AG Options History — July 2015

In July 2015, AG traded between $3.01 and $4.86. ATM implied volatility averaged 60.6%, placing in the 56.0% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded below realized volatility by 1.1% (HV 20d: 61.7%). Max pain ranged from $4.00 to $5.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.73.

Notable Days

  • 2015-07-16: Highest Volume — 12,088 contracts
  • 2015-07-10: Largest IV spike — 37.9% change
  • 2015-07-27: Highest IV Rank — 93.4%
  • 2015-07-27: Largest Expected Move — 24.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$4.04$3.01$4.86$4.66$3.06
Max Pain$4.14$4.00$5.00$5.00$4.00
ATM IV60.6%36.8%86.1%47.4%72.6%
Expected Move17.4%13.6%24.7%13.6%20.8%
HV 20d61.7%41.1%91.3%43.2%91.3%
HV 60d49.7%40.6%63.6%41.8%63.6%
IV Rank56.0%21.1%93.4%36.6%73.6%
IV Percentile59.8%7.5%99.6%31.7%91.7%
Term Structure-3.2%-12.6%2.3%-1.0%-3.0%
VWIV58.6%41.1%84.5%47.8%65.7%
Skew 25d1.5%-26.6%17.5%-9.2%17.5%
Skew 10d10.3%-30.2%65.5%-10.7%25.6%
Call IV 25d56.8%42.0%95.0%48.1%56.1%
Put IV 25d58.3%38.6%81.7%39.0%73.6%
Bid-Ask Spread %10.405.8817.047.729.71
Gamma HHI0.520.220.870.850.22
Net GEX256.9K34.5K713.4K535.3K41.1K
Net DEX-3.5M-10.5M384.4K-7.8M-53.3K
Net VEX-44.5K-64.1K-27.8K-61.4K-31.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.730.061.650.120.95
Total Volume3,691.8641,48812,0883,9982,179
Total OI79,744.40957,60998,69391,45264,730

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-07-01$4.66$5.0047.4%13.6%43.2%36.6%47.8%-9.2%-1.0%535.3K-7.8M-61.4K0.127.723,56843079,11912,333
2015-07-02$4.70$5.0047.7%13.7%43.3%37.1%47.7%-6.9%1.7%560.2K-8.1M-62.2K0.105.883,30534479,30012,432
2015-07-06$4.86$5.0047.6%14.8%44.8%37.0%41.1%2.7%-2.3%713.4K-10.5M-64.1K0.069.386,33739879,48612,417
2015-07-07$4.71$4.0054.8%14.5%46.0%47.4%51.5%12.9%-0.1%632.9K-9.4M-61.7K0.1517.042,88942683,32512,517
2015-07-08$4.63$4.0056.0%14.6%46.3%49.2%55.1%14.1%-0.1%563.0K-7.9M-59.2K0.2711.912,86177682,41312,479
2015-07-09$4.57$4.0036.8%15.2%46.4%21.1%51.3%12.4%-2.1%436.5K-5.8M-55.7K1.6411.876641,08682,66912,695
2015-07-10$4.44$4.0050.7%15.3%46.8%41.5%50.7%6.3%-4.4%284.1K-3.8M-47.7K0.6412.203,1842,02782,80613,146
2015-07-13$4.60$4.0054.4%14.1%48.8%46.9%58.6%16.4%1.0%472.6K-5.8M-55.0K1.6515.177071,16584,62713,695
2015-07-14$4.56$4.0058.4%14.2%41.1%52.7%48.1%3.8%-0.6%443.5K-6.1M-56.5K1.1413.198821,00484,71313,655
2015-07-15$4.39$4.0055.3%15.8%42.6%48.2%51.6%6.6%-8.3%200.0K-3.9M-51.0K0.9110.601,06797484,77713,916
2015-07-16$4.59$4.0051.6%14.8%45.4%42.9%51.9%6.8%2.3%184.2K-5.5M-54.0K0.0613.0211,45263685,09013,451
2015-07-17$4.22$4.0053.7%15.4%51.3%45.9%54.9%-5.4%-1.3%94.1K-1.4M-38.0K0.0710.035,87643475,49513,333
2015-07-20$3.66$4.0058.4%16.7%69.2%52.7%56.3%-26.6%-2.8%81.0K-386.7K-31.9K1.658.641,2692,09351,75911,682
2015-07-21$3.85$4.0058.8%16.9%71.2%53.3%56.7%-1.1%0.5%73.2K-820.8K-34.3K0.8211.0481966945,95211,657
2015-07-22$3.76$4.0061.4%17.6%70.8%57.2%61.0%-6.6%-3.2%68.8K-644.0K-34.4K0.748.8089066346,15511,947
2015-07-23$3.50$4.0068.0%19.5%73.5%66.8%45.2%9.0%-6.6%52.7K200.5K-29.4K1.186.029251,09446,56211,992
2015-07-24$3.58$4.0071.4%20.5%74.1%71.8%72.3%8.5%-4.0%58.3K-355.2K-33.6K1.3612.421,2611,71047,08912,337
2015-07-27$3.07$4.0086.1%24.7%88.3%93.4%84.5%-15.5%-12.6%38.5K133.6K-29.5K0.787.352,9152,27347,83512,587
2015-07-28$3.19$4.0083.0%23.8%91.0%88.8%80.8%-6.8%-9.6%42.1K-74.2K-29.9K0.589.103,1121,81750,14213,634
2015-07-29$3.16$4.0078.6%22.5%90.7%82.4%81.6%-14.1%-4.7%41.8K-5.6K-31.1K0.517.741,69686550,45713,641
2015-07-30$3.01$4.0080.7%23.1%90.9%85.5%74.5%8.3%-10.3%34.5K384.4K-27.8K0.659.941,50397650,62113,709
2015-07-31$3.06$4.0072.6%20.8%91.3%73.6%65.7%17.5%-3.0%41.1K-53.3K-31.4K0.959.711,1191,06051,03613,694