AG Options History — September 2015

In September 2015, AG traded between $2.80 and $3.29. ATM implied volatility averaged 83.6%, placing in the 87.6% IV rank vs the trailing year. The 30-day expected move averaged 24.0%. IV traded above realized volatility by 7.2% (HV 20d: 76.5%). Max pain ranged from $3.00 to $5.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.42.

Notable Days

  • 2015-09-21: Highest Volume — 6,766 contracts
  • 2015-09-28: Largest IV spike — 8.0% change
  • 2015-09-28: Highest IV Rank — 96.9%
  • 2015-09-28: Largest Expected Move — 25.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.07$2.80$3.29$3.27$3.19
Max Pain$4.24$3.00$5.00$4.00$3.00
ATM IV83.6%75.3%89.0%87.7%83.2%
Expected Move24.0%21.6%25.5%25.1%23.8%
HV 20d76.5%61.4%98.0%97.3%70.3%
HV 60d82.6%80.8%87.0%81.6%87.0%
IV Rank87.6%71.5%96.9%95.6%86.1%
IV Percentile94.1%84.1%99.6%99.2%91.7%
Term Structure-1.9%-8.9%6.9%1.4%3.4%
VWIV82.1%70.7%90.7%90.3%82.7%
Skew 25d-3.2%-34.3%53.9%-8.4%53.9%
Skew 10d5.0%-53.0%111.1%5.0%111.1%
Call IV 25d84.6%60.2%108.5%97.5%60.2%
Put IV 25d81.3%62.5%125.3%89.1%114.1%
Bid-Ask Spread %9.466.0216.9812.3412.63
Gamma HHI0.230.200.280.240.28
Net GEX50.1K28.3K80.0K53.7K80.0K
Net DEX-900.7K-2.2M128.9K-1.3M-1.9M
Net VEX-29.8K-34.1K-25.9K-34.1K-30.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.101.000.380.47
Total Volume2,660.9055406,7663,0791,587
Total OI68,783.1964,44872,70164,44872,701

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-09-01$3.27$4.0087.7%25.1%97.3%95.6%90.3%-8.4%1.4%53.7K-1.3M-34.1K0.3812.342,22985052,23212,216
2015-09-02$3.13$4.0086.3%24.7%98.0%93.6%85.7%24.6%-0.5%43.9K-626.0K-30.6K0.588.752,1241,23852,28512,527
2015-09-03$3.04$5.0081.5%24.3%97.1%86.6%83.5%-17.0%-6.1%38.6K-456.5K-29.5K0.3712.552,37987452,44913,034
2015-09-04$2.97$5.0085.4%24.9%97.4%92.3%83.6%-19.2%-4.8%35.4K-189.8K-29.0K0.586.021,52888652,91013,167
2015-09-08$3.02$5.0087.9%25.0%91.0%95.9%86.0%-20.3%-5.2%37.1K-342.2K-28.6K0.4714.2151724153,77313,203
2015-09-09$2.89$5.0086.5%24.8%87.5%93.9%83.1%-25.9%-8.8%31.9K26.6K-27.2K0.497.161,37066853,79413,385
2015-09-10$2.80$5.0086.9%24.9%74.4%94.2%90.7%-34.3%-8.9%28.3K128.9K-25.9K0.387.041,75066754,29713,446
2015-09-11$2.86$5.0085.5%24.5%72.7%90.5%88.6%-28.6%-4.5%32.9K58.6K-27.1K0.327.532,01664055,24213,423
2015-09-14$2.89$5.0085.7%24.6%72.8%90.8%72.9%2.5%-6.7%33.1K11.4K-27.2K1.0010.0688988856,26813,430
2015-09-15$2.98$5.0082.8%23.7%69.7%85.5%82.7%8.5%-7.9%39.8K-425.1K-29.7K0.108.144934756,31613,238
2015-09-16$3.12$5.0081.6%23.4%71.8%83.3%73.9%-10.4%-0.3%41.9K-639.8K-29.6K0.629.211,14370956,20613,270
2015-09-17$3.21$5.0079.5%22.8%71.2%79.4%76.1%10.0%-2.3%46.1K-926.6K-30.3K0.4716.982,09398056,41713,329
2015-09-18$3.26$5.0084.9%24.4%71.2%89.4%82.1%2.6%-6.0%48.9K-1.0M-30.9K0.438.561,84279056,11213,355
2015-09-21$3.24$5.0083.8%24.0%68.0%87.3%83.7%15.8%1.3%50.7K-954.7K-31.1K0.138.185,97679053,66411,805
2015-09-22$3.12$3.0077.4%22.2%61.4%75.4%77.5%-5.7%3.9%62.8K-1.7M-32.0K0.426.891,87079458,08211,720
2015-09-23$2.96$3.0075.3%21.6%62.4%71.5%70.7%5.9%6.9%57.1K-1.2M-29.4K0.606.331,53692858,19411,793
2015-09-24$3.29$3.0080.5%23.1%71.0%81.2%81.8%-5.9%1.0%68.2K-2.0M-32.4K0.178.213,44257158,29211,717
2015-09-25$3.22$3.0082.4%23.6%65.8%84.6%81.2%-8.3%2.2%77.8K-2.2M-32.0K0.159.943,11047660,46211,732
2015-09-28$3.00$3.0089.0%25.5%67.4%96.9%85.4%-20.0%1.0%72.5K-1.8M-30.8K0.149.503,20845860,54611,760
2015-09-29$2.97$3.0082.6%23.7%67.3%85.1%82.2%12.6%2.0%71.3K-1.5M-29.2K0.538.4683644660,85911,796
2015-09-30$3.19$3.0083.2%23.8%70.3%86.1%82.7%53.9%3.4%80.0K-1.9M-30.2K0.4712.631,07751060,90511,796