AG Options History — April 2016

In April 2016, AG traded between $6.28 and $10.61. ATM implied volatility averaged 70.0%, placing in the 43.9% IV rank vs the trailing year. The 30-day expected move averaged 20.3%. IV traded below realized volatility by 3.5% (HV 20d: 73.5%). Max pain ranged from $4.00 to $9.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.45.

Notable Days

  • 2016-04-20: Highest Volume — 9,228 contracts
  • 2016-04-21: Largest IV spike — 10.2% change
  • 2016-04-21: Highest IV Rank — 54.1%
  • 2016-04-21: Largest Expected Move — 22.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.26$6.28$10.61$6.48$10.61
Max Pain$7.24$4.00$9.00$4.00$9.00
ATM IV70.0%60.8%77.7%68.2%77.2%
Expected Move20.3%18.8%22.3%19.6%22.1%
HV 20d73.5%62.6%83.7%71.6%80.4%
HV 60d70.9%65.8%75.3%70.7%74.0%
IV Rank43.9%31.7%54.1%41.5%53.4%
IV Percentile47.2%29.4%68.3%43.7%65.5%
Term Structure-0.3%-4.5%4.4%3.8%-1.2%
VWIV71.7%66.8%78.4%70.4%78.4%
Skew 25d1.9%-9.5%8.6%-9.5%5.7%
Skew 10d9.2%-25.3%36.7%-25.3%32.3%
Call IV 25d71.8%65.3%79.3%77.3%76.6%
Put IV 25d73.6%67.6%82.3%67.8%82.3%
Bid-Ask Spread %21.009.1554.8412.4619.48
Gamma HHI0.160.120.230.170.14
Net GEX132.2K96.3K216.8K98.6K216.8K
Net DEX-22.8M-39.0M-13.4M-14.3M-39.0M
Net VEX-85.0K-138.4K-61.7K-64.0K-138.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.240.810.450.25
Total Volume4,788.3331,7459,2282,4047,274
Total OI55,514.04846,62570,90549,96970,905

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-04-01$6.48$4.0068.2%19.6%71.6%41.5%70.4%-9.5%3.8%98.6K-14.3M-64.0K0.4512.461,66074437,64512,324
2016-04-04$6.28$6.0068.2%20.7%73.2%41.5%73.1%2.6%-2.0%96.3K-13.4M-62.2K0.8018.941,03482637,68112,541
2016-04-05$6.45$6.0073.1%21.2%67.8%47.9%73.0%7.5%-4.5%97.5K-14.1M-62.7K0.4319.931,37158637,68412,774
2016-04-06$6.39$6.0074.1%19.6%67.8%49.3%70.5%2.4%-1.3%99.9K-14.1M-61.7K0.5317.081,14360238,13712,856
2016-04-07$6.56$6.0067.5%19.9%68.0%40.6%69.5%1.3%-3.0%108.7K-15.1M-62.7K0.5516.501,40577838,16312,904
2016-04-08$6.85$6.0066.0%19.8%64.7%38.5%69.0%6.2%-0.3%120.8K-16.5M-63.9K0.3820.772,20983038,12612,969
2016-04-11$7.54$6.0060.8%19.1%71.4%31.7%69.5%8.6%0.1%120.5K-19.7M-66.4K0.3315.993,2121,04937,52212,983
2016-04-12$7.72$7.0061.7%19.3%70.1%32.9%68.7%1.3%1.3%112.5K-20.7M-69.6K0.2418.202,84269537,87613,363
2016-04-13$7.74$7.0067.0%19.2%69.9%39.9%68.3%0.1%1.1%118.5K-21.1M-69.7K0.5814.961,7241,00838,81313,513
2016-04-14$7.56$7.0065.7%18.8%66.2%38.2%67.5%1.5%2.7%121.9K-20.0M-69.4K0.5615.722,0041,12338,91313,803
2016-04-15$8.21$7.0067.0%19.2%63.8%39.9%67.3%2.2%-0.1%101.8K-22.9M-73.4K0.819.153,2082,61138,95414,321
2016-04-18$8.52$7.0065.5%18.8%62.6%37.9%66.8%0.5%2.3%106.1K-20.7M-76.0K0.5615.173,0751,73135,06011,565
2016-04-19$9.86$8.0070.2%20.1%78.6%44.1%70.2%-0.3%-2.2%120.2K-27.4M-80.3K0.4411.846,3402,77136,71612,499
2016-04-20$9.51$8.0070.5%20.2%80.8%44.6%71.1%0.3%-0.1%125.6K-26.2M-87.1K0.3217.346,9732,25538,87214,200
2016-04-21$9.61$8.0077.7%22.3%75.5%54.1%78.4%0.1%-4.0%144.3K-27.2M-94.9K0.4521.344,1031,86641,74715,495
2016-04-22$8.92$8.0074.5%21.4%82.4%49.8%75.4%-2.6%2.8%133.8K-23.5M-97.6K0.3329.986,2582,08342,78316,053
2016-04-25$8.96$9.0077.4%22.2%81.9%53.6%76.6%2.1%-2.0%156.4K-25.5M-110.1K0.2522.655,4801,39746,96416,917
2016-04-26$9.64$9.0070.5%20.2%83.7%44.5%73.9%3.0%4.4%180.5K-29.9M-119.1K0.3954.843,5981,41348,70917,211
2016-04-27$9.96$9.0073.7%21.1%82.8%48.7%74.4%4.6%-1.3%194.3K-33.0M-127.5K0.3838.743,8661,48150,24517,440
2016-04-28$10.02$9.0074.0%21.2%79.9%49.2%74.4%1.7%-3.2%200.3K-34.0M-128.0K0.4329.904,1531,77450,74817,801
2016-04-29$10.61$9.0077.2%22.1%80.4%53.4%78.4%5.7%-1.2%216.8K-39.0M-138.4K0.2519.485,8001,47452,73618,169