AG Options History — April 2014

In April 2014, AG traded between $9.12 and $10.23. ATM implied volatility averaged 43.1%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 0.5% (HV 20d: 42.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.66.

Notable Days

  • 2014-04-17: Highest Volume — 2,732 contracts
  • 2014-04-07: Largest IV spike — 11.9% change
  • 2014-04-15: Highest IV Rank — 40.0%
  • 2014-04-01: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.64$9.12$10.23$9.76$9.50
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV43.1%39.3%45.9%44.2%44.4%
Expected Move14.2%14.0%14.4%14.4%14.1%
HV 20d42.6%34.6%48.7%47.5%34.6%
HV 60d47.6%45.2%50.5%50.1%45.6%
IV Rank33.3%24.1%40.0%36.0%36.4%
IV Percentile7.7%2.4%13.5%8.7%12.3%
Term Structure0.6%-2.3%5.0%1.9%-2.3%
VWIV49.4%48.5%51.8%50.9%49.3%
Skew 25d4.5%-13.4%77.7%1.0%-2.9%
Skew 10d8.3%-21.3%117.8%2.8%-2.5%
Call IV 25d40.4%34.5%48.2%41.2%43.7%
Put IV 25d44.9%34.2%116.6%42.2%40.8%
Bid-Ask Spread %12.649.5322.399.5312.24
Gamma HHI0.370.300.470.320.34
Net GEX-329-119.4K155.2K44.2K-103.3K
Net DEX8.0M795.5K12.9M7.6M9.1M
Net VEX-108.6K-127.2K-90.6K-119.3K-100.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.051.570.781.08
Total Volume1,091.2383232,732709408
Total OI66,812.42953,82475,60471,75455,493

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-04-01$9.76$10.0044.2%14.4%47.5%36.0%50.9%1.0%1.9%44.2K7.6M-119.3K0.789.5339831140,40331,351
2014-04-02$10.08$10.0043.1%14.4%48.7%33.3%49.0%6.7%2.2%54.4K3.9M-127.2K0.3610.781,64659440,45931,554
2014-04-03$9.88$10.0040.2%14.2%48.0%26.3%49.4%77.7%5.0%66.1K5.8M-122.9K1.2511.8956470641,68431,690
2014-04-04$9.81$10.0039.3%14.2%46.8%24.1%49.2%-13.4%1.1%69.7K6.4M-119.6K0.5412.6033618341,76131,707
2014-04-07$9.79$10.0043.9%14.1%46.6%35.3%49.2%2.1%-0.6%68.5K6.8M-116.9K0.2111.0890618941,86731,712
2014-04-08$9.94$10.0041.4%14.2%47.1%29.4%49.7%2.7%-1.0%95.8K3.9M-120.5K0.4611.5849222542,59731,690
2014-04-09$10.23$10.0040.8%14.1%46.8%27.7%48.5%-6.9%-0.0%100.5K795.5K-123.1K0.5910.7360435642,87531,759
2014-04-10$9.89$10.0045.4%14.3%45.8%38.9%48.8%1.0%-0.2%128.0K5.0M-117.8K0.3311.0152217342,71731,732
2014-04-11$9.57$10.0045.9%14.3%46.5%39.9%49.2%-3.8%0.4%86.0K9.4M-108.1K0.7711.891,04980942,86231,749
2014-04-14$9.71$10.0045.4%14.2%46.4%38.9%48.7%-0.9%0.3%155.2K8.2M-111.2K1.5212.5929945443,49131,831
2014-04-15$9.51$10.0045.9%14.1%46.0%40.0%49.4%-1.2%-0.2%93.4K10.4M-105.1K1.3212.641,1481,51643,56531,628
2014-04-16$9.39$10.0044.4%14.2%44.0%36.5%48.8%-4.2%-0.2%-4.4K12.4M-100.8K1.5713.6638360143,69331,737
2014-04-17$9.24$10.0042.0%14.1%43.2%30.7%49.1%-6.3%2.3%-101.5K12.9M-96.9K0.9313.951,4171,31543,94131,663
2014-04-21$9.12$10.0042.2%14.1%43.0%31.1%49.0%-6.7%1.8%-99.2K10.4M-90.6K0.3222.391,16037127,71726,107
2014-04-22$9.38$10.0042.5%14.0%36.5%31.8%51.8%64.9%1.7%-115.1K9.3M-98.7K0.4713.2052324628,29926,166
2014-04-23$9.57$10.0042.9%14.1%37.5%32.7%50.5%-2.9%-0.4%-119.4K8.5M-101.9K0.1313.346028128,72426,173
2014-04-24$9.45$10.0042.0%14.1%35.1%30.6%49.9%-4.2%1.7%-102.5K8.8M-99.5K0.0513.731,0315029,14826,206
2014-04-25$9.59$10.0041.9%14.1%34.6%30.4%48.6%-2.3%0.6%-111.8K9.1M-100.5K0.5510.5623613028,66926,241
2014-04-28$9.34$10.0043.3%14.2%35.6%33.8%49.6%-5.1%-0.1%-98.6K9.7M-97.5K0.2412.432606328,88926,283
2014-04-29$9.59$10.0044.0%14.2%34.8%35.6%49.1%-1.1%-0.7%-112.9K8.7M-102.1K0.3513.6741414528,96826,260
2014-04-30$9.50$10.0044.4%14.1%34.6%36.4%49.3%-2.9%-2.3%-103.3K9.1M-100.3K1.0812.2419621229,17826,315