AG Options History — August 2014

In August 2014, AG traded between $9.69 and $10.93. ATM implied volatility averaged 37.8%, placing in the 31.6% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 3.0% (HV 20d: 34.7%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2014-08-13: Highest Volume — 4,327 contracts
  • 2014-08-13: Largest IV drop — 19.2% change
  • 2014-08-04: Highest IV Rank — 55.0%
  • 2014-08-08: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.24$9.69$10.93$10.64$10.24
Max Pain$9.13$7.50$12.50$10.00$7.50
ATM IV37.8%31.4%49.1%45.5%33.8%
Expected Move12.3%11.7%13.0%12.8%11.7%
HV 20d34.7%26.7%40.0%40.0%35.1%
HV 60d36.8%35.4%38.4%35.4%37.2%
IV Rank31.6%18.5%55.0%47.7%23.4%
IV Percentile16.8%3.6%54.8%38.1%6.7%
Term Structure1.2%-5.0%3.5%-5.0%3.1%
VWIV43.3%25.8%55.2%43.9%40.4%
Skew 25d6.8%-6.2%64.8%11.8%6.3%
Skew 10d11.4%-10.3%95.7%15.5%11.0%
Call IV 25d35.5%30.1%43.8%33.6%30.1%
Put IV 25d42.3%32.5%98.4%45.4%36.4%
Bid-Ask Spread %23.5718.1935.3125.0919.59
Gamma HHI0.280.200.380.330.32
Net GEX104.6K31.7K227.8K227.8K136.3K
Net DEX-1.4M-5.5M1.8M-5.5M-2.0M
Net VEX-95.7K-104.5K-89.3K-104.5K-96.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.052.260.320.65
Total Volume1,124.4761674,327316225
Total OI55,221.33350,57259,83858,04955,107

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-08-01$10.64$10.0045.5%12.8%40.0%47.7%43.9%11.8%-5.0%227.8K-5.5M-104.5K0.3225.092397741,23616,813
2014-08-04$10.46$10.0049.1%12.7%39.2%55.0%44.4%-6.1%0.2%207.8K-4.1M-99.9K0.1120.852,94432041,31816,801
2014-08-05$10.41$10.0048.8%12.8%39.2%54.4%44.2%-1.7%-1.1%159.9K-2.6M-96.1K2.2624.289120639,70116,969
2014-08-06$10.70$10.0042.7%12.9%39.2%41.8%44.8%-0.1%-0.8%155.8K-4.4M-100.0K0.1431.021,48220539,70717,019
2014-08-07$10.72$10.0041.3%13.0%39.1%39.0%55.2%-1.0%-0.6%135.9K-3.3M-98.0K1.7432.856110638,48017,004
2014-08-08$10.77$10.0035.0%13.0%38.5%25.9%44.8%-0.9%0.8%112.2K-3.6M-98.8K1.2028.4620124238,46917,047
2014-08-11$10.93$10.0034.8%13.0%30.3%25.5%45.9%-0.3%1.8%80.3K-4.0M-98.5K0.7823.7025119738,52516,986
2014-08-12$10.93$10.0038.9%13.0%26.7%34.0%44.9%-0.3%0.7%84.9K-4.4M-100.3K1.0323.6346747938,67817,035
2014-08-13$10.36$10.0031.4%12.4%33.3%18.5%43.5%-6.2%1.8%73.9K-1.9M-93.5K1.8435.311,5212,80638,84917,058
2014-08-14$9.89$10.0037.5%12.5%33.7%31.0%44.4%2.7%2.8%33.3K1.6M-93.0K0.4121.911,73870739,49419,550
2014-08-15$9.86$10.0035.8%12.8%33.6%27.6%45.2%1.8%2.5%38.8K1.8M-92.8K0.4826.9084240539,96019,878
2014-08-18$9.96$0.0037.5%11.8%34.0%31.1%43.3%3.5%0.1%31.7K691.1K-93.3K0.4422.5555124031,96318,609
2014-08-19$9.82$7.5035.9%11.9%33.8%27.7%41.6%2.0%1.4%33.9K1.3M-91.4K0.5919.8131518732,33118,764
2014-08-20$9.88$12.5036.6%11.9%33.7%29.2%44.1%2.8%1.8%36.4K895.4K-92.4K0.3418.9145615432,46118,817
2014-08-21$9.72$7.5034.3%11.9%34.1%24.3%25.8%0.8%3.5%36.2K1.8M-89.3K0.0520.282,84613632,74518,907
2014-08-22$9.85$7.5035.4%11.9%31.2%26.7%42.0%2.1%2.0%110.7K350.6K-92.0K0.6018.711619635,35918,899
2014-08-25$9.69$7.5034.8%11.9%30.8%25.4%0.0%64.8%1.7%110.6K985.0K-90.3K0.7621.4848036435,44818,953
2014-08-26$10.09$7.5035.5%11.8%34.6%27.0%40.1%5.5%2.0%127.1K-1.3M-95.9K0.2118.1982417235,72618,919
2014-08-27$10.01$7.5034.1%11.9%34.6%23.9%43.2%4.8%3.3%129.7K-946.0K-95.7K0.9921.3623323035,93119,041
2014-08-28$10.16$7.5034.1%11.7%35.0%24.1%0.0%50.8%3.0%132.7K-1.5M-96.6K1.7920.2012822935,93119,160
2014-08-29$10.24$7.5033.8%11.7%35.1%23.4%40.4%6.3%3.1%136.3K-2.0M-96.8K0.6519.591368935,97019,137