AG Options History — June 2015

In June 2015, AG traded between $4.76 and $5.35. ATM implied volatility averaged 48.0%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 9.0% (HV 20d: 38.9%). 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 19 of 22 days. Put/call ratio averaged 0.37.

Notable Days

  • 2015-06-22: Highest Volume — 9,150 contracts
  • 2015-06-29: Largest IV spike — 12.7% change
  • 2015-06-08: Highest IV Rank — 44.4%
  • 2015-06-08: Largest Expected Move — 14.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.01$4.76$5.35$5.01$4.86
Max Pain$5.00$5.00$5.00$5.00$5.00
ATM IV48.0%41.8%52.7%50.7%44.9%
Expected Move13.7%12.0%14.9%14.5%12.9%
HV 20d38.9%30.1%43.2%40.9%41.7%
HV 60d45.4%42.6%52.4%52.4%42.6%
IV Rank37.5%28.4%44.4%41.5%32.9%
IV Percentile34.2%17.5%44.4%42.9%25.8%
Term Structure2.7%-1.6%6.0%2.3%3.5%
VWIV46.1%35.6%54.2%46.6%44.9%
Skew 25d1.1%-10.8%18.5%5.4%-1.3%
Skew 10d2.4%-15.1%26.4%7.9%-0.7%
Call IV 25d43.8%32.1%53.8%41.4%43.1%
Put IV 25d44.9%37.1%57.8%46.8%41.9%
Bid-Ask Spread %8.975.7011.918.948.37
Gamma HHI0.790.740.860.760.86
Net GEX485.5K374.9K653.8K374.9K640.6K
Net DEX-11.7M-17.0M-6.7M-10.6M-10.6M
Net VEX-65.9K-72.9K-55.9K-66.1K-65.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.370.051.380.460.14
Total Volume3,721.5912979,1501,3743,985
Total OI82,821.95576,14192,13776,14191,056

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$5.01$5.0050.7%14.5%40.9%41.5%46.6%5.4%2.3%374.9K-10.6M-66.1K0.468.9493843665,40210,739
2015-06-02$5.10$5.0050.9%14.6%40.8%41.8%50.8%10.2%1.9%386.1K-11.8M-68.0K0.059.052821565,59910,719
2015-06-03$4.96$5.0047.9%13.7%41.3%37.3%47.9%2.7%2.6%391.9K-9.9M-63.9K1.3810.588461,16765,73110,722
2015-06-04$4.91$5.0048.8%14.2%39.7%38.7%49.1%3.4%4.3%384.6K-9.0M-60.9K0.318.771,61549665,64211,542
2015-06-05$4.84$5.0049.5%13.6%38.5%39.7%54.2%-0.7%5.9%409.1K-8.2M-64.0K0.385.701,85870966,47111,614
2015-06-08$4.88$5.0052.7%14.9%33.8%44.4%52.1%18.5%0.3%392.9K-8.8M-63.0K0.427.711,91580466,55911,960
2015-06-09$4.88$5.0051.9%14.5%33.5%43.3%38.9%-10.8%1.4%409.1K-9.0M-63.0K0.567.581,60290066,77812,062
2015-06-10$4.90$5.0049.1%14.1%32.9%39.1%35.6%4.5%3.2%421.7K-8.8M-62.2K0.479.221,81586066,76512,136
2015-06-11$4.79$5.0048.8%14.0%31.6%38.6%38.7%-1.4%3.1%400.7K-7.1M-56.4K0.759.321,15086266,69412,126
2015-06-12$4.76$5.0046.9%13.4%30.1%35.9%42.6%-2.7%4.3%405.7K-6.7M-55.9K0.757.421,5011,12266,76812,073
2015-06-15$5.10$5.0049.8%14.3%40.2%40.2%51.9%-10.8%-0.7%480.3K-11.6M-63.1K0.1110.287,11279267,12512,421
2015-06-16$5.05$5.0048.9%14.0%40.1%38.8%49.5%-7.8%-0.3%542.2K-12.9M-70.2K0.458.711,63973773,00612,453
2015-06-17$5.16$5.0046.1%13.2%39.3%34.7%49.7%-9.0%3.5%559.9K-14.4M-70.2K0.4410.171,00543973,04412,443
2015-06-18$5.31$5.0046.8%13.4%40.6%35.8%46.3%-0.9%3.6%500.8K-17.0M-69.8K0.5211.911,21062573,12812,374
2015-06-19$5.18$5.0044.8%12.8%41.6%32.8%44.2%-9.1%4.8%491.3K-15.2M-69.6K0.138.995,18968473,10812,534
2015-06-22$5.35$5.0047.4%13.6%43.2%36.6%44.3%3.2%6.0%476.5K-16.3M-68.1K0.067.688,66248870,16411,426
2015-06-23$5.15$5.0046.7%13.4%40.6%35.6%46.5%12.3%3.8%566.5K-15.6M-70.0K0.146.945,19174875,82711,431
2015-06-24$5.05$5.0047.0%13.5%41.1%36.1%44.7%5.3%-1.6%582.1K-14.2M-69.7K0.2510.235,5491,38776,55911,451
2015-06-25$5.12$5.0046.8%13.4%40.3%35.8%46.8%10.9%3.2%599.3K-16.2M-72.9K0.209.726,1581,20979,98012,157
2015-06-26$4.93$5.0041.8%12.0%42.2%28.4%41.8%2.4%3.5%653.8K-12.5M-70.2K0.108.813,90740779,02012,165
2015-06-29$4.85$5.0047.1%13.5%42.3%36.2%47.1%-0.6%0.9%611.1K-11.4M-68.1K0.1211.233,44341678,92912,180
2015-06-30$4.86$5.0044.9%12.9%41.7%32.9%44.9%-1.3%3.5%640.6K-10.6M-65.6K0.148.373,48749878,85712,199