AG Options History — December 2015

In December 2015, AG traded between $3.08 and $3.63. ATM implied volatility averaged 69.4%, placing in the 55.8% IV rank vs the trailing year. The 30-day expected move averaged 20.4%. IV traded below realized volatility by 0.4% (HV 20d: 69.8%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.59.

Notable Days

  • 2015-12-08: Highest Volume — 3,450 contracts
  • 2015-12-31: Largest IV spike — 49.9% change
  • 2015-12-01: Highest IV Rank — 95.6%
  • 2015-12-01: Largest Expected Move — 26.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$3.36$3.08$3.63$3.49$3.24
Max Pain$3.91$3.00$4.00$3.00$4.00
ATM IV69.4%46.6%92.7%92.7%69.9%
Expected Move20.4%13.4%26.6%26.6%20.0%
HV 20d69.8%65.7%76.5%71.2%71.1%
HV 60d73.7%68.8%77.5%73.5%68.8%
IV Rank55.8%16.8%95.6%95.6%56.5%
IV Percentile54.2%2.8%99.2%99.2%55.6%
Term Structure-1.5%-22.7%23.3%-22.7%-9.3%
VWIV66.9%46.9%80.0%46.9%61.4%
Skew 25d-1.6%-41.1%110.5%110.5%-5.9%
Skew 10d16.3%-12.9%135.4%135.4%-2.8%
Call IV 25d70.4%46.9%90.0%46.9%65.5%
Put IV 25d68.7%48.9%157.4%157.4%59.7%
Bid-Ask Spread %7.463.6619.0519.054.83
Gamma HHI0.570.490.710.530.55
Net GEX86.9K58.7K137.1K85.6K58.7K
Net DEX-2.8M-3.7M-1.8M-3.1M-1.9M
Net VEX-29.8K-33.7K-24.8K-31.5K-24.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.011.090.021.09
Total Volume1,874.9558333,4508331,306
Total OI71,667.13668,99173,29268,99172,083

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$3.49$3.0092.7%26.6%71.2%95.6%46.9%110.5%-22.7%85.6K-3.1M-31.5K0.0219.058171658,85510,136
2015-12-02$3.37$3.0078.4%22.5%71.8%71.1%62.2%21.8%-2.3%81.4K-3.0M-31.8K0.449.291,20352759,15510,139
2015-12-03$3.44$4.0085.6%21.9%68.2%83.4%78.1%23.1%0.9%86.2K-3.2M-32.1K0.485.6399547559,19010,144
2015-12-04$3.61$4.0062.9%20.4%68.8%44.6%68.9%-1.8%4.7%101.0K-3.7M-33.7K0.488.161,25860059,21010,198
2015-12-07$3.40$4.0056.7%22.3%69.7%34.0%77.7%-11.1%-1.2%83.5K-3.0M-31.6K0.018.752,1553259,50310,334
2015-12-08$3.31$4.0058.7%22.8%70.3%37.4%79.9%-13.8%-4.9%87.4K-3.0M-31.3K0.228.952,82462661,17710,354
2015-12-09$3.42$4.0077.8%22.3%67.5%70.0%77.0%-9.1%0.7%92.9K-3.3M-32.0K0.279.572,38664361,18910,410
2015-12-10$3.43$4.0072.4%20.8%67.5%60.9%68.3%-8.7%4.8%100.6K-3.2M-32.1K0.476.661,24958162,17310,431
2015-12-11$3.37$4.0081.2%23.3%66.9%75.8%73.4%-12.6%-5.9%94.1K-3.3M-32.1K0.589.481,03960662,25010,448
2015-12-14$3.28$4.0079.4%22.8%66.0%72.8%72.2%-20.6%-6.2%84.2K-2.6M-29.8K0.5711.541,00957462,24610,448
2015-12-15$3.19$4.0072.1%20.7%67.0%60.4%63.9%-37.6%-16.5%76.7K-2.4M-28.6K0.6711.9096064162,26210,481
2015-12-16$3.41$4.0080.9%23.2%67.4%75.4%65.1%-12.4%-5.2%92.6K-3.1M-31.1K0.627.971,04064262,28110,683
2015-12-17$3.08$4.0065.4%18.7%76.5%48.9%58.0%-41.1%-7.9%65.3K-1.8M-26.5K0.723.661,13481662,44510,710
2015-12-18$3.16$4.0057.5%16.5%71.3%35.4%57.2%-31.9%14.2%68.8K-2.2M-28.5K0.864.7497684262,43110,861
2015-12-21$3.27$4.0063.2%18.1%70.7%45.1%75.2%-15.6%-8.3%86.3K-2.4M-28.2K0.624.331,48591961,21510,702
2015-12-22$3.30$4.0065.2%18.7%69.9%48.5%71.3%-13.4%-7.0%91.4K-2.8M-28.8K0.616.031,61998761,9529,954
2015-12-23$3.42$4.0062.8%18.0%65.7%44.5%68.7%-21.6%-1.6%98.1K-2.9M-29.5K0.565.251,65293162,0489,949
2015-12-24$3.63$4.0059.8%17.1%68.8%39.3%59.8%78.3%5.4%137.1K-3.4M-30.4K0.974.5580978562,3419,950
2015-12-28$3.37$4.0085.8%24.6%74.1%83.8%80.0%-19.4%-11.7%96.2K-2.8M-28.4K0.834.0275162362,3469,950
2015-12-29$3.37$4.0053.0%15.2%73.0%27.7%57.8%2.5%23.3%83.3K-2.3M-26.3K0.845.3173061362,3649,613
2015-12-30$3.26$4.0046.6%13.4%72.0%16.8%49.4%4.1%22.8%60.3K-1.9M-25.4K1.074.4666271162,4129,654
2015-12-31$3.24$4.0069.9%20.0%71.1%56.5%61.4%-5.9%-9.3%58.7K-1.9M-24.8K1.094.8362468262,3799,704