AG Options History — August 2015

In August 2015, AG traded between $2.86 and $4.01. ATM implied volatility averaged 77.5%, placing in the 80.8% IV rank vs the trailing year. The 30-day expected move averaged 22.4%. IV traded below realized volatility by 20.1% (HV 20d: 97.6%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.50.

Notable Days

  • 2015-08-12: Highest Volume — 6,322 contracts
  • 2015-08-12: Largest IV spike — 74.9% change
  • 2015-08-27: Highest IV Rank — 95.7%
  • 2015-08-27: Largest Expected Move — 25.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.47$2.86$4.01$3.02$3.46
Max Pain$3.62$3.00$4.00$4.00$4.00
ATM IV77.5%42.3%87.7%79.6%85.5%
Expected Move22.4%19.8%25.2%22.8%24.5%
HV 20d97.6%89.0%114.0%89.1%95.2%
HV 60d72.3%62.3%81.0%63.4%81.0%
IV Rank80.8%29.2%95.7%83.9%92.5%
IV Percentile91.0%13.1%99.6%98.0%98.8%
Term Structure-2.5%-9.3%2.8%-8.9%-4.4%
VWIV78.5%71.0%94.2%76.6%87.6%
Skew 25d1.2%-28.6%15.9%15.8%-3.9%
Skew 10d15.3%-36.6%61.2%23.4%18.3%
Call IV 25d77.5%61.4%88.2%63.6%87.9%
Put IV 25d78.7%57.6%94.2%79.4%84.1%
Bid-Ask Spread %12.457.8426.889.6516.67
Gamma HHI0.280.220.380.230.24
Net GEX67.6K29.0K142.7K34.7K61.1K
Net DEX-1.6M-3.9M626.3K308.7K-1.6M
Net VEX-35.3K-43.8K-25.3K-28.2K-35.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.021.240.330.16
Total Volume2,584.0953266,3223264,658
Total OI66,190.95261,61470,12164,95864,236

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-08-03$3.02$4.0079.6%22.8%89.1%83.9%76.6%15.8%-8.9%34.7K308.7K-28.2K0.339.652468051,17613,782
2015-08-04$2.95$4.0077.7%22.3%89.0%81.1%76.3%10.1%-5.8%30.6K626.3K-26.0K1.248.3374792651,21213,788
2015-08-05$2.86$4.0084.3%24.2%89.0%90.7%84.1%5.1%-9.3%29.0K617.1K-25.3K1.0010.441,1231,12051,24213,890
2015-08-06$3.01$4.0077.0%21.0%92.9%80.1%71.0%-15.9%-1.5%32.7K413.4K-27.4K0.8511.301,3191,12151,70914,172
2015-08-07$3.04$4.0079.4%22.0%93.5%83.5%75.6%-12.8%-2.3%38.1K162.1K-28.7K0.637.841,8841,19652,17014,043
2015-08-10$3.34$4.0083.5%21.6%100.1%89.6%75.1%-1.2%0.9%41.4K-812.5K-30.4K0.3012.161,79654353,24114,274
2015-08-11$3.58$4.0042.3%20.2%104.6%29.2%74.7%15.9%-2.5%65.8K-1.6M-36.0K0.0211.811,5512552,99614,398
2015-08-12$4.01$3.0074.0%21.2%113.1%75.5%74.6%7.1%-2.8%99.0K-3.5M-41.9K0.1716.215,41590753,55814,421
2015-08-13$3.73$4.0077.9%22.3%114.0%81.4%77.8%-2.3%-2.6%82.9K-2.5M-39.6K0.528.092,3011,19753,48914,415
2015-08-14$3.76$3.0072.3%20.7%110.7%73.1%72.7%-4.4%0.3%89.5K-2.6M-40.3K0.849.501,13094754,36914,859
2015-08-17$3.99$3.0069.0%19.8%100.4%68.2%72.0%9.8%2.8%110.9K-3.5M-42.3K0.638.101,02965354,57114,886
2015-08-18$3.81$3.0075.3%21.6%100.3%77.5%78.8%-0.3%-1.8%99.5K-2.9M-41.5K0.5510.451,19765854,81815,084
2015-08-19$3.95$3.0074.0%21.2%100.8%75.7%79.1%7.9%-2.5%121.7K-3.4M-42.9K0.098.646696155,06715,054
2015-08-20$4.01$3.0072.2%20.7%96.9%73.0%71.6%10.9%-1.0%142.7K-3.9M-43.8K0.337.872,02366854,87015,033
2015-08-21$3.75$3.0078.5%22.5%100.2%82.2%77.5%-28.6%-3.1%69.2K-2.2M-38.0K0.3012.252,08461854,61415,056
2015-08-24$3.42$3.0084.0%24.1%89.2%90.3%94.2%-3.1%-4.2%59.3K-2.1M-38.7K0.2926.881,99758149,16712,447
2015-08-25$3.28$4.0084.9%24.3%89.8%91.5%76.9%5.1%0.1%51.2K-1.4M-34.4K1.0216.551,2691,29949,76312,476
2015-08-26$3.11$4.0084.6%24.2%91.8%91.1%86.3%-7.9%1.9%43.9K-792.2K-31.0K0.6317.571,33883749,60412,010
2015-08-27$3.36$4.0087.7%25.2%94.0%95.7%80.9%14.3%-3.1%53.8K-1.2M-33.9K0.4820.131,28562050,00111,948
2015-08-28$3.52$4.0084.7%24.3%95.1%91.4%84.8%2.6%-3.7%62.8K-1.9M-36.6K0.1911.004,31883050,15211,949
2015-08-31$3.46$4.0085.5%24.5%95.2%92.5%87.6%-3.9%-4.4%61.1K-1.6M-35.1K0.1616.674,01864052,03912,197