AG Options History — January 2015

In January 2015, AG traded between $5.19 and $6.78. ATM implied volatility averaged 69.4%, placing in the 71.8% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded below realized volatility by 25.6% (HV 20d: 94.9%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.46.

Notable Days

  • 2015-01-15: Highest Volume — 9,688 contracts
  • 2015-01-09: Largest IV spike — 55.5% change
  • 2015-01-12: Highest IV Rank — 100.0%
  • 2015-01-14: Largest Expected Move — 21.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.13$5.19$6.78$5.19$6.19
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV69.4%48.2%90.6%71.0%69.8%
Expected Move20.5%19.5%21.3%20.6%20.0%
HV 20d94.9%86.7%100.1%86.7%96.8%
HV 60d100.5%94.3%103.2%94.6%100.0%
IV Rank71.8%44.1%100.0%82.8%69.4%
IV Percentile90.2%65.1%100.0%94.0%87.3%
Term Structure-0.8%-3.8%3.0%2.1%0.0%
VWIV71.1%63.2%74.3%71.9%63.2%
Skew 25d0.4%-53.6%22.9%22.9%4.1%
Skew 10d5.4%-63.4%45.3%43.0%15.9%
Call IV 25d70.1%48.0%99.2%65.7%70.8%
Put IV 25d70.5%45.6%88.6%88.6%74.9%
Bid-Ask Spread %11.475.9719.728.037.43
Gamma HHI0.300.230.670.670.26
Net GEX87.7K59.4K140.9K140.9K102.1K
Net DEX-6.9M-9.2M-3.0M-3.0M-7.3M
Net VEX-56.8K-63.2K-46.7K-46.7K-59.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.460.041.080.751.08
Total Volume3,172.79169,6881,8062,406
Total OI61,201.6544,76177,12872,44848,701

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-01-02$5.19$5.0071.0%20.6%86.7%82.8%71.9%22.9%2.1%140.9K-3.0M-46.7K0.758.031,03077657,57714,871
2015-01-05$5.54$5.0075.3%21.1%87.6%90.2%73.8%8.4%-3.1%133.7K-4.8M-50.0K0.157.931,61724757,55214,862
2015-01-06$6.36$5.0062.7%20.6%97.1%68.6%72.8%11.0%-2.0%59.4K-7.7M-55.7K0.3017.782,11163757,33014,946
2015-01-07$6.19$5.0053.6%21.3%98.0%53.2%71.8%4.8%-1.7%60.5K-7.1M-54.8K0.2712.1571919757,51915,117
2015-01-08$5.88$5.0048.2%19.9%93.1%44.1%70.6%-53.6%-0.4%65.0K-6.4M-52.5K0.8519.721,3191,12357,80715,112
2015-01-09$6.25$5.0075.0%19.6%94.6%89.7%67.8%6.5%0.6%69.8K-6.8M-52.9K0.7413.521,30496857,66815,285
2015-01-12$6.78$5.0090.6%20.1%97.0%100.0%70.1%1.3%0.7%83.9K-9.2M-61.3K0.2715.215,0981,40157,93115,363
2015-01-13$6.50$5.0054.1%21.1%98.7%46.5%72.1%3.2%-3.8%62.4K-7.8M-58.6K0.3614.533,0971,11758,34915,752
2015-01-14$5.89$5.0074.3%21.3%100.1%76.1%74.2%0.7%-3.2%61.0K-4.9M-52.7K0.5511.364,4272,41456,66215,973
2015-01-15$5.92$5.0073.7%21.1%99.7%75.2%71.6%-1.5%-3.8%61.5K-5.5M-55.9K0.1511.848,4441,24457,60315,896
2015-01-16$6.24$5.0071.7%20.5%98.7%72.2%71.5%2.7%0.7%86.0K-8.7M-59.1K0.259.443,17981061,74815,380
2015-01-20$6.43$5.0073.0%20.9%98.3%74.1%71.4%2.5%-0.8%96.3K-8.5M-61.8K0.099.232,28920633,39111,370
2015-01-21$6.41$5.0072.0%20.6%97.5%72.6%74.3%0.9%1.8%94.2K-8.4M-60.5K0.109.721,68117134,02511,557
2015-01-22$6.29$5.0068.8%19.7%88.7%68.0%69.4%-2.1%3.0%91.4K-7.5M-60.1K1.0411.691,0641,10433,24911,712
2015-01-23$5.97$5.0070.0%20.1%91.3%69.7%70.5%3.1%-1.3%92.1K-6.2M-56.5K0.438.642,15492033,55111,773
2015-01-26$6.17$5.0072.0%20.7%90.7%72.7%71.7%1.2%-0.8%91.6K-6.8M-58.2K0.2312.671,20127333,69311,941
2015-01-27$6.58$5.0070.9%20.3%92.5%71.0%70.4%-1.3%-0.4%95.9K-8.8M-63.2K0.047.681,4686634,63712,120
2015-01-28$6.08$5.0068.0%19.5%96.4%66.9%68.1%-0.2%0.4%103.0K-7.0M-59.4K0.815.971,18296235,53312,148
2015-01-29$5.84$5.0072.6%20.8%95.3%73.6%73.7%-7.2%-3.4%103.8K-6.0M-57.2K0.6614.741,8221,20635,99312,336
2015-01-30$6.19$5.0069.8%20.0%96.8%69.4%63.2%4.1%0.0%102.1K-7.3M-59.8K1.087.431,1591,24736,02712,674