AG Options History — March 2014

In March 2014, AG traded between $9.64 and $11.56. ATM implied volatility averaged 46.0%, placing in the 40.3% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 3.5% (HV 20d: 49.5%). 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 10 of 21 days. Put/call ratio averaged 1.19.

Notable Days

  • 2014-03-13: Highest Volume — 11,107 contracts
  • 2014-03-13: Largest IV spike — 18.0% change
  • 2014-03-04: Highest IV Rank — 55.3%
  • 2014-03-04: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.83$9.64$11.56$11.42$9.64
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV46.0%39.9%52.2%50.8%42.9%
Expected Move14.8%14.1%15.6%15.4%14.6%
HV 20d49.5%41.1%55.3%52.7%47.3%
HV 60d49.7%47.6%52.3%50.5%50.5%
IV Rank40.3%25.6%55.3%51.9%32.8%
IV Percentile15.9%6.7%38.1%35.3%6.7%
Term Structure0.2%-2.3%3.8%-2.3%3.0%
VWIV51.4%49.8%53.7%53.7%50.7%
Skew 25d1.4%-16.8%8.2%2.6%-1.1%
Skew 10d9.5%-16.2%51.1%11.9%0.1%
Call IV 25d44.1%33.3%50.9%50.9%41.1%
Put IV 25d45.5%31.3%53.6%53.6%40.0%
Bid-Ask Spread %11.298.0617.0017.0015.46
Gamma HHI0.310.190.440.370.31
Net GEX111.7K16.3K210.1K182.7K41.8K
Net DEX-4.7M-13.1M8.6M-12.3M8.6M
Net VEX-126.2K-143.6K-115.5K-121.0K-117.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.190.136.640.190.20
Total Volume2,170.47654311,1078361,117
Total OI61,146.90551,21171,41751,21171,417

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-03-03$11.42$10.0050.8%15.4%52.7%51.9%53.7%2.6%-2.3%182.7K-12.3M-121.0K0.1917.0070313334,09917,112
2014-03-04$11.14$10.0052.2%15.6%53.6%55.3%53.1%3.1%-1.8%167.0K-10.4M-117.3K0.1313.9183010534,21717,101
2014-03-05$11.35$10.0048.1%15.1%53.8%45.3%52.6%2.5%-0.4%183.3K-11.6M-117.8K0.1313.684826134,44517,139
2014-03-06$11.56$10.0047.9%15.1%53.2%44.8%52.5%-16.8%-0.7%200.1K-13.1M-121.2K0.438.0661826334,77717,194
2014-03-07$11.14$10.0049.9%15.5%55.3%49.8%53.6%0.8%0.8%174.8K-10.5M-119.0K0.4613.4447621735,18117,327
2014-03-10$10.95$10.0048.8%15.4%54.6%47.0%52.4%0.2%1.6%162.8K-9.3M-117.4K0.6813.7263743435,50717,452
2014-03-11$10.79$10.0045.9%15.3%53.8%40.1%52.9%-1.1%-0.3%140.9K-8.0M-115.5K0.6611.9173448535,49917,766
2014-03-12$11.14$10.0039.9%15.4%51.9%25.6%52.2%1.7%0.1%174.6K-10.5M-118.6K0.3414.151,17640335,86717,849
2014-03-13$11.50$10.0047.0%14.6%51.3%42.8%50.2%7.0%-1.8%210.1K-12.6M-118.2K6.649.081,4539,65435,97718,211
2014-03-14$11.53$10.0046.2%14.1%48.7%40.8%50.3%7.5%-1.6%132.6K-9.5M-137.7K0.7710.831,8291,40236,66624,239
2014-03-17$11.16$10.0046.5%14.5%47.2%41.4%49.8%0.9%-2.0%91.0K-6.5M-133.9K3.048.466261,90037,32924,954
2014-03-18$11.31$10.0044.3%14.2%47.1%36.3%49.8%1.5%-0.1%82.8K-6.5M-137.7K3.808.845181,96737,65526,531
2014-03-19$10.81$10.0044.6%14.4%45.1%37.0%50.2%-2.3%-0.0%27.4K-1.9M-134.4K2.029.249631,94237,68227,920
2014-03-20$10.98$10.0044.6%14.4%41.1%36.9%51.1%-0.4%0.8%16.3K-2.2M-139.6K0.219.073,37572137,93529,556
2014-03-21$11.03$10.0045.5%14.5%41.1%39.2%51.6%0.7%-0.6%70.3K-4.0M-143.6K0.249.441,47335440,29330,002
2014-03-24$10.20$10.0045.5%14.6%48.7%39.2%50.7%6.7%1.3%77.0K2.0M-131.4K0.839.561,2611,04739,20329,008
2014-03-25$10.14$10.0043.4%14.4%48.0%34.1%50.0%8.2%3.8%69.5K2.9M-129.7K1.318.7065485639,35729,524
2014-03-26$9.74$10.0044.5%14.5%48.1%36.6%50.1%-0.2%2.2%57.8K6.7M-122.3K1.889.758941,68039,74329,855
2014-03-27$9.94$10.0043.7%14.5%48.6%34.7%51.4%3.7%1.7%36.4K5.7M-127.4K0.6411.5277048939,96531,115
2014-03-28$10.00$10.0043.4%14.5%48.7%34.1%50.1%5.0%1.5%45.4K4.8M-129.4K0.3911.3463124740,19631,220
2014-03-31$9.64$10.0042.9%14.6%47.3%32.8%50.7%-1.1%3.0%41.8K8.6M-117.9K0.2015.4692918840,19731,220