AG Options History — September 2016

In September 2016, AG traded between $10.35 and $13.39. ATM implied volatility averaged 70.1%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 19.7%. IV traded above realized volatility by 3.1% (HV 20d: 67.0%). Max pain ranged from $12.00 to $15.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2016-09-20: Highest Volume — 20,792 contracts
  • 2016-09-14: Largest IV drop — 21.9% change
  • 2016-09-13: Highest IV Rank — 67.1%
  • 2016-09-01: Largest Expected Move — 21.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.80$10.35$13.39$11.74$10.35
Max Pain$13.05$12.00$15.00$15.00$12.00
ATM IV70.1%64.0%90.8%75.8%66.5%
Expected Move19.7%18.3%21.7%21.7%19.1%
HV 20d67.0%49.7%74.8%49.7%70.6%
HV 60d68.0%65.1%70.9%65.1%68.3%
IV Rank35.7%26.3%67.1%44.3%30.1%
IV Percentile38.1%12.3%97.6%66.3%23.0%
Term Structure0.0%-4.9%4.2%-4.3%1.2%
VWIV70.6%67.1%78.6%78.6%68.0%
Skew 25d1.6%-2.4%6.1%6.1%0.2%
Skew 10d-1.4%-19.1%13.2%11.4%-16.3%
Call IV 25d69.8%65.3%76.4%76.4%66.8%
Put IV 25d71.4%66.4%82.5%82.5%67.0%
Bid-Ask Spread %65.4531.1282.9967.5782.61
Gamma HHI0.190.110.400.290.12
Net GEX28.8K-722.1K447.9K-279.2K254.7K
Net DEX-28.5M-46.8M-15.9M-18.1M-15.9M
Net VEX-298.6K-327.6K-273.7K-286.5K-280.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.191.030.900.59
Total Volume9,591.8575,12320,79220,3986,346
Total OI167,489.714136,640186,828155,372186,828

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-09-01$11.74$15.0075.8%21.7%49.7%44.3%78.6%6.1%-4.3%-279.2K-18.1M-286.5K0.9067.5710,7279,67195,24760,125
2016-09-02$12.37$15.0068.2%19.6%56.2%32.8%71.7%4.0%1.5%-243.4K-27.4M-308.1K0.7831.127,2305,65897,50463,975
2016-09-06$13.28$13.0069.4%19.8%63.2%34.5%71.0%2.5%2.5%86.3K-43.2M-326.2K0.6848.917,4425,097100,35665,046
2016-09-07$13.39$13.0068.6%20.2%62.9%33.3%71.9%0.7%-0.7%153.6K-45.7M-325.9K0.8149.924,5523,665102,91165,135
2016-09-08$13.35$13.0066.2%19.2%63.0%29.7%67.5%1.9%2.3%193.5K-46.6M-326.3K1.0237.794,5034,584103,92165,277
2016-09-09$12.32$13.0073.7%20.2%66.4%41.1%69.9%2.5%-0.6%-230.6K-30.4M-309.8K0.8978.695,0344,470104,13166,455
2016-09-12$12.41$13.0084.2%21.0%67.1%57.0%72.1%0.9%-1.5%-225.2K-28.7M-298.1K0.7549.814,2113,143103,14966,823
2016-09-13$11.78$13.0090.8%21.0%67.9%67.1%73.8%5.0%-0.9%-557.3K-20.9M-293.3K0.8933.713,0972,741104,86166,816
2016-09-14$11.83$13.0071.0%20.3%68.3%37.0%70.3%2.5%-2.8%-591.2K-22.1M-290.0K0.3847.674,5891,733105,56466,788
2016-09-15$11.67$13.0070.3%20.2%68.1%36.0%72.7%2.6%-4.9%-722.1K-22.0M-282.3K0.7374.353,6762,677107,42566,690
2016-09-16$11.49$13.0071.0%20.4%68.0%37.1%70.2%3.0%-3.7%190.0K-21.7M-273.7K1.0377.742,8522,925108,97866,678
2016-09-19$11.63$13.0066.4%19.0%64.9%30.0%67.1%1.5%-0.2%186.5K-30.3M-276.6K0.3573.703,7841,33996,60240,038
2016-09-20$11.56$13.0067.4%19.3%64.4%31.6%68.4%-0.5%1.4%196.9K-30.0M-273.8K0.3973.2414,9405,85297,96440,001
2016-09-21$12.72$13.0064.0%18.3%74.8%26.3%68.0%0.1%1.3%447.9K-46.8M-327.6K0.1979.499,6291,876110,55944,615
2016-09-22$11.96$13.0064.1%18.4%70.8%26.5%70.6%0.6%1.2%369.8K-38.6M-314.8K0.3474.618,2312,769113,85544,463
2016-09-23$11.22$13.0066.7%19.1%72.8%30.4%69.2%0.6%-2.4%277.3K-27.9M-303.7K0.2976.338,5422,510122,82047,777
2016-09-26$10.87$13.0067.8%19.4%73.2%32.2%71.3%-2.4%1.9%305.7K-23.9M-295.6K0.4677.475,0272,289127,23748,774
2016-09-27$10.48$13.0066.5%19.1%73.6%30.1%67.6%4.0%3.7%248.0K-18.9M-294.6K0.6279.495,4163,369129,13049,532
2016-09-28$10.74$12.0067.1%19.2%71.0%31.1%69.0%-1.3%4.2%286.5K-21.2M-299.2K0.5382.994,3172,286130,81650,223
2016-09-29$10.55$12.0067.4%19.3%70.8%31.6%74.6%-2.1%1.2%257.9K-17.1M-283.7K0.3777.306,2822,348131,71850,477
2016-09-30$10.35$12.0066.5%19.1%70.6%30.1%68.0%0.2%1.2%254.7K-15.9M-280.2K0.5982.613,9912,355135,58251,246