AG Options History — November 2015

In November 2015, AG traded between $2.82 and $3.44. ATM implied volatility averaged 81.5%, placing in the 78.0% IV rank vs the trailing year. The 30-day expected move averaged 22.6%. IV traded above realized volatility by 14.8% (HV 20d: 66.7%). Max pain ranged from $3.00 to $3.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.44.

Notable Days

  • 2015-11-20: Highest Volume — 8,830 contracts
  • 2015-11-24: Largest IV spike — 18.1% change
  • 2015-11-09: Highest IV Rank — 100.0%
  • 2015-11-02: Largest Expected Move — 25.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.10$2.82$3.44$3.35$3.34
Max Pain$3.00$3.00$3.00$3.00$3.00
ATM IV81.5%67.6%95.3%88.5%75.4%
Expected Move22.6%19.4%25.4%25.4%21.6%
HV 20d66.7%57.4%74.5%70.8%69.6%
HV 60d75.6%72.8%82.6%82.6%73.2%
IV Rank78.0%52.6%100.0%95.1%66.0%
IV Percentile82.8%48.8%100.0%98.8%68.7%
Term Structure-2.4%-8.4%2.9%-6.1%2.0%
VWIV75.5%65.3%90.1%90.1%68.5%
Skew 25d21.5%-11.7%109.3%4.3%109.3%
Skew 10d35.1%-4.5%131.9%13.0%131.9%
Call IV 25d63.8%41.6%90.4%88.9%41.6%
Put IV 25d85.4%68.4%150.9%93.3%150.9%
Bid-Ask Spread %14.908.8123.2912.3919.61
Gamma HHI0.360.230.500.230.48
Net GEX68.2K45.2K93.4K68.0K71.8K
Net DEX-2.1M-3.2M-1.1M-2.9M-2.7M
Net VEX-29.2K-33.5K-25.1K-33.5K-31.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.440.031.080.190.03
Total Volume1,853.22658,8303,248488
Total OI69,241.365,49671,47265,49668,820

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$3.35$3.0088.5%25.4%70.8%95.1%90.1%4.3%-6.1%68.0K-2.9M-33.5K0.1912.392,72252654,37011,126
2015-11-03$3.44$3.0088.3%25.3%66.7%94.7%75.1%25.9%-5.5%83.1K-3.2M-33.1K0.2920.021,77352256,13611,130
2015-11-04$3.23$3.0081.2%23.3%69.8%81.7%80.5%-11.7%-8.4%73.9K-2.8M-32.2K0.4621.7687139756,91811,145
2015-11-05$3.13$3.0087.4%22.7%69.3%93.1%80.0%0.4%2.6%69.3K-2.4M-30.8K0.3523.2975826457,07211,171
2015-11-06$2.97$3.0085.6%23.1%68.3%89.7%80.6%20.8%-1.7%63.8K-1.8M-29.3K0.148.811,64323157,19011,066
2015-11-09$3.04$3.0095.3%21.0%68.7%100.0%72.3%11.4%0.7%67.2K-1.8M-28.9K0.1311.026398558,30211,210
2015-11-10$2.88$3.0094.5%22.6%66.2%98.7%70.1%16.6%-1.7%62.6K-1.5M-27.3K0.4114.251,17248358,54811,208
2015-11-11$2.90$3.0079.2%22.7%63.8%72.5%65.3%16.5%-3.0%66.5K-1.4M-27.1K0.4114.521,17248358,75511,303
2015-11-12$2.82$3.0076.5%21.9%59.8%67.9%70.6%3.3%1.3%60.0K-1.1M-25.4K0.7816.2897175458,77311,313
2015-11-13$2.97$3.0081.1%23.2%64.5%75.7%69.1%13.8%1.7%74.3K-1.6M-28.0K0.5413.041,30771158,91611,304
2015-11-16$3.00$3.0077.6%22.2%59.2%69.7%77.8%42.4%-2.3%93.4K-1.5M-27.3K0.1614.252283759,49311,361
2015-11-17$2.85$3.0079.0%22.6%57.4%72.1%76.9%5.2%-6.1%67.4K-1.1M-25.1K0.7914.5499979159,55311,284
2015-11-18$2.98$3.0076.8%22.0%59.1%68.4%79.0%13.7%-2.4%88.1K-1.5M-26.6K0.7510.611,05678859,72911,282
2015-11-19$3.23$3.0078.0%22.4%67.3%70.5%78.7%-0.1%-4.1%51.6K-3.1M-29.5K0.7610.861,17689359,86211,291
2015-11-20$3.10$3.0077.4%22.2%68.2%69.4%82.8%-9.7%-8.2%45.2K-2.8M-28.3K0.1112.357,92490660,07511,397
2015-11-23$3.02$3.0067.6%19.4%68.2%52.6%67.6%13.7%2.9%55.2K-1.8M-28.2K0.1913.283897558,08010,155
2015-11-24$3.26$3.0079.8%22.9%74.5%73.4%79.9%51.6%-2.2%68.8K-2.5M-31.2K0.1116.017037858,27710,097
2015-11-25$3.27$3.0081.3%23.3%74.2%76.1%70.3%52.3%-7.8%68.8K-2.5M-31.0K1.0814.5373979658,43910,050
2015-11-27$3.22$3.0079.2%22.7%68.7%72.5%68.5%51.2%1.0%65.7K-2.2M-30.0K1.0116.5375376158,48110,144
2015-11-30$3.34$3.0075.4%21.6%69.6%66.0%0.0%109.3%2.0%71.8K-2.7M-31.3K0.0319.614731558,69110,129