AG Options History — July 2016

In July 2016, AG traded between $14.80 and $17.36. ATM implied volatility averaged 67.7%, placing in the 37.4% IV rank vs the trailing year. The 30-day expected move averaged 19.5%. IV traded below realized volatility by 2.4% (HV 20d: 70.2%). Max pain ranged from $11.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.48.

Notable Days

  • 2016-07-13: Highest Volume — 10,107 contracts
  • 2016-07-11: Largest IV spike — 13.5% change
  • 2016-07-06: Highest IV Rank — 45.9%
  • 2016-07-05: Largest Expected Move — 20.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.97$14.80$17.36$14.80$17.36
Max Pain$14.55$11.00$15.00$11.00$15.00
ATM IV67.7%63.6%72.2%64.1%65.6%
Expected Move19.5%18.4%20.7%18.4%18.8%
HV 20d70.2%57.3%81.4%60.1%81.4%
HV 60d73.7%69.5%77.3%76.3%72.3%
IV Rank37.4%32.7%45.9%36.1%33.2%
IV Percentile20.9%9.5%41.3%13.5%11.1%
Term Structure0.6%-2.2%4.0%4.0%0.2%
VWIV68.4%65.2%71.5%65.2%66.5%
Skew 25d1.8%-1.4%5.4%4.0%0.2%
Skew 10d7.1%-8.0%36.5%36.5%9.4%
Call IV 25d68.2%63.9%70.5%63.9%66.8%
Put IV 25d70.0%67.0%73.6%67.9%67.0%
Bid-Ask Spread %35.3417.1557.4125.2117.69
Gamma HHI0.100.080.150.120.10
Net GEX399.3K326.5K562.4K368.8K562.4K
Net DEX-79.6M-96.9M-60.9M-77.1M-89.8M
Net VEX-238.7K-285.0K-201.0K-204.6K-285.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.280.790.330.54
Total Volume6,833.553,83410,1078,7116,551
Total OI99,485.9587,055114,83699,270100,306

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-07-01$14.80$11.0064.1%18.4%60.1%36.1%65.2%4.0%4.0%368.8K-77.1M-204.6K0.3325.216,5732,13867,87731,393
2016-07-05$14.92$13.0070.8%20.7%60.0%44.9%71.3%3.1%0.7%373.1K-77.2M-201.0K0.6551.624,5652,94667,74931,945
2016-07-06$15.31$14.0071.5%20.3%58.9%45.9%71.5%2.2%-0.6%381.2K-80.5M-208.8K0.3650.266,7512,44168,22533,060
2016-07-07$14.84$14.0066.3%20.0%57.3%39.0%71.0%2.3%3.1%388.7K-75.5M-207.3K0.5255.133,7001,93768,37533,833
2016-07-08$15.98$14.0063.6%19.6%61.1%35.4%67.7%2.3%2.8%380.8K-86.1M-211.0K0.3742.646,2922,34568,98634,562
2016-07-11$16.45$15.0072.2%19.9%59.0%42.6%68.4%0.6%2.1%394.6K-90.4M-213.6K0.4250.186,9172,93969,05935,352
2016-07-12$15.41$15.0069.8%19.6%65.4%39.1%68.8%1.9%1.8%355.8K-81.7M-217.2K0.7942.824,3533,42571,40236,766
2016-07-13$16.91$15.0069.7%20.0%70.0%39.1%70.4%-1.4%-0.5%418.9K-96.9M-231.2K0.3552.687,4622,64572,56638,212
2016-07-14$16.95$15.0067.1%19.2%68.8%35.3%68.9%1.6%2.2%473.1K-96.7M-241.4K0.2857.415,9821,68173,99939,257
2016-07-15$16.80$15.0067.0%19.2%66.8%35.2%67.7%-0.2%1.4%375.0K-95.6M-244.9K0.4423.794,2621,87875,33039,506
2016-07-18$16.83$15.0066.2%19.0%66.7%34.0%67.4%0.9%-1.1%394.4K-78.4M-249.3K0.5026.553,3561,66765,10821,947
2016-07-19$16.66$15.0066.2%19.0%67.1%34.0%67.4%1.0%0.9%404.1K-77.4M-249.6K0.7228.222,4071,74465,67122,647
2016-07-20$15.03$15.0066.3%19.0%77.8%34.2%66.5%0.1%0.9%332.2K-62.8M-242.7K0.5322.425,2222,78366,09823,178
2016-07-21$15.91$15.0067.6%19.4%79.5%36.0%67.6%5.4%-1.6%366.8K-69.8M-256.0K0.4917.503,8291,86167,32324,428
2016-07-22$15.62$15.0065.3%18.7%80.1%32.7%66.5%3.7%-0.1%364.6K-67.4M-254.6K0.4921.992,5761,25867,70024,585
2016-07-25$14.89$15.0068.9%19.7%81.2%37.9%69.3%0.2%-1.7%326.5K-60.9M-251.5K0.4529.193,8671,75768,29924,753
2016-07-26$15.67$15.0068.4%19.6%80.0%37.1%69.1%3.9%-0.7%369.3K-68.9M-263.3K0.3739.393,4341,25869,35025,465
2016-07-27$16.52$15.0070.0%20.1%81.3%39.5%68.2%3.0%-2.2%459.8K-78.9M-270.5K0.4517.154,1891,88971,09625,686
2016-07-28$16.54$15.0067.7%19.4%80.6%36.1%68.5%1.8%0.3%494.8K-80.8M-270.1K0.5134.943,8411,95072,69525,930
2016-07-29$17.36$15.0065.6%18.8%81.4%33.2%66.5%0.2%0.2%562.4K-89.8M-285.0K0.5417.694,2652,28673,92726,379