AG Options History — October 2016

In October 2016, AG traded between $7.74 and $10.02. ATM implied volatility averaged 72.7%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 21.0%. IV traded above realized volatility by 8.7% (HV 20d: 64.1%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.52.

Notable Days

  • 2016-10-04: Highest Volume — 13,769 contracts
  • 2016-10-04: Largest IV spike — 7.6% change
  • 2016-10-31: Highest IV Rank — 46.6%
  • 2016-10-31: Largest Expected Move — 22.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.24$7.74$10.02$10.02$8.05
Max Pain$11.05$10.00$12.00$12.00$10.00
ATM IV72.7%69.1%77.3%69.1%77.3%
Expected Move21.0%19.8%22.2%19.8%22.2%
HV 20d64.1%56.3%71.5%67.6%61.5%
HV 60d63.5%59.8%69.2%66.4%61.2%
IV Rank39.6%34.1%46.6%34.1%46.6%
IV Percentile59.8%38.9%81.0%38.9%81.0%
Term Structure-1.7%-5.0%3.9%3.9%-2.4%
VWIV73.9%70.6%77.5%71.1%77.5%
Skew 25d-1.3%-5.8%2.5%-1.2%-0.4%
Skew 10d-4.8%-27.5%23.6%-23.8%23.6%
Call IV 25d75.7%71.9%78.9%72.3%77.0%
Put IV 25d74.4%69.2%77.7%71.1%76.6%
Bid-Ask Spread %35.245.9776.6676.668.22
Gamma HHI0.080.070.100.100.10
Net GEX223.2K149.3K364.7K193.7K250.4K
Net DEX-2.3M-12.9M6.2M-9.8M-11.1M
Net VEX-212.4K-258.4K-186.9K-258.4K-220.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.300.720.510.47
Total Volume8,377.9525,32213,7697,5565,322
Total OI200,453.571167,585228,250188,463182,594

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$10.02$12.0069.1%19.8%67.6%34.1%71.1%-1.2%3.9%193.7K-9.8M-258.4K0.5176.665,0042,552136,93051,533
2016-10-04$8.98$12.0074.3%21.3%69.1%42.0%73.8%-2.2%-3.0%171.3K254.9K-220.0K0.6766.158,2505,519138,12952,535
2016-10-05$8.61$12.0073.7%21.1%68.7%41.1%76.7%-1.8%-1.8%192.0K1.4M-211.9K0.5351.796,6793,545141,87552,620
2016-10-06$8.19$11.0071.6%21.3%69.0%37.9%75.2%-3.4%-4.4%177.6K3.7M-198.8K0.5638.716,9983,924145,98953,251
2016-10-07$8.24$11.0071.3%21.4%66.5%37.5%74.8%1.6%-4.7%205.2K3.2M-206.2K0.5447.136,2453,401148,71054,348
2016-10-10$8.23$11.0070.9%21.2%66.1%36.8%77.5%-1.9%-0.0%204.9K3.4M-203.5K0.6129.364,4442,704150,99355,785
2016-10-11$7.82$11.0072.9%21.1%66.0%39.9%74.1%2.5%-5.0%149.3K6.2M-186.9K0.7236.235,1293,679152,60855,809
2016-10-12$7.96$11.0075.3%21.6%66.9%43.6%75.4%-4.2%-1.7%170.8K4.8M-197.0K0.6838.655,1823,515154,54256,045
2016-10-13$8.10$11.0075.5%21.7%68.1%43.9%75.0%-0.2%-1.9%180.9K3.8M-200.5K0.3024.488,0502,401156,21257,099
2016-10-14$7.86$11.0074.1%21.2%68.3%41.7%75.2%-2.4%-0.9%213.7K4.0M-203.0K0.3935.594,9141,898161,46857,685
2016-10-17$7.88$11.0074.5%21.4%67.8%42.4%71.0%-1.2%-2.3%224.6K3.6M-201.7K0.3373.866,2832,053162,95157,875
2016-10-18$8.25$11.0073.4%21.0%71.5%40.6%73.3%1.9%-2.4%243.1K-1.3M-216.2K0.4667.606,0022,752164,81057,597
2016-10-19$8.52$11.0072.7%20.8%61.1%39.6%74.3%-1.1%-1.6%364.7K-5.0M-230.5K0.3414.326,8402,311167,84757,974
2016-10-20$8.35$11.0073.4%21.0%59.1%40.6%77.1%1.4%-2.9%306.5K-3.2M-223.2K0.4818.664,2522,030169,08058,405
2016-10-21$8.22$11.0071.7%20.6%56.5%38.1%71.8%-1.5%0.3%241.6K-3.2M-220.4K0.6410.385,2143,339170,20258,048
2016-10-24$8.02$11.0071.8%20.6%56.3%38.2%71.9%-1.4%-1.9%237.6K-10.0M-208.3K0.7067.324,9453,469128,81338,772
2016-10-25$8.35$11.0069.7%20.0%59.0%35.0%71.5%-0.8%-1.1%256.4K-12.9M-223.6K0.409.804,5391,808130,89940,448
2016-10-26$7.97$11.0071.9%20.6%58.7%38.4%72.5%-3.0%-2.3%241.4K-9.6M-215.1K0.3711.374,6481,727133,09240,958
2016-10-27$7.74$11.0070.3%20.2%58.9%36.0%70.6%-1.6%-0.6%229.6K-8.2M-204.7K0.545.973,7752,057134,78541,533
2016-10-28$7.75$10.0071.9%20.6%59.2%38.4%71.4%-5.8%1.9%231.2K-8.8M-210.6K0.597.765,3743,164136,54542,131
2016-10-31$8.05$10.0077.3%22.2%61.5%46.6%77.5%-0.4%-2.4%250.4K-11.1M-220.0K0.478.223,6171,705138,67343,921