AG Options History — May 2016

In May 2016, AG traded between $9.40 and $11.46. ATM implied volatility averaged 75.1%, placing in the 50.6% IV rank vs the trailing year. The 30-day expected move averaged 21.2%. IV traded below realized volatility by 7.9% (HV 20d: 83.0%). Max pain ranged from $9.00 to $11.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.74.

Notable Days

  • 2016-05-18: Highest Volume — 8,645 contracts
  • 2016-05-09: Largest IV spike — 9.8% change
  • 2016-05-09: Highest IV Rank — 64.4%
  • 2016-05-02: Largest Expected Move — 24.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.59$9.40$11.46$10.13$10.43
Max Pain$9.90$9.00$11.00$9.00$11.00
ATM IV75.1%68.8%85.6%84.0%68.8%
Expected Move21.2%19.7%24.1%24.1%19.7%
HV 20d83.0%70.9%95.3%81.9%75.1%
HV 60d75.8%74.4%78.1%74.9%76.9%
IV Rank50.6%42.2%64.4%62.4%42.2%
IV Percentile55.4%31.7%90.5%86.9%31.7%
Term Structure0.6%-2.9%4.4%-2.9%4.4%
VWIV75.2%70.1%85.2%85.2%72.2%
Skew 25d0.8%-4.8%6.4%-1.7%3.1%
Skew 10d4.2%-19.1%30.7%-10.4%-7.4%
Call IV 25d75.7%67.9%87.0%87.0%70.0%
Put IV 25d76.5%71.9%85.4%85.4%73.1%
Bid-Ask Spread %27.2914.2345.9237.3314.55
Gamma HHI0.150.110.180.140.13
Net GEX235.9K185.2K309.2K216.8K197.6K
Net DEX-40.1M-49.5M-30.6M-36.9M-36.0M
Net VEX-162.7K-182.8K-142.4K-142.4K-176.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.351.260.450.73
Total Volume4,868.4762,4518,6456,1272,451
Total OI83,094.8173,41093,15973,41088,301

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-05-02$10.13$9.0084.0%24.1%81.9%62.4%85.2%-1.7%-2.9%216.8K-36.9M-142.4K0.4537.334,2401,88754,79818,612
2016-05-03$9.92$9.0078.6%22.5%83.5%55.2%80.9%1.9%-2.6%221.6K-34.8M-145.7K0.6945.922,2861,57155,88719,640
2016-05-04$9.41$9.0081.2%23.3%86.9%58.7%81.2%-1.3%-2.3%204.4K-31.5M-143.8K0.5222.773,5201,82056,62519,847
2016-05-05$9.82$9.0080.6%21.4%87.3%57.9%76.1%2.7%0.7%220.3K-34.0M-147.3K0.7536.031,8341,37157,08020,215
2016-05-06$10.39$9.0077.9%21.9%87.9%54.3%76.6%1.2%-0.2%245.0K-39.1M-150.9K0.4930.113,6681,78557,49320,424
2016-05-09$9.40$9.0085.6%22.3%93.1%64.4%79.1%-0.4%-0.5%201.0K-30.6M-144.9K0.4229.983,9951,68857,01520,796
2016-05-10$9.89$9.0081.5%21.3%94.1%59.1%76.7%-2.8%1.0%237.9K-34.5M-150.1K0.3530.523,8151,33558,26721,097
2016-05-11$10.47$9.0074.7%21.4%95.3%50.0%75.6%4.5%-0.3%286.3K-40.2M-153.6K0.5930.504,1512,44359,09921,351
2016-05-12$10.79$9.0074.0%21.2%94.3%49.2%74.5%1.0%0.8%300.1K-43.4M-157.8K0.8333.612,8022,32659,87522,182
2016-05-13$10.68$10.0072.4%20.8%91.6%47.0%73.4%-4.8%1.8%289.6K-42.4M-159.5K0.9835.141,5111,47459,84423,272
2016-05-16$11.25$10.0075.0%21.5%92.2%50.5%74.8%-2.0%-0.4%309.2K-47.6M-160.8K0.5336.944,6382,47860,22423,491
2016-05-17$11.44$10.0073.5%21.1%78.0%48.5%75.3%0.0%-0.6%304.3K-49.5M-158.5K1.2331.571,7692,17859,93524,257
2016-05-18$11.19$10.0072.7%20.8%77.1%47.4%74.6%-1.1%2.0%250.8K-46.6M-169.9K0.6128.575,3763,26962,84227,175
2016-05-19$11.45$10.0074.3%21.3%77.3%49.6%74.4%-0.8%-0.7%244.2K-48.8M-178.5K1.2222.163,1503,84163,89128,058
2016-05-20$11.45$11.0071.3%20.4%70.9%45.6%72.6%1.1%3.4%225.0K-49.1M-181.0K1.2623.902,2802,86464,76128,398
2016-05-23$11.46$11.0070.5%20.2%70.9%44.5%71.0%1.4%2.1%216.2K-44.8M-182.8K0.8617.142,1421,83959,84024,091
2016-05-24$10.48$11.0070.3%20.2%75.7%44.3%72.8%-0.4%2.0%185.2K-36.4M-177.0K1.2014.391,9572,34760,20825,043
2016-05-25$11.00$11.0071.6%20.5%76.7%46.0%72.3%4.5%1.5%197.9K-40.0M-180.2K0.7414.232,4101,78060,67325,391
2016-05-26$10.92$11.0069.8%20.0%76.9%43.6%70.3%6.4%1.3%214.7K-40.3M-181.1K0.7020.121,6001,11661,68425,685
2016-05-27$10.34$11.0069.3%19.9%76.9%43.0%70.1%3.3%3.2%186.9K-35.3M-175.7K0.4717.592,1941,03761,65225,972
2016-05-31$10.43$11.0068.8%19.7%75.1%42.2%72.2%3.1%4.4%197.6K-36.0M-176.0K0.7314.551,4131,03862,18826,113