AG Options History — September 2014

In September 2014, AG traded between $7.80 and $9.89. ATM implied volatility averaged 39.0%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 2.5% (HV 20d: 36.5%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2014-09-05: Highest Volume — 7,274 contracts
  • 2014-09-11: Largest IV spike — 52.5% change
  • 2014-09-23: Highest IV Rank — 47.3%
  • 2014-09-25: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.88$7.80$9.89$9.89$7.80
Max Pain$9.05$7.50$10.00$7.50$10.00
ATM IV39.0%22.4%45.3%36.5%44.4%
Expected Move12.1%11.7%12.7%11.8%12.5%
HV 20d36.5%33.4%40.9%36.7%33.9%
HV 60d37.3%35.2%39.0%38.0%36.9%
IV Rank34.2%0.0%47.3%29.1%45.5%
IV Percentile27.2%0.0%50.0%16.3%49.2%
Term Structure0.4%-4.6%4.2%1.5%-0.5%
VWIV42.3%41.2%43.5%41.2%43.3%
Skew 25d6.0%-12.5%97.6%3.9%28.5%
Skew 10d17.8%-12.9%119.9%6.0%78.2%
Call IV 25d36.1%30.7%41.6%35.8%40.8%
Put IV 25d42.1%28.4%132.5%39.7%69.3%
Bid-Ask Spread %20.0413.8827.8521.8318.94
Gamma HHI0.340.240.600.330.25
Net GEX104.8K16.8K263.0K131.1K16.8K
Net DEX4.2M25.9K6.7M97.4K6.7M
Net VEX-71.6K-90.8K-51.7K-89.7K-51.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.011.080.490.40
Total Volume1,072.6191477,2749061,316
Total OI59,275.66755,22063,54355,22057,599

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-09-02$9.89$7.5036.5%11.8%36.7%29.1%41.2%3.9%1.5%131.1K97.4K-89.7K0.4921.8360729936,05319,167
2014-09-03$9.89$7.5034.7%11.8%36.7%25.2%41.4%4.2%2.9%135.5K25.9K-90.8K0.4621.001014636,52019,293
2014-09-04$9.41$7.5034.4%11.9%38.5%24.7%42.4%97.6%3.2%107.5K2.9M-82.9K0.4015.1273028936,56119,288
2014-09-05$9.60$7.5040.0%11.8%39.5%36.2%41.8%-2.8%0.4%123.0K1.8M-87.3K0.0121.357,1928236,91319,396
2014-09-08$9.25$7.5042.5%11.7%40.9%41.4%42.8%-5.8%0.5%263.0K2.6M-81.7K0.6113.8847729242,15719,400
2014-09-09$9.29$7.5022.4%11.9%40.3%0.0%42.4%-4.4%0.6%181.1K3.7M-78.9K0.8718.2217315042,18519,411
2014-09-10$9.28$7.5026.2%11.7%40.2%7.8%42.0%-5.2%-0.5%200.9K3.5M-80.0K0.4617.641496942,26019,441
2014-09-11$9.31$7.5039.9%11.7%36.6%36.2%41.2%-4.6%-0.6%165.8K3.7M-78.5K0.6216.0232420042,27619,394
2014-09-12$9.17$10.0039.8%11.8%33.5%35.9%41.2%-7.3%0.3%147.2K4.1M-76.4K1.0615.0711912642,52619,372
2014-09-15$9.15$10.0041.5%11.9%33.5%39.4%43.1%-7.6%-1.1%128.7K4.2M-74.7K0.2115.943357042,58619,308
2014-09-16$9.21$10.0039.9%11.7%33.4%36.1%42.8%-9.0%-0.4%175.8K3.9M-75.0K0.4215.7534314542,62019,294
2014-09-17$8.99$10.0040.8%11.8%34.0%38.0%41.3%-11.6%-0.8%74.8K5.0M-71.2K0.1025.601,13711342,74019,321
2014-09-18$8.78$10.0038.9%12.0%34.4%34.1%42.4%-12.5%0.6%70.8K5.6M-68.2K0.1024.832,83227843,45619,249
2014-09-19$8.39$10.0042.5%12.2%37.0%41.6%42.8%5.3%-4.6%51.9K5.8M-62.5K0.6227.8596760245,13118,412
2014-09-22$8.09$10.0041.5%12.6%37.5%39.5%43.5%9.1%1.1%32.3K6.1M-57.0K1.0823.4360665638,95217,778
2014-09-23$8.32$10.0045.3%12.4%39.7%47.3%41.9%14.0%-3.4%51.8K5.4M-62.4K0.4723.2750423539,22717,978
2014-09-24$8.20$10.0041.9%12.4%35.5%40.4%0.0%9.3%1.9%40.3K5.7M-59.5K1.0121.8711711839,35617,908
2014-09-25$8.24$10.0040.6%12.7%35.9%37.6%42.5%10.1%4.2%40.8K5.6M-59.6K0.1118.112162439,40017,928
2014-09-26$8.16$10.0042.0%12.5%34.7%40.4%43.4%8.1%2.4%33.5K5.9M-58.3K0.7122.171379739,47817,932
2014-09-29$8.07$10.0042.7%12.3%34.0%41.9%43.1%5.8%0.7%28.2K5.9M-57.0K0.8323.0013811439,59517,928
2014-09-30$7.80$10.0044.4%12.5%33.9%45.5%43.3%28.5%-0.5%16.8K6.7M-51.7K0.4018.9494137539,67917,920