AG Options History — November 2016

In November 2016, AG traded between $7.99 and $9.27. ATM implied volatility averaged 75.7%, placing in the 44.1% IV rank vs the trailing year. The 30-day expected move averaged 21.1%. IV traded above realized volatility by 0.3% (HV 20d: 75.3%). Max pain ranged from $8.00 to $11.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.89.

Notable Days

  • 2016-11-18: Highest Volume — 22,109 contracts
  • 2016-11-09: Largest IV drop — 15.2% change
  • 2016-11-07: Highest IV Rank — 71.3%
  • 2016-11-02: Largest Expected Move — 23.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.60$7.99$9.27$8.70$8.85
Max Pain$9.00$8.00$11.00$10.00$10.00
ATM IV75.7%65.1%93.6%79.2%66.6%
Expected Move21.1%18.7%23.9%22.7%19.1%
HV 20d75.3%52.2%88.7%57.5%84.1%
HV 60d70.0%63.4%74.4%63.6%71.4%
IV Rank44.1%28.1%71.3%49.4%30.3%
IV Percentile64.0%15.5%98.4%85.3%23.8%
Term Structure-1.1%-6.6%2.5%-1.2%2.5%
VWIV73.6%58.5%84.3%78.4%68.1%
Skew 25d0.4%-5.0%6.2%-4.1%-4.0%
Skew 10d1.2%-13.0%11.9%3.6%9.6%
Call IV 25d75.9%65.2%89.9%80.0%72.8%
Put IV 25d76.3%65.6%90.5%75.9%68.8%
Bid-Ask Spread %23.467.9032.6714.747.90
Gamma HHI0.130.090.190.090.17
Net GEX380.2K242.3K535.2K312.5K482.1K
Net DEX-22.2M-31.5M-12.3M-21.4M-28.9M
Net VEX-247.9K-275.4K-228.4K-256.7K-248.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.262.990.341.07
Total Volume11,689.2866,55422,10910,7536,554
Total OI187,354.143157,282206,380184,045166,347

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-11-01$8.70$10.0079.2%22.7%57.5%49.4%78.4%-4.1%-1.2%312.5K-21.4M-256.7K0.3414.748,0152,738139,52944,516
2016-11-02$8.73$10.0083.3%23.9%55.5%55.7%84.3%0.6%-6.6%331.6K-22.8M-256.6K0.2623.6013,5433,525142,09245,503
2016-11-03$8.70$8.0085.7%22.3%52.2%59.4%82.7%0.2%-2.1%341.3K-22.7M-264.7K0.3632.676,9152,495146,22046,814
2016-11-04$8.43$8.0090.0%22.9%53.6%65.8%82.2%-3.5%-1.0%306.9K-19.2M-254.7K0.5029.627,2113,587147,33347,105
2016-11-07$8.07$8.0093.6%22.2%55.9%71.3%80.6%1.0%-1.0%289.2K-14.7M-241.4K0.2826.846,5101,817149,73248,361
2016-11-08$8.10$8.0088.5%22.1%52.7%63.5%81.9%-1.2%-2.6%289.8K-15.5M-241.5K0.3132.485,9941,853151,29048,846
2016-11-09$9.27$8.0075.0%21.5%70.7%43.1%77.0%2.4%-1.2%454.8K-31.5M-275.4K0.3230.5515,1624,900152,41549,307
2016-11-10$8.82$8.0074.9%21.5%73.5%42.9%78.5%2.8%0.1%411.2K-24.6M-263.7K0.3224.347,2142,335151,35949,480
2016-11-11$7.99$8.0078.7%22.6%81.4%48.7%79.6%-5.0%-2.6%242.3K-12.3M-232.9K0.4231.2910,8504,595151,66549,606
2016-11-14$8.35$8.0076.1%21.8%82.8%44.7%76.4%-0.1%-0.4%331.4K-19.3M-246.8K0.2621.468,8522,259155,28849,589
2016-11-15$8.99$8.0074.3%21.3%85.3%41.9%71.8%0.8%1.3%491.4K-27.4M-258.0K0.3326.567,5722,461154,88649,723
2016-11-16$8.81$8.0073.4%21.0%85.0%40.6%73.4%-1.5%1.1%535.2K-25.4M-254.9K0.3529.385,6021,973155,40350,113
2016-11-17$8.65$8.0070.3%20.1%85.0%35.9%70.8%4.4%-0.8%410.1K-20.6M-237.9K0.3521.296,4062,256155,78450,523
2016-11-18$8.54$9.0069.3%19.9%84.9%34.4%61.3%0.5%0.8%357.0K-18.4M-234.6K2.6330.726,09216,017155,40550,975
2016-11-21$8.73$11.0065.1%18.7%84.6%28.1%58.5%1.9%-0.2%348.0K-23.3M-243.3K0.9222.808,5257,862120,32936,953
2016-11-22$8.93$11.0066.7%19.1%83.8%30.5%72.2%0.4%-2.2%422.7K-26.8M-255.1K2.1221.443,7367,911126,03837,156
2016-11-23$8.16$10.0070.5%20.2%88.6%36.2%66.2%6.2%-2.3%345.7K-18.7M-228.4K2.1520.534,3329,329126,72536,367
2016-11-25$8.30$10.0072.1%20.7%88.0%38.7%63.0%3.2%-3.1%375.9K-20.5M-231.5K2.9918.262,7228,128128,21936,460
2016-11-28$8.60$10.0067.8%19.4%88.7%32.2%71.1%4.5%-2.0%429.8K-24.1M-236.3K1.308.924,0045,210128,44136,706
2016-11-29$8.88$10.0068.0%19.5%88.4%32.5%67.6%-0.1%0.9%476.5K-27.9M-242.4K1.1617.353,8914,522129,80236,032
2016-11-30$8.85$10.0066.6%19.1%84.1%30.3%68.1%-4.0%2.5%482.1K-28.9M-248.1K1.077.903,1623,392129,98336,364