AG Options History — October 2015

In October 2015, AG traded between $3.15 and $4.22. ATM implied volatility averaged 77.7%, placing in the 75.5% IV rank vs the trailing year. The 30-day expected move averaged 22.4%. IV traded below realized volatility by 5.5% (HV 20d: 83.2%). Max pain ranged from $3.00 to $3.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.39.

Notable Days

  • 2015-10-16: Highest Volume — 6,402 contracts
  • 2015-10-12: Largest IV spike — 45.6% change
  • 2015-10-12: Highest IV Rank — 100.0%
  • 2015-10-28: Largest Expected Move — 23.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.72$3.15$4.22$3.15$3.31
Max Pain$3.00$3.00$3.00$3.00$3.00
ATM IV77.7%62.6%91.2%82.5%67.0%
Expected Move22.4%19.2%23.7%23.7%19.2%
HV 20d83.2%68.6%93.9%68.6%70.6%
HV 60d86.3%81.5%91.9%87.0%82.6%
IV Rank75.5%48.0%100.0%84.9%55.5%
IV Percentile80.9%51.6%100.0%90.1%53.6%
Term Structure-0.4%-10.1%31.9%-0.8%31.9%
VWIV78.2%64.2%84.7%81.7%70.4%
Skew 25d7.4%-10.8%24.3%19.9%-2.9%
Skew 10d27.6%-13.8%62.2%27.8%14.5%
Call IV 25d76.2%62.6%85.1%62.6%84.0%
Put IV 25d83.5%65.7%99.8%82.5%81.1%
Bid-Ask Spread %19.3610.0428.9311.0328.93
Gamma HHI0.230.210.270.270.23
Net GEX88.0K66.4K106.3K78.6K66.4K
Net DEX-5.1M-8.4M-2.0M-2.0M-2.9M
Net VEX-37.0K-42.8K-31.0K-31.0K-32.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.071.020.600.40
Total Volume2,301.51,2946,4021,2941,681
Total OI71,624.40964,30178,78472,55065,186

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$3.15$3.0082.5%23.7%68.6%84.9%81.7%19.9%-0.8%78.6K-2.0M-31.0K0.6011.0381048460,83411,716
2015-10-02$3.58$3.0081.6%23.4%81.2%83.2%68.0%15.9%-2.2%86.5K-3.5M-33.0K0.1415.364,02656360,88711,719
2015-10-05$3.60$3.0071.0%23.1%80.3%63.4%83.1%-0.2%-5.2%98.8K-4.4M-34.5K0.0719.351,2789563,99311,744
2015-10-06$3.85$3.0073.5%21.9%82.9%68.1%79.1%7.8%0.0%97.3K-5.7M-36.7K0.1122.812,85930764,31811,782
2015-10-07$3.83$3.0076.8%22.7%80.5%74.3%80.2%4.0%-3.9%92.7K-5.9M-37.6K0.2220.491,50133165,16311,770
2015-10-08$3.68$3.0085.2%23.1%81.2%89.8%81.1%1.9%0.8%99.4K-5.5M-37.6K0.5720.731,22970465,45611,833
2015-10-09$3.84$3.0062.6%22.0%81.8%48.0%79.3%7.3%-3.2%90.5K-6.0M-38.3K0.5024.4987643865,88312,237
2015-10-12$3.69$3.0091.2%23.6%84.1%100.0%74.3%-4.1%-5.7%92.8K-5.9M-37.5K0.5528.7699854866,04812,277
2015-10-13$3.89$3.0088.5%23.1%85.1%95.1%79.5%-2.7%-5.2%97.6K-6.1M-37.2K0.5621.9683846866,17812,259
2015-10-14$4.04$3.0075.9%21.8%84.7%71.9%74.8%11.2%-1.4%106.3K-7.4M-39.8K0.3619.141,99171666,30012,366
2015-10-15$4.22$3.0078.4%22.5%85.2%76.5%75.8%16.9%-1.0%91.5K-8.4M-42.8K0.4518.472,4841,11066,36612,418
2015-10-16$4.06$3.0077.4%22.2%87.2%74.7%64.2%-10.8%-2.1%87.4K-7.4M-41.9K0.1014.055,79960365,36512,944
2015-10-19$3.72$3.0079.3%22.7%93.9%78.2%78.6%-4.0%-4.9%84.8K-5.2M-39.0K0.2413.481,63239854,4409,861
2015-10-20$3.88$3.0078.4%22.5%93.1%76.6%84.3%4.8%0.1%88.6K-5.7M-40.2K0.1912.141,20923155,05710,083
2015-10-21$3.67$3.0071.3%20.4%93.4%63.5%80.5%-3.5%2.7%86.5K-5.0M-38.1K0.4913.0590344154,94810,135
2015-10-22$3.68$3.0076.0%21.8%86.4%72.1%82.0%22.9%-0.3%86.1K-4.9M-37.8K0.6224.2485352755,34210,343
2015-10-23$3.70$3.0077.2%22.1%85.8%74.3%81.7%23.0%-2.9%87.4K-5.0M-38.0K0.2622.701,55440055,55910,415
2015-10-26$3.72$3.0080.4%23.1%80.8%80.2%84.4%24.3%-4.0%86.6K-5.0M-37.1K0.1510.043,80958856,39010,494
2015-10-27$3.62$3.0077.2%22.1%81.6%74.3%79.2%11.5%0.2%85.8K-4.4M-35.9K1.0214.7667468656,00510,427
2015-10-28$3.67$3.0082.6%23.7%78.3%84.3%84.7%18.2%-10.1%75.7K-3.8M-35.1K0.5821.311,25172353,76810,787
2015-10-29$3.38$3.0075.8%21.7%84.3%71.7%72.7%0.6%8.9%68.2K-3.0M-32.5K0.3928.731,44856953,70810,933
2015-10-30$3.31$3.0067.0%19.2%70.6%55.5%70.4%-2.9%31.9%66.4K-2.9M-32.0K0.4028.931,20148054,13111,055