AG Options History — March 2016

In March 2016, AG traded between $4.33 and $6.92. ATM implied volatility averaged 71.3%, placing in the 45.6% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded below realized volatility by 0.4% (HV 20d: 71.7%). 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 13 of 22 days. Put/call ratio averaged 0.49.

Notable Days

  • 2016-03-17: Highest Volume — 5,163 contracts
  • 2016-03-31: Largest IV spike — 12.1% change
  • 2016-03-01: Highest IV Rank — 51.5%
  • 2016-03-01: Largest Expected Move — 21.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.92$4.33$6.92$4.33$6.48
Max Pain$3.59$3.00$4.00$4.00$4.00
ATM IV71.3%67.1%75.8%75.8%75.4%
Expected Move20.5%19.2%21.7%21.7%21.6%
HV 20d71.7%63.4%76.5%75.3%73.3%
HV 60d71.5%69.6%73.0%70.8%71.1%
IV Rank45.6%40.1%51.5%51.5%51.0%
IV Percentile52.1%41.7%62.3%62.3%61.5%
Term Structure0.3%-8.6%5.6%-5.7%-1.1%
VWIV71.4%64.7%79.2%73.3%71.2%
Skew 25d3.3%-4.5%19.3%-2.2%-1.4%
Skew 10d16.4%-22.7%50.8%-0.3%-22.7%
Call IV 25d71.5%53.6%78.0%78.0%75.7%
Put IV 25d74.8%67.9%81.2%75.8%74.3%
Bid-Ask Spread %17.419.5226.7019.6811.30
Gamma HHI0.230.150.350.300.16
Net GEX87.3K61.2K103.3K61.2K99.1K
Net DEX-12.8M-17.6M-6.3M-6.3M-14.7M
Net VEX-52.9K-64.6K-37.1K-37.1K-62.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.221.100.530.43
Total Volume3,126.5911,3255,1631,7522,447
Total OI43,537.536,33849,39736,33849,397

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-03-01$4.33$4.0075.8%21.7%75.3%51.5%73.3%-2.2%-5.7%61.2K-6.3M-37.1K0.5319.681,14560729,5716,767
2016-03-02$4.45$4.0075.4%21.6%73.0%51.0%75.7%-1.3%-8.6%64.1K-6.6M-37.6K0.7224.7977155429,7396,868
2016-03-03$4.74$3.0067.5%20.0%72.7%40.5%71.5%7.6%3.1%71.8K-7.6M-39.2K0.4919.121,23260129,9316,903
2016-03-04$4.90$3.0073.1%20.3%72.1%48.0%72.3%14.1%1.9%73.6K-8.2M-40.5K0.3123.142,76785929,9956,969
2016-03-07$5.35$3.0070.6%20.6%75.2%44.6%70.9%1.7%3.0%79.2K-10.0M-42.4K0.3818.972,9971,13630,2527,309
2016-03-08$5.29$3.0074.8%21.5%73.5%50.2%73.8%4.6%-5.0%82.1K-10.2M-44.1K0.2223.003,72082331,5787,815
2016-03-09$5.31$3.0071.3%20.4%69.3%45.6%70.4%3.5%1.2%85.2K-10.3M-46.1K0.3726.702,07477432,5437,976
2016-03-10$5.73$3.0069.6%19.9%72.1%43.3%70.3%1.9%0.7%85.5K-12.3M-49.7K0.4314.632,7611,17633,4008,061
2016-03-11$5.71$3.0069.3%19.9%67.8%43.0%68.7%-4.5%2.4%80.5K-12.4M-51.2K0.3215.723,1701,00733,9628,490
2016-03-14$5.58$3.0073.1%20.9%66.3%47.9%77.1%3.7%-1.0%87.0K-12.1M-51.0K0.4512.542,7611,24034,7118,616
2016-03-15$5.78$3.0071.7%20.6%63.4%46.1%79.2%1.3%-0.5%83.8K-12.9M-52.8K0.839.522,0061,66935,4538,904
2016-03-16$6.28$4.0071.7%20.5%67.5%46.1%64.7%19.3%-1.2%82.7K-14.9M-54.2K0.2720.052,47666635,64510,058
2016-03-17$6.92$4.0073.2%21.0%71.1%48.0%76.5%12.7%-4.6%88.2K-17.6M-56.2K0.2915.794,0121,15135,52510,140
2016-03-18$6.69$4.0067.1%19.2%71.1%40.1%67.6%4.2%4.4%91.7K-17.1M-59.6K0.2918.352,41370737,06011,075
2016-03-21$6.76$4.0070.2%20.1%70.1%44.1%70.0%-2.7%-0.5%97.6K-16.0M-60.8K0.4914.312,2291,08435,14310,119
2016-03-22$6.79$4.0067.9%19.5%70.0%41.1%68.3%0.5%0.8%102.0K-16.3M-61.2K0.4911.202,02498535,98010,728
2016-03-23$6.39$4.0074.3%21.3%76.0%49.5%73.9%2.6%4.3%96.3K-14.3M-61.8K0.6416.692,0821,33336,21110,916
2016-03-24$6.63$4.0067.2%19.3%75.4%40.1%68.5%-0.0%5.6%100.6K-15.2M-62.9K0.7315.381,5231,11336,46311,416
2016-03-28$6.55$4.0072.0%20.6%75.9%46.4%69.1%-1.4%1.7%101.1K-14.9M-63.2K1.1014.539911,08636,69211,464
2016-03-29$6.87$4.0070.4%20.2%76.5%44.4%70.7%7.2%2.1%103.2K-16.3M-64.2K0.6118.471,63699037,02511,935
2016-03-30$6.75$4.0067.3%19.3%69.8%40.2%67.8%0.2%3.8%103.3K-16.0M-64.6K0.5119.121,31367436,96612,054
2016-03-31$6.48$4.0075.4%21.6%73.3%51.0%71.2%-1.4%-1.1%99.1K-14.7M-62.5K0.4311.301,70674137,17912,218