AG Options History — July 2014

In July 2014, AG traded between $9.89 and $10.94. ATM implied volatility averaged 40.8%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 1.2% (HV 20d: 39.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2014-07-18: Highest Volume — 11,183 contracts
  • 2014-07-10: Largest IV spike — 83.1% change
  • 2014-07-28: Highest IV Rank — 50.5%
  • 2014-07-10: Largest Expected Move — 13.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.51$9.89$10.94$10.66$10.60
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV40.8%22.5%46.9%38.0%44.2%
Expected Move13.2%12.8%13.5%13.4%12.8%
HV 20d39.6%34.3%45.8%35.2%40.2%
HV 60d35.2%32.7%36.7%34.0%36.0%
IV Rank37.5%0.0%50.5%30.9%45.0%
IV Percentile22.4%0.0%41.3%13.1%32.5%
Term Structure-0.8%-5.2%4.1%1.9%-2.5%
VWIV46.1%43.2%49.0%46.7%44.6%
Skew 25d9.4%-7.5%46.7%8.0%11.7%
Skew 10d37.4%-11.6%112.1%84.6%25.8%
Call IV 25d36.5%28.1%50.5%29.7%32.6%
Put IV 25d45.9%34.7%74.8%37.7%44.3%
Bid-Ask Spread %22.8315.7726.8323.3925.62
Gamma HHI0.370.240.680.250.34
Net GEX261.9K100.9K758.5K110.8K224.5K
Net DEX-4.7M-10.2M-67.3K-2.9M-5.2M
Net VEX-102.7K-107.2K-97.2K-103.0K-103.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.041.600.381.06
Total Volume2,380.81834411,1831,139344
Total OI62,583.77356,52675,08759,06158,083

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-07-01$10.66$10.0038.0%13.4%35.2%30.9%46.7%8.0%1.9%110.8K-2.9M-103.0K0.3823.3982431537,42721,634
2014-07-02$10.72$10.0034.4%13.4%34.8%23.1%46.0%6.6%4.1%110.4K-3.2M-101.5K0.5622.2144324937,34721,582
2014-07-03$10.83$10.0038.2%13.4%34.3%31.3%46.8%8.8%-1.1%100.9K-3.7M-102.6K1.1423.0828132137,41521,538
2014-07-07$10.53$10.0038.7%13.4%37.0%32.2%49.0%-6.0%-0.7%123.9K-2.1M-97.4K0.9224.3345942037,40321,685
2014-07-08$10.55$10.0036.8%13.3%36.8%28.2%47.1%21.9%1.1%131.3K-2.3M-97.2K0.5123.9148124537,61121,619
2014-07-09$10.84$10.0022.5%13.3%36.7%0.0%47.0%-3.1%0.2%134.6K-4.8M-97.2K0.0423.444,61119937,81521,522
2014-07-10$10.73$10.0041.2%13.5%36.9%38.6%48.0%-0.1%1.5%215.7K-5.3M-101.1K0.1923.027,5091,45342,02821,546
2014-07-11$10.94$10.0043.8%13.5%35.9%44.2%45.1%-3.9%-2.8%257.9K-10.2M-103.7K0.0621.704,41225947,24422,494
2014-07-14$10.25$10.0044.5%13.4%44.1%45.6%46.2%-7.5%-3.2%577.2K-4.4M-101.1K0.6815.771,8661,27450,42122,547
2014-07-15$9.89$10.0043.4%13.3%45.5%43.3%47.6%5.9%-1.9%653.9K-67.3K-98.0K0.6220.591,16571851,51422,597
2014-07-16$10.07$10.0042.7%13.3%45.8%41.7%46.4%9.8%-0.8%758.5K-3.2M-102.2K0.7124.1478155751,78922,686
2014-07-17$10.51$10.0042.1%13.2%45.7%40.5%46.8%-2.9%-0.9%339.4K-9.5M-101.9K1.6019.822,0973,35851,30422,278
2014-07-18$10.50$10.0043.5%13.1%40.8%43.3%45.2%46.7%-2.1%242.0K-8.9M-104.2K0.2826.838,7552,42851,62223,465
2014-07-21$10.47$10.0038.6%13.2%40.8%33.2%46.3%-7.1%3.5%232.4K-5.2M-107.2K1.3422.7857677440,67215,854
2014-07-22$10.29$10.0040.9%13.4%40.0%38.1%46.9%11.9%-0.2%212.2K-4.6M-106.7K1.1724.6237243741,00616,250
2014-07-23$10.17$10.0040.4%13.3%38.7%37.0%47.1%10.6%1.1%199.6K-3.8M-105.0K0.4825.2633015841,19816,346
2014-07-24$10.11$10.0043.1%13.2%38.8%42.7%45.7%10.3%-2.6%192.2K-3.0M-103.0K1.2922.9439651141,14316,462
2014-07-25$10.51$10.0043.4%12.8%41.0%43.1%44.5%35.4%-1.9%221.6K-4.6M-107.2K0.1020.161,42013741,26316,823
2014-07-28$10.65$10.0046.9%12.9%41.2%50.5%44.1%22.0%-5.2%238.0K-5.1M-104.3K0.5521.2624213440,96516,879
2014-07-29$10.71$10.0045.2%12.9%40.2%46.9%44.1%14.4%-2.9%244.9K-6.0M-106.1K0.3824.2536213940,99916,837
2014-07-30$10.74$10.0044.9%12.8%39.9%46.3%43.2%13.9%-1.6%239.7K-5.7M-106.2K0.5523.1636620041,07016,860
2014-07-31$10.60$10.0044.2%12.8%40.2%45.0%44.6%11.7%-2.5%224.5K-5.2M-103.6K1.0625.6216717741,26316,820