AG Options History — June 2014

In June 2014, AG traded between $8.40 and $10.81. ATM implied volatility averaged 34.5%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 1.5% (HV 20d: 33.0%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2014-06-23: Highest Volume — 5,136 contracts
  • 2014-06-12: Largest IV spike — 44.7% change
  • 2014-06-20: Highest IV Rank — 35.9%
  • 2014-06-02: Largest Expected Move — 14.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.60$8.40$10.81$8.41$10.81
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV34.5%24.5%40.4%27.2%38.4%
Expected Move13.7%13.2%14.2%14.2%13.4%
HV 20d33.0%26.7%40.3%26.7%34.1%
HV 60d35.4%33.4%37.0%37.0%33.9%
IV Rank23.5%2.3%35.9%8.1%31.7%
IV Percentile7.6%0.4%13.9%1.2%13.5%
Term Structure4.8%0.1%15.4%14.3%3.8%
VWIV47.8%46.3%49.7%49.7%46.5%
Skew 25d5.3%-8.3%35.9%0.3%9.5%
Skew 10d24.6%-8.2%90.5%-0.3%71.5%
Call IV 25d31.9%25.8%44.5%28.0%27.4%
Put IV 25d37.2%28.2%64.5%28.2%37.0%
Bid-Ask Spread %20.6414.7326.4620.1523.13
Gamma HHI0.260.180.530.270.25
Net GEX23.3K-99.6K109.2K10.4K78.8K
Net DEX4.2M-3.2M10.2M10.2M-3.2M
Net VEX-86.9K-103.9K-66.9K-67.4K-103.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.111.300.950.20
Total Volume1,353.9523125,1363122,334
Total OI58,508.1956,71661,62457,05358,413

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-06-02$8.41$10.0027.2%14.2%26.7%8.1%49.7%0.3%14.3%10.4K10.2M-67.4K0.9520.1516015233,05623,997
2014-06-03$8.44$10.0026.7%14.1%27.0%7.0%49.0%1.0%15.4%8.9K10.2M-67.1K0.7620.2128721733,09124,000
2014-06-04$8.40$10.0029.1%14.0%26.9%12.2%49.1%1.0%10.3%12.8K9.7M-66.9K0.4122.7030612633,20523,511
2014-06-05$8.64$10.0031.6%13.9%28.2%17.4%47.1%-0.5%6.8%3.9K9.3M-70.7K0.4921.1244621733,36723,520
2014-06-06$8.71$10.0032.6%13.9%28.2%19.5%48.4%-4.3%2.2%5.2K9.1M-72.9K0.6524.5128018233,65823,643
2014-06-09$8.68$10.0034.4%13.9%28.2%23.2%48.4%-4.8%0.1%6.7K9.2M-71.3K0.7018.2951436033,80823,672
2014-06-10$8.93$10.0032.3%13.9%30.0%18.8%49.1%-8.3%2.5%-3.1K8.3M-76.7K0.5422.4385246233,82823,759
2014-06-11$9.16$10.0024.5%13.8%31.5%2.3%48.6%-7.1%1.8%-11.4K7.7M-79.5K0.1523.891,39520733,91123,665
2014-06-12$9.47$10.0035.4%13.9%33.1%25.3%47.5%-4.1%5.1%21.2K6.1M-87.1K0.1122.661,62417435,11123,741
2014-06-13$9.59$10.0036.4%13.6%32.2%27.4%47.4%-2.2%5.1%78.5K4.8M-89.8K0.2326.4643310037,11923,792
2014-06-16$9.40$10.0039.9%13.8%33.2%34.9%48.3%-6.4%1.6%20.4K6.2M-83.9K1.2021.1920524736,03523,792
2014-06-17$9.49$10.0037.3%13.4%32.6%29.3%48.2%-3.7%3.5%20.2K6.1M-85.4K0.3321.922468036,07623,852
2014-06-18$9.91$10.0036.5%13.4%35.6%27.7%47.0%2.8%3.7%109.2K3.2M-91.5K0.3019.2084025336,19123,861
2014-06-19$10.50$10.0036.6%13.5%40.1%27.9%47.4%10.7%4.9%16.8K-2.3M-100.0K0.3517.342,78797336,22123,583
2014-06-20$10.47$10.0040.4%13.4%40.1%35.9%47.6%35.9%1.1%-9.4K-1.5M-99.9K0.2816.751,09231035,71923,376
2014-06-23$10.75$10.0039.4%13.5%40.3%33.8%47.4%13.2%1.9%-18.2K-1.4M-100.3K1.3014.732,2292,90734,38022,800
2014-06-24$10.42$10.0035.9%13.5%40.1%26.5%46.7%8.7%4.3%-99.6K135.2K-103.9K0.3418.812,41981835,90625,718
2014-06-25$10.39$10.0036.7%13.4%35.5%28.1%46.6%35.3%3.7%59.9K-655.7K-101.9K0.6520.0338925436,50522,127
2014-06-26$10.55$10.0036.5%13.5%35.5%27.7%47.1%17.2%6.5%85.3K-1.7M-103.0K0.7118.6229621136,73221,518
2014-06-27$10.54$10.0036.8%13.2%33.9%28.3%46.3%18.0%3.0%91.9K-1.8M-103.0K0.2919.2781623336,82321,590
2014-06-30$10.81$10.0038.4%13.4%34.1%31.7%46.5%9.5%3.8%78.8K-3.2M-103.1K0.2023.131,94738736,82321,590