AG Options History — March 2015

In March 2015, AG traded between $4.88 and $6.13. ATM implied volatility averaged 60.2%, placing in the 55.3% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded below realized volatility by 0.4% (HV 20d: 60.6%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.61.

Notable Days

  • 2015-03-26: Highest Volume — 3,098 contracts
  • 2015-03-19: Largest IV drop — 10.5% change
  • 2015-03-09: Highest IV Rank — 62.4%
  • 2015-03-10: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.55$4.88$6.13$6.07$5.40
Max Pain$5.14$5.00$6.00$6.00$5.00
ATM IV60.2%54.4%65.0%60.6%62.7%
Expected Move17.2%15.6%18.5%17.4%18.0%
HV 20d60.6%48.7%68.3%49.7%66.6%
HV 60d76.4%72.1%80.2%80.1%73.0%
IV Rank55.3%47.0%62.4%56.0%59.0%
IV Percentile70.4%61.9%79.0%72.6%75.8%
Term Structure0.2%-3.7%7.1%0.1%1.4%
VWIV59.1%45.3%63.6%57.2%60.7%
Skew 25d0.4%-27.5%21.0%-10.1%5.8%
Skew 10d4.9%-41.3%45.7%-9.1%2.5%
Call IV 25d56.7%42.2%69.5%62.9%56.6%
Put IV 25d57.1%42.0%66.3%52.8%62.4%
Bid-Ask Spread %9.565.9116.848.527.67
Gamma HHI0.220.180.260.230.19
Net GEX55.9K37.2K78.0K58.8K58.3K
Net DEX-2.8M-4.9M-488.0K-4.2M-2.5M
Net VEX-45.1K-53.7K-38.6K-53.7K-41.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.072.320.591.02
Total Volume1,226.2271763,0982,5581,698
Total OI45,007.27342,25545,92244,49444,723

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$6.07$6.0060.6%17.4%49.7%56.0%57.2%-10.1%0.1%58.8K-4.2M-53.7K0.598.521,60994931,16713,327
2015-03-03$5.98$6.0060.6%17.4%49.1%55.9%59.9%-21.3%-0.6%57.3K-4.0M-51.4K0.688.231,44899031,28813,444
2015-03-04$5.86$6.0059.5%17.0%49.0%54.3%59.3%-27.5%0.6%52.2K-3.6M-50.3K0.647.631,36687931,29613,459
2015-03-05$5.85$5.0058.0%16.7%48.7%52.2%59.3%-2.6%0.5%51.3K-3.4M-49.8K1.0316.8481683731,35813,463
2015-03-06$5.51$5.0060.4%17.5%52.5%55.8%60.6%-7.7%-3.2%45.7K-2.6M-48.2K0.778.191,11185031,52713,330
2015-03-09$5.00$5.0065.0%18.2%60.8%62.4%62.8%2.3%-2.3%40.7K-998.6K-40.8K0.458.6867930831,81013,407
2015-03-10$4.88$5.0063.2%18.5%59.6%59.8%63.5%5.1%-3.7%37.2K-488.0K-38.6K0.6812.1547632332,10913,490
2015-03-11$5.08$5.0062.5%17.9%62.4%58.7%63.6%7.8%-2.8%38.4K-853.3K-39.1K0.4811.4551324532,15313,433
2015-03-12$5.05$5.0061.4%17.6%62.0%57.2%62.6%-14.0%-0.2%48.2K-1.1M-41.1K0.078.012942132,44713,332
2015-03-13$5.21$5.0060.0%17.2%63.6%55.1%60.3%-6.1%1.1%49.2K-1.3M-39.7K0.198.821733332,42713,314
2015-03-16$5.18$5.0061.0%17.5%62.4%56.6%61.1%-7.1%-2.0%52.1K-1.5M-41.4K0.447.702259932,46113,294
2015-03-17$5.09$5.0061.6%17.7%62.1%57.5%56.4%-9.5%-0.7%54.8K-1.1M-39.3K2.3212.825312332,54713,324
2015-03-18$5.42$5.0061.2%17.6%65.5%56.9%59.4%3.3%0.6%46.7K-2.0M-40.6K0.2412.912646432,58013,171
2015-03-19$5.58$5.0054.8%15.7%65.2%47.5%56.8%6.0%4.8%49.5K-2.7M-43.9K0.318.9945114132,71213,210
2015-03-20$5.63$5.0059.0%16.9%62.7%53.6%59.1%10.0%-0.3%54.6K-3.1M-44.8K0.3814.891,04139932,57313,181
2015-03-23$6.13$5.0054.4%15.6%68.3%47.0%54.6%20.4%7.1%70.3K-4.1M-47.7K0.205.912,30246630,37311,882
2015-03-24$6.01$5.0059.0%16.9%65.9%53.6%58.5%20.3%0.6%78.0K-4.9M-50.1K0.557.351789832,18912,105
2015-03-25$5.97$5.0060.5%17.3%63.5%55.8%60.2%21.0%1.5%75.1K-4.5M-47.6K0.387.0152019632,20512,171
2015-03-26$5.81$5.0058.9%16.9%64.0%53.5%45.3%12.4%0.8%72.1K-4.2M-49.1K0.348.692,30479432,38412,155
2015-03-27$5.87$5.0058.7%16.8%63.9%53.3%58.7%-3.5%0.8%73.3K-4.1M-47.6K0.187.611622932,41112,240
2015-03-30$5.59$5.0060.4%17.3%65.8%55.6%60.7%3.5%0.6%65.6K-3.4M-45.6K1.4210.2659985132,44712,241
2015-03-31$5.40$5.0062.7%18.0%66.6%59.0%60.7%5.8%1.4%58.3K-2.5M-41.7K1.027.6784085832,50312,220