AG Options History — June 2016

In June 2016, AG traded between $10.33 and $13.56. ATM implied volatility averaged 70.1%, placing in the 44.1% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded below realized volatility by 0.6% (HV 20d: 70.7%). Max pain ranged from $9.00 to $11.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.65.

Notable Days

  • 2016-06-08: Highest Volume — 8,138 contracts
  • 2016-06-28: Largest IV drop — 11.9% change
  • 2016-06-27: Highest IV Rank — 50.8%
  • 2016-06-27: Largest Expected Move — 21.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.33$10.33$13.56$10.33$13.56
Max Pain$9.95$9.00$11.00$11.00$11.00
ATM IV70.1%62.6%75.3%73.3%63.4%
Expected Move20.2%17.9%21.6%21.0%18.2%
HV 20d70.7%64.0%81.6%74.7%66.1%
HV 60d75.7%74.1%78.4%75.4%74.8%
IV Rank44.1%34.0%50.8%48.2%35.1%
IV Percentile35.1%11.9%56.3%48.8%13.5%
Term Structure2.0%-2.2%7.9%-2.2%5.8%
VWIV71.1%63.6%75.3%70.7%64.3%
Skew 25d2.2%-3.0%5.2%3.0%4.1%
Skew 10d8.2%-6.3%30.5%28.3%16.2%
Call IV 25d70.4%62.1%75.6%70.0%62.1%
Put IV 25d72.6%65.3%78.9%73.0%66.2%
Bid-Ask Spread %27.0912.0265.2512.0215.84
Gamma HHI0.120.090.150.140.11
Net GEX254.7K188.7K328.8K188.7K328.8K
Net DEX-52.3M-64.0M-34.5M-34.5M-64.0M
Net VEX-188.8K-201.9K-172.3K-172.3K-201.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.241.520.620.37
Total Volume5,185.4552,6708,1382,6705,009
Total OI93,41987,37399,59288,40597,697

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-06-01$10.33$11.0073.3%21.0%74.7%48.2%70.7%3.0%-2.2%188.7K-34.5M-172.3K0.6212.021,6471,02362,12626,279
2016-06-02$10.46$9.0067.4%20.4%71.9%40.5%70.5%4.5%0.6%198.7K-35.5M-175.0K0.8723.471,8931,64362,60926,505
2016-06-03$11.78$9.0066.3%19.8%81.6%39.0%69.8%0.0%5.3%271.3K-47.8M-180.1K0.2429.025,7531,40762,91026,747
2016-06-06$11.86$9.0070.5%20.5%79.7%44.5%71.8%3.0%0.3%275.1K-49.4M-183.5K0.6531.942,4681,59763,27526,803
2016-06-07$11.60$9.0069.0%19.6%70.0%42.6%69.1%0.1%3.5%271.2K-47.5M-182.9K0.4030.854,1351,66563,79027,151
2016-06-08$12.42$9.0068.5%19.6%71.6%41.9%70.2%4.3%2.8%296.7K-55.2M-181.7K0.8825.094,3243,81462,99027,661
2016-06-09$12.87$9.0070.2%20.1%70.2%44.1%70.2%1.6%4.4%261.5K-57.5M-185.4K0.5628.344,2262,38262,98929,517
2016-06-10$12.44$9.0071.9%20.6%71.5%46.4%73.7%0.5%0.9%271.0K-55.0M-186.7K0.5923.573,6912,18264,26129,876
2016-06-13$12.60$9.0073.7%21.1%71.2%48.7%75.3%2.3%0.9%273.6K-55.9M-188.1K1.2825.852,6273,36264,74230,333
2016-06-14$12.25$10.0075.2%21.6%70.4%50.7%75.0%2.8%0.0%210.7K-51.2M-189.7K0.5428.383,3481,79665,26431,929
2016-06-15$12.90$10.0072.6%20.8%72.3%47.3%72.9%4.0%1.0%218.1K-58.6M-192.0K0.8227.832,0631,68466,00232,086
2016-06-16$12.43$10.0074.6%21.4%73.2%49.9%74.7%4.3%-0.9%222.8K-53.9M-189.1K0.5720.813,7002,10166,19832,149
2016-06-17$12.41$10.0071.3%20.4%73.0%45.6%72.6%0.6%3.0%262.8K-53.2M-189.7K1.2428.802,7613,43666,85732,735
2016-06-20$12.75$10.0070.4%20.2%73.4%44.3%74.0%5.2%2.2%269.5K-53.9M-187.0K1.5219.663,2014,85261,95025,423
2016-06-21$12.42$10.0070.9%20.3%74.2%45.0%70.6%2.0%-0.2%235.6K-52.0M-192.3K0.6025.182,2151,33863,33728,273
2016-06-22$12.47$10.0070.3%20.1%65.5%44.2%70.6%-0.4%-1.0%236.5K-52.2M-191.3K0.5827.672,2791,31663,86928,676
2016-06-23$12.41$11.0069.8%20.0%64.0%43.5%72.5%-3.0%0.9%238.0K-51.5M-195.4K0.3965.252,47596464,02029,025
2016-06-24$13.08$11.0070.0%20.1%65.8%43.9%71.2%4.3%3.4%275.7K-58.5M-198.1K0.3034.043,8681,15864,54329,178
2016-06-27$12.47$11.0075.3%21.6%65.0%50.8%73.9%1.8%-1.3%243.4K-52.1M-196.6K0.5220.163,5291,83664,90229,365
2016-06-28$12.57$11.0066.3%19.0%65.0%39.0%66.9%3.4%6.6%256.9K-53.1M-196.2K0.4930.622,2011,07065,51229,933
2016-06-29$13.13$11.0062.6%17.9%65.7%34.0%63.6%-0.3%7.9%296.5K-59.2M-197.5K0.3421.694,5051,53665,44430,287
2016-06-30$13.56$11.0063.4%18.2%66.1%35.1%64.3%4.1%5.8%328.8K-64.0M-201.9K0.3715.843,6621,34766,77330,924