12.7M-133.3K0.1214.051,40617256,15319,986
2014-01-16$10.60$10.0049.1%16.6%48.1%46.2%57.7%-2.8%4.8%202.2K-13.1M-134.0K0.2814.2670219656,68120,019
2014-01-17$11.02$10.0049.2%16.6%48.8%46.4%58.3%2.6%4.7%196.9K-15.4M-137.5K0.2812.712,13260656,77320,037
2014-01-21$11.16$10.0049.0%16.4%47.8%45.9%56.8%2.4%4.0%203.4K-15.4M-136.3K0.3913.141,30350736,78316,665
2014-01-22$10.80$10.0048.1%16.2%50.2%43.7%56.2%6.5%3.1%204.9K-13.0M-134.4K0.1314.411,85223237,17216,937
2014-01-23$11.19$10.0049.0%16.3%50.7%46.1%55.7%2.4%3.0%200.3K-14.9M-134.6K0.7612.691,5171,15836,24416,872
2014-01-24$10.80$10.0048.0%16.2%53.1%43.4%56.7%1.7%3.3%188.5K-11.8M-131.9K0.3514.302,72295936,58517,392
2014-01-27$10.27$10.0047.4%16.2%56.4%41.9%56.4%8.7%4.4%145.8K-8.0M-125.2K0.1614.191,58925235,42717,529
2014-01-28$10.48$10.0047.8%16.4%56.7%43.0%0.0%12.7%5.6%152.5K-8.9M-127.6K0.1615.261,17319035,37017,499
2014-01-29$10.80$10.0049.1%16.4%56.5%46.3%57.4%2.3%2.3%158.8K-10.5M-127.5K0.1615.181,08216834,93517,437
2014-01-30$10.64$10.0049.3%16.6%55.7%46.8%57.3%15.9%2.9%159.2K-9.8M-128.5K0.2913.6641211835,43317,516
2014-01-31$10.44$10.0049.2%16.4%51.5%46.5%56.3%11.5%1.8%149.4K-8.6M-125.6K0.2514.0841410335,61217,553