AG Options History — May 2014

In May 2014, AG traded between $8.39 and $9.79. ATM implied volatility averaged 37.7%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 7.6% (HV 20d: 30.1%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.56.

Notable Days

  • 2014-05-28: Highest Volume — 2,849 contracts
  • 2014-05-13: Largest IV spike — 39.3% change
  • 2014-05-13: Highest IV Rank — 48.8%
  • 2014-05-05: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.18$8.39$9.79$9.49$8.39
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV37.7%23.4%49.5%45.8%23.4%
Expected Move14.0%13.7%14.3%14.1%14.1%
HV 20d30.1%26.2%34.9%32.3%29.9%
HV 60d40.8%37.0%45.9%45.5%37.3%
IV Rank22.1%0.0%48.8%39.7%0.0%
IV Percentile7.9%0.0%37.3%17.1%0.0%
Term Structure2.3%-4.1%17.4%-3.2%17.4%
VWIV49.4%47.9%52.4%52.4%49.1%
Skew 25d-0.4%-14.2%52.8%-3.0%4.7%
Skew 10d2.1%-17.3%80.4%-2.6%0.9%
Call IV 25d36.0%24.5%45.0%45.0%25.3%
Put IV 25d35.6%25.2%97.1%42.0%30.0%
Bid-Ask Spread %14.0611.1520.3213.1018.02
Gamma HHI0.340.260.450.340.27
Net GEX-56.0K-124.1K10.2K-102.0K10.2K
Net DEX10.1M7.7M11.7M9.3M10.5M
Net VEX-85.9K-104.9K-66.3K-100.2K-66.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.560.071.380.860.73
Total Volume712.0481932,849308560
Total OI56,306.04855,06857,58755,73356,838

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-05-01$9.49$10.0045.8%14.1%32.3%39.7%52.4%-3.0%-3.2%-102.0K9.3M-100.2K0.8613.1016614229,30026,433
2014-05-02$9.79$10.0042.5%14.0%33.8%31.9%50.0%2.7%-0.9%-124.1K7.7M-104.9K0.3812.3970326829,39826,318
2014-05-05$9.70$10.0046.0%14.3%33.8%40.3%50.1%2.2%0.7%-114.3K8.2M-103.3K0.2711.152897829,62326,376
2014-05-06$9.58$10.0047.9%14.1%34.1%44.9%49.0%-1.8%0.6%-101.6K8.9M-100.0K1.3813.2211816329,76626,403
2014-05-07$9.30$10.0048.1%14.0%34.9%45.3%49.7%8.6%0.7%-84.4K10.5M-92.3K1.2015.6019022829,82426,437
2014-05-08$9.37$10.0035.4%14.0%33.1%14.7%0.0%-5.2%1.7%-91.2K10.1M-93.8K0.2513.901543929,86926,534
2014-05-09$9.32$10.0036.0%14.0%31.3%16.4%48.9%-5.5%-0.5%-85.8K10.3M-93.3K0.0712.751,0807829,89926,502
2014-05-12$9.43$10.0035.6%14.1%29.6%15.2%50.5%-2.9%2.3%-89.5K10.0M-93.6K0.1315.456178330,60326,499
2014-05-13$9.46$10.0049.5%14.1%29.1%48.8%50.0%-2.3%2.9%-84.1K9.6M-93.8K0.8115.0918615030,91726,481
2014-05-14$9.28$10.0042.2%14.0%28.9%31.2%49.3%-5.7%-0.5%-55.9K11.2M-87.0K0.3914.1526810531,04026,547
2014-05-15$9.08$10.0038.4%14.1%29.6%22.1%49.3%-7.8%1.0%-42.4K11.7M-82.6K1.2112.7023027830,87626,528
2014-05-16$9.11$10.0041.1%14.0%29.1%28.7%48.9%-9.0%-1.5%-40.7K11.7M-82.9K0.2712.5881922330,92826,453
2014-05-19$9.30$10.0037.9%13.7%29.7%20.9%47.9%-7.4%0.4%-49.1K9.4M-84.9K0.2414.1343010430,20524,863
2014-05-20$9.22$10.0036.2%13.9%28.0%16.7%48.1%-7.6%1.1%-36.3K9.7M-84.1K0.3914.482359230,42824,901
2014-05-21$9.13$10.0032.3%13.8%27.1%7.4%49.8%52.8%3.6%-32.4K10.2M-79.1K0.3611.2069725130,56624,780
2014-05-22$9.13$10.0034.4%13.9%26.8%12.5%49.1%-6.0%2.1%-24.8K10.1M-79.8K0.6711.1626617931,09524,936
2014-05-23$9.06$10.0033.2%13.8%26.2%9.5%48.4%-5.8%0.1%-22.2K10.4M-77.6K0.5414.481709231,23924,960
2014-05-27$8.77$10.0034.7%13.9%27.0%13.1%48.7%-14.2%-4.1%-8.7K11.3M-69.9K0.3513.841,04636131,23024,996
2014-05-28$8.40$10.0024.5%14.2%28.1%0.0%49.7%0.9%12.2%1.3K10.7M-66.3K0.7815.611,5971,25231,52423,868
2014-05-29$8.56$10.0027.0%14.1%29.5%5.4%48.5%3.6%12.4%99110.1M-68.9K0.5120.3263932732,42724,017
2014-05-30$8.39$10.0023.4%14.1%29.9%0.0%49.1%4.7%17.4%10.2K10.5M-66.3K0.7318.0232423632,85023,988