AG Options History — April 2015

In April 2015, AG traded between $4.80 and $5.67. ATM implied volatility averaged 60.0%, placing in the 55.2% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded above realized volatility by 5.9% (HV 20d: 54.2%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.57.

Notable Days

  • 2015-04-22: Highest Volume — 7,020 contracts
  • 2015-04-08: Largest IV drop — 12.3% change
  • 2015-04-07: Highest IV Rank — 70.0%
  • 2015-04-02: Largest Expected Move — 18.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.12$4.80$5.67$5.52$4.87
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV60.0%56.0%70.2%58.7%58.1%
Expected Move17.2%16.1%18.3%16.8%16.7%
HV 20d54.2%43.5%67.0%67.0%46.4%
HV 60d60.2%53.5%71.9%71.9%54.0%
IV Rank55.2%49.3%70.0%53.2%52.4%
IV Percentile65.2%54.8%88.1%63.1%55.6%
Term Structure-1.1%-5.5%3.5%3.5%-1.2%
VWIV59.4%55.9%62.3%57.7%57.0%
Skew 25d-1.0%-13.8%14.5%0.3%-1.5%
Skew 10d3.0%-20.4%39.3%3.0%0.3%
Call IV 25d55.9%39.8%65.7%57.2%50.5%
Put IV 25d55.0%41.6%68.2%57.5%49.1%
Bid-Ask Spread %10.066.3915.2712.598.34
Gamma HHI0.480.190.740.190.70
Net GEX107.9K58.6K193.6K64.0K192.7K
Net DEX-4.3M-8.3M-2.1M-3.1M-7.0M
Net VEX-46.8K-61.2K-39.9K-44.3K-59.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.051.291.010.09
Total Volume2,925.5711,0227,0201,6465,622
Total OI50,442.1940,38759,71545,00259,715

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-04-01$5.52$5.0058.7%16.8%67.0%53.2%57.7%0.3%3.5%64.0K-3.1M-44.3K1.0112.5981882832,72312,279
2015-04-02$5.48$5.0058.5%18.3%67.0%52.9%58.7%1.5%-4.1%65.3K-3.0M-43.3K1.1311.2673382632,86112,301
2015-04-06$5.67$5.0062.9%17.7%64.8%59.3%62.3%3.8%-2.6%72.8K-3.6M-44.4K0.6715.271,17278932,90712,320
2015-04-07$5.35$5.0070.2%18.2%58.0%70.0%61.2%-5.2%-4.5%62.6K-2.6M-41.0K0.4411.802,24098033,17312,301
2015-04-08$5.13$5.0061.6%17.7%59.5%57.4%60.7%-8.7%-3.2%58.6K-2.1M-39.9K0.058.595,20524034,04212,258
2015-04-09$5.03$5.0059.7%17.1%58.2%54.7%59.4%4.3%-1.4%83.9K-2.9M-41.2K1.0413.8592396438,87112,300
2015-04-10$5.14$5.0061.4%17.6%58.7%57.1%62.0%5.9%-2.2%85.0K-3.7M-45.3K0.769.851,11484838,92412,459
2015-04-13$5.05$5.0060.9%17.5%57.9%56.4%59.0%-10.3%-0.9%80.7K-3.2M-43.1K0.6915.071,21683738,88112,444
2015-04-14$5.00$5.0060.3%17.3%58.0%55.5%60.8%7.8%-1.5%78.3K-3.0M-43.1K1.088.9182288739,05112,496
2015-04-15$5.26$5.0058.8%16.9%60.5%53.4%58.8%8.1%0.4%84.3K-4.3M-44.1K1.199.5778393039,00612,500
2015-04-16$5.17$5.0060.4%17.3%56.3%55.6%59.6%-10.5%-0.3%80.3K-3.9M-42.9K1.2912.5663882438,99112,568
2015-04-17$5.08$5.0062.5%17.9%55.3%58.8%62.2%-10.2%-4.5%80.6K-3.8M-42.6K0.999.3689788639,00012,594
2015-04-20$5.06$5.0057.0%16.3%55.0%50.7%58.2%-10.3%2.2%83.0K-2.9M-42.0K0.087.994,16535031,2109,177
2015-04-21$4.98$5.0058.7%16.8%43.5%53.2%61.4%-13.8%0.5%99.8K-3.6M-43.8K0.087.324,26434434,3759,241
2015-04-22$4.85$5.0059.6%17.1%43.7%54.5%58.0%-7.7%0.1%121.8K-3.9M-44.8K0.066.396,62639437,9689,289
2015-04-23$4.89$5.0056.1%16.1%44.2%49.4%56.4%0.2%1.4%149.9K-5.6M-52.4K0.467.3169932343,1299,157
2015-04-24$4.80$5.0056.0%16.1%43.9%49.3%55.9%-6.3%0.7%147.5K-5.1M-50.4K0.058.356,46833543,1849,197
2015-04-27$5.05$5.0058.5%16.8%48.4%52.9%58.3%11.6%0.7%188.7K-7.6M-56.2K0.198.981,89336248,8909,238
2015-04-28$5.13$5.0059.0%16.9%46.5%53.7%58.7%14.5%-0.1%193.6K-8.0M-57.7K0.418.631,04042749,7189,302
2015-04-29$5.09$5.0061.9%17.7%45.2%57.8%61.5%5.9%-5.5%193.0K-8.3M-61.2K0.269.211,37435149,8019,445
2015-04-30$4.87$5.0058.1%16.7%46.4%52.4%57.0%-1.5%-1.2%192.7K-7.0M-59.9K0.098.345,14847450,1419,574