AG Options History — October 2014

In October 2014, AG traded between $5.13 and $7.84. ATM implied volatility averaged 50.7%, placing in the 58.5% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 0.3% (HV 20d: 50.5%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.54.

Notable Days

  • 2014-10-31: Highest Volume — 3,854 contracts
  • 2014-10-29: Largest IV spike — 29.5% change
  • 2014-10-31: Highest IV Rank — 82.2%
  • 2014-10-31: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.04$5.13$7.84$7.81$5.13
Max Pain$9.24$7.50$10.00$10.00$7.50
ATM IV50.7%42.8%62.2%42.9%62.2%
Expected Move13.5%12.3%14.9%12.4%14.9%
HV 20d50.5%31.3%74.2%34.0%74.2%
HV 60d41.3%36.3%52.3%36.9%52.3%
IV Rank58.5%42.0%82.2%42.3%82.2%
IV Percentile76.1%40.9%98.4%41.7%98.4%
Term Structure-2.0%-9.7%3.6%2.2%-7.4%
VWIV47.0%34.9%53.1%44.6%52.5%
Skew 25d3.5%-19.7%36.9%6.7%19.3%
Skew 10d10.3%-22.6%80.2%19.8%34.9%
Call IV 25d48.0%38.5%73.8%40.7%56.7%
Put IV 25d51.5%39.7%93.5%47.4%76.0%
Bid-Ask Spread %17.368.9223.8220.1010.56
Gamma HHI0.290.230.470.240.23
Net GEX52.2K20.3K133.1K20.5K20.3K
Net DEX5.2M3.8M6.9M6.3M4.7M
Net VEX-46.3K-54.1K-28.4K-53.2K-28.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.071.300.070.39
Total Volume1,997.3913813,8541,8043,854
Total OI57,309.08750,31163,55458,05654,666

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-10-01$7.81$10.0042.9%12.4%34.0%42.3%44.6%6.7%2.2%20.5K6.3M-53.2K0.0720.101,68911540,30217,754
2014-10-02$7.84$10.0044.0%12.3%31.3%44.7%34.9%22.7%1.5%52.5K5.7M-53.8K1.3017.1616621541,49217,784
2014-10-03$7.35$10.0042.8%12.6%35.0%42.0%43.1%9.3%1.5%42.0K6.9M-44.7K0.8319.9768256741,55817,711
2014-10-06$7.42$10.0043.6%12.6%34.7%43.8%44.8%2.9%-2.8%54.0K6.4M-47.4K1.2817.4631139842,01017,445
2014-10-07$7.15$10.0049.8%12.6%35.4%56.6%42.4%0.0%-2.5%45.5K6.8M-42.8K0.7821.8932225042,21317,404
2014-10-08$7.71$10.0046.9%12.7%47.2%50.6%43.6%-7.8%-1.6%62.2K5.5M-51.3K0.3018.531,65649942,26717,444
2014-10-09$7.34$10.0048.6%13.1%49.0%54.2%47.0%-14.0%-2.3%59.3K6.1M-48.4K0.2117.452,54553243,08917,514
2014-10-10$7.35$10.0049.0%13.3%49.2%54.9%47.1%4.6%-1.9%79.6K5.7M-50.7K0.2917.611,95057544,39817,452
2014-10-13$7.40$10.0056.2%13.2%49.6%69.8%44.9%3.5%-5.2%91.8K5.4M-51.0K0.5517.711,50983244,64217,439
2014-10-14$7.43$10.0053.2%13.4%49.5%63.7%45.4%6.3%-3.0%99.8K5.5M-51.1K0.6019.401,19271944,76917,699
2014-10-15$7.38$10.0052.9%13.7%49.2%63.0%45.1%5.6%-3.8%106.7K5.9M-48.7K0.3418.301,46950444,82317,793
2014-10-16$7.60$10.0053.2%13.8%50.8%63.6%45.0%8.1%-4.5%133.1K4.7M-54.1K0.5818.471,25773044,99617,696
2014-10-17$7.17$10.0051.1%13.8%52.3%59.3%48.6%0.6%-2.6%65.4K6.2M-50.7K1.1318.8734939645,53918,015
2014-10-20$7.33$10.0050.1%13.5%52.2%57.2%48.9%4.7%-0.7%31.8K3.8M-50.5K0.4323.821,49564435,98214,329
2014-10-21$7.31$10.0050.9%13.8%50.7%58.8%45.0%4.9%-2.2%33.6K3.8M-48.9K0.3722.431,69463136,35314,356
2014-10-22$6.87$10.0050.6%14.0%54.4%58.3%49.1%-6.2%-0.6%31.3K3.9M-44.9K0.3617.821,50253437,08414,367
2014-10-23$6.65$7.5051.9%14.1%54.8%60.9%51.3%-10.5%-2.3%30.2K4.2M-42.4K0.5515.641,8261,00237,48514,483
2014-10-24$6.76$7.5049.5%13.8%55.6%55.9%50.1%36.9%0.7%33.0K4.1M-44.7K0.5413.481,45478237,99815,137
2014-10-27$6.40$7.5055.2%14.3%57.9%67.8%51.3%-17.3%-2.5%27.0K4.5M-40.3K0.4515.491,43664938,13715,208
2014-10-28$6.66$7.5046.9%14.0%60.0%50.5%50.1%36.0%3.6%31.9K4.3M-43.5K0.4812.681,53274038,40115,209
2014-10-29$6.26$7.5060.7%14.2%62.8%79.1%52.4%-16.2%-9.7%28.1K4.5M-39.5K0.3415.531,42047938,60515,220
2014-10-30$5.62$7.5054.6%14.9%71.3%66.4%53.1%-19.7%-0.7%22.0K4.6M-33.9K0.308.922,18065738,78315,058
2014-10-31$5.13$7.5062.2%14.9%74.2%82.2%52.5%19.3%-7.4%20.3K4.7M-28.4K0.3910.562,7741,08039,68114,985