AG Options History — December 2014

In December 2014, AG traded between $4.02 and $5.12. ATM implied volatility averaged 71.2%, placing in the 85.6% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded below realized volatility by 34.8% (HV 20d: 105.9%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.42.

Notable Days

  • 2014-12-03: Highest Volume — 6,951 contracts
  • 2014-12-09: Largest IV spike — 63.2% change
  • 2014-12-02: Highest IV Rank — 100.0%
  • 2014-12-22: Largest Expected Move — 21.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.57$4.02$5.12$4.32$5.02
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV71.2%49.7%81.1%71.9%69.4%
Expected Move19.5%18.1%21.0%18.1%20.2%
HV 20d105.9%88.4%114.0%112.6%88.4%
HV 60d87.8%79.3%94.5%79.3%94.5%
IV Rank85.6%51.0%100.0%98.4%80.0%
IV Percentile96.2%75.0%100.0%99.6%92.5%
Term Structure-3.3%-20.0%16.3%-5.8%0.7%
VWIV68.4%53.5%75.7%65.3%53.5%
Skew 25d7.3%-26.6%23.6%8.3%21.3%
Skew 10d15.9%-14.7%37.2%10.1%37.2%
Call IV 25d68.9%54.6%103.2%73.8%65.5%
Put IV 25d76.1%59.1%87.4%82.1%86.9%
Bid-Ask Spread %11.426.3125.3215.1310.01
Gamma HHI0.570.220.700.280.68
Net GEX86.3K19.7K157.8K28.7K135.5K
Net DEX-375.4K-3.3M1.9M1.8M-2.5M
Net VEX-41.2K-47.5K-32.5K-34.2K-45.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.090.810.230.37
Total Volume2,629.8643636,9512,409525
Total OI71,210.40964,38874,82164,38872,434

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-12-01$4.32$5.0071.9%18.1%112.6%98.4%65.3%8.3%-5.8%28.7K1.8M-34.2K0.2315.131,96444548,70715,681
2014-12-02$4.02$5.0073.0%18.5%112.8%100.0%65.6%-26.6%-20.0%19.7K1.9M-32.5K0.4115.351,62366249,52515,736
2014-12-03$4.28$5.0075.8%18.5%114.0%100.0%67.9%8.5%-8.2%30.9K1.3M-36.3K0.099.816,36458750,00515,494
2014-12-04$4.16$5.0059.1%18.6%111.0%68.8%65.0%9.3%16.3%50.4K1.2M-35.8K0.4618.4924911455,08915,546
2014-12-05$4.09$5.0063.7%18.3%109.3%77.2%71.0%-11.0%-6.2%47.2K1.2M-34.9K0.4225.321,28453655,11315,596
2014-12-08$4.05$5.0049.7%18.6%101.7%51.0%65.5%-12.7%-9.3%46.1K1.3M-34.8K0.3717.901,34049555,19915,600
2014-12-09$4.59$5.0081.1%18.6%109.3%100.0%71.3%6.7%-5.1%80.3K-234.5K-43.5K0.4812.181,81687055,34715,599
2014-12-10$4.60$5.0078.1%18.6%107.7%95.0%65.2%6.2%-2.7%84.1K-205.8K-43.6K0.6014.282,0111,20655,74515,401
2014-12-11$4.57$5.0070.7%19.1%106.5%82.4%63.3%5.4%-4.7%85.3K-292.6K-41.9K0.549.262,1971,17956,47515,360
2014-12-12$4.80$5.0072.2%19.1%107.7%84.9%63.6%12.4%-5.8%102.9K-1.3M-46.2K0.816.541,3731,11557,32815,385
2014-12-15$4.39$5.0073.7%19.9%105.2%87.5%70.4%-1.0%-5.0%72.2K94.9K-41.1K0.246.312,81568757,54215,424
2014-12-16$4.35$5.0076.7%20.0%104.9%92.6%73.0%-2.3%-6.9%71.8K258.5K-40.3K0.527.241,82093857,85415,467
2014-12-17$4.66$5.0076.3%20.2%105.3%91.8%74.0%8.4%-5.5%103.7K-481.1K-41.1K0.4910.431,89593858,19115,883
2014-12-18$4.87$5.0070.2%19.8%103.8%81.4%75.7%14.5%-1.2%134.0K-1.4M-45.2K0.509.261,87793458,53615,852
2014-12-19$5.12$5.0070.1%19.4%105.0%81.2%67.2%23.6%1.1%157.8K-3.3M-47.5K0.168.681,91830259,02215,799
2014-12-22$4.62$0.0073.0%21.0%111.0%86.3%73.3%10.4%0.2%94.4K-1.1M-43.9K0.448.992,16294956,20514,888
2014-12-23$4.55$5.0071.4%20.5%108.9%83.5%71.5%8.5%0.1%91.5K-612.0K-42.4K0.5110.551,89397456,36214,963
2014-12-24$4.77$5.0073.1%20.5%110.2%86.4%71.6%15.1%-1.5%99.4K-1.1M-43.3K0.248.263,10074356,20215,126
2014-12-26$4.89$5.0071.8%20.0%109.7%84.2%69.6%18.1%-2.2%117.6K-1.6M-43.9K0.427.721,78174657,27415,133
2014-12-29$4.69$5.0074.4%21.0%91.8%88.6%71.4%15.6%-1.3%111.5K-982.4K-43.4K0.769.841,3191,00857,29015,169
2014-12-30$5.05$5.0070.1%19.9%93.1%81.3%69.5%21.4%-0.6%133.1K-2.3M-45.4K0.199.6192417957,36114,721
2014-12-31$5.02$5.0069.4%20.2%88.4%80.0%53.5%21.3%0.7%135.5K-2.5M-45.2K0.3710.0138414157,69714,737