AG Options History — May 2015

In May 2015, AG traded between $4.71 and $5.39. ATM implied volatility averaged 54.4%, placing in the 46.9% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 10.2% (HV 20d: 44.2%). 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 13 of 20 days. Put/call ratio averaged 0.42.

Notable Days

  • 2015-05-26: Highest Volume — 6,801 contracts
  • 2015-05-07: Largest IV drop — 28.6% change
  • 2015-05-06: Highest IV Rank — 62.1%
  • 2015-05-01: Largest Expected Move — 17.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.09$4.71$5.39$5.02$4.95
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV54.4%46.2%64.8%60.6%46.9%
Expected Move15.2%13.5%17.4%17.4%13.5%
HV 20d44.2%42.1%48.2%48.2%42.1%
HV 60d53.7%51.1%55.5%54.4%52.3%
IV Rank46.9%34.9%62.1%56.0%36.0%
IV Percentile51.9%36.5%77.8%66.3%36.5%
Term Structure1.2%-3.9%4.6%-3.9%4.6%
VWIV52.7%45.7%59.7%59.7%46.7%
Skew 25d-1.8%-15.2%8.0%8.0%5.1%
Skew 10d5.0%-24.3%35.0%11.0%7.4%
Call IV 25d51.9%37.4%59.6%47.1%38.3%
Put IV 25d50.0%41.3%60.8%55.1%43.4%
Bid-Ask Spread %13.067.6024.319.419.56
Gamma HHI0.700.650.760.700.76
Net GEX273.2K217.8K359.8K228.1K359.8K
Net DEX-9.9M-13.2M-6.1M-8.7M-9.6M
Net VEX-65.1K-69.4K-58.0K-64.8K-63.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.081.330.080.26
Total Volume2,052.21996,8015,2444,414
Total OI67,278.2563,72873,01363,72873,013

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$5.02$5.0060.6%17.4%48.2%56.0%59.7%8.0%-3.9%228.1K-8.7M-64.8K0.089.414,84639853,9419,787
2015-05-04$5.12$5.0063.0%16.4%46.9%59.5%57.6%2.4%-1.3%228.2K-9.5M-65.1K0.3513.161475253,9619,806
2015-05-05$5.01$5.0064.1%16.4%43.1%61.2%56.7%0.3%-0.3%229.9K-8.8M-64.0K0.7112.2465646654,0829,846
2015-05-06$4.85$5.0064.8%15.6%42.1%62.1%55.8%0.9%2.7%225.0K-7.6M-61.8K1.3324.3159379154,2669,999
2015-05-07$4.71$5.0046.2%15.8%42.7%34.9%55.8%-2.7%0.8%217.8K-6.1M-58.0K0.3916.352,04579654,44910,271
2015-05-08$4.96$5.0053.9%14.9%46.2%46.2%51.6%4.6%4.0%245.7K-8.1M-64.0K0.157.6093213755,75210,494
2015-05-11$5.02$5.0059.3%15.4%46.1%54.1%53.1%-9.8%0.5%259.2K-8.9M-65.3K0.3011.033069256,27210,539
2015-05-12$5.10$5.0064.5%15.9%46.3%61.7%53.9%-7.1%-1.9%265.7K-9.6M-66.2K0.4616.691,06448956,23310,535
2015-05-13$5.25$5.0055.3%15.9%43.7%48.2%57.5%-4.9%-2.2%260.2K-11.1M-66.4K0.1310.224,75063356,58510,523
2015-05-14$5.36$5.0053.4%15.3%43.8%45.5%53.4%-3.8%3.4%272.8K-13.0M-69.4K0.5915.4597557459,01210,595
2015-05-15$5.36$5.0052.7%15.1%43.3%44.4%52.4%0.7%0.7%267.5K-13.2M-68.1K0.5715.2864836959,15710,670
2015-05-18$5.39$5.0054.9%15.8%43.2%47.7%55.3%-0.2%-1.5%273.9K-12.4M-68.4K0.2015.2353210556,3919,656
2015-05-19$5.21$5.0054.6%15.6%44.7%47.2%52.3%-5.1%-1.3%280.3K-11.1M-67.2K0.3316.232307556,5649,716
2015-05-20$5.24$5.0049.9%14.3%43.4%40.2%50.9%-6.2%3.7%281.4K-11.0M-66.0K0.6316.0594659656,6589,780
2015-05-21$5.22$5.0049.3%14.1%43.5%39.4%50.5%-4.5%3.5%280.1K-10.8M-66.0K0.598.9390253156,93910,084
2015-05-22$5.24$5.0048.2%13.8%42.7%37.8%49.0%-6.1%3.7%295.7K-11.1M-67.2K0.5010.1368334157,12210,116
2015-05-26$4.96$5.0048.9%14.0%43.9%38.8%45.7%-15.2%1.1%300.2K-8.4M-60.7K0.098.306,25155057,19910,108
2015-05-27$4.90$5.0049.8%14.3%43.6%40.1%48.8%0.1%2.9%332.4K-9.3M-65.0K0.3113.341,30640762,43510,213
2015-05-28$5.03$5.0048.3%13.8%44.7%37.9%46.9%6.5%4.1%359.8K-10.3M-64.8K0.3511.621,04836862,57210,224
2015-05-29$4.95$5.0046.9%13.5%42.1%36.0%46.7%5.1%4.6%359.8K-9.6M-63.4K0.269.563,49492062,75410,259