AG Options History — December 2016

In December 2016, AG traded between $6.87 and $9.83. ATM implied volatility averaged 74.3%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 20.6%. IV traded below realized volatility by 3.8% (HV 20d: 78.2%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2016-12-16: Highest Volume — 18,590 contracts
  • 2016-12-12: Largest IV spike — 16.3% change
  • 2016-12-13: Highest IV Rank — 62.5%
  • 2016-12-20: Largest Expected Move — 22.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.19$6.87$9.83$8.94$7.66
Max Pain$8.38$7.50$10.00$10.00$7.50
ATM IV74.3%68.8%87.8%68.8%71.5%
Expected Move20.6%19.7%22.2%19.7%20.5%
HV 20d78.2%66.0%90.2%84.2%84.0%
HV 60d73.7%71.4%75.4%71.4%74.8%
IV Rank41.8%31.7%62.5%33.7%31.7%
IV Percentile69.1%38.9%96.8%38.9%54.4%
Term Structure1.6%-2.1%6.7%1.9%2.6%
VWIV74.3%70.0%79.5%70.6%77.8%
Skew 25d4.1%-3.8%13.0%3.4%4.4%
Skew 10d7.0%-3.0%18.2%12.5%9.5%
Call IV 25d72.9%69.2%76.9%71.4%76.9%
Put IV 25d77.0%70.9%82.2%74.8%81.3%
Bid-Ask Spread %9.283.2429.966.526.47
Gamma HHI0.160.120.210.180.15
Net GEX399.3K208.2K649.8K506.3K310.3K
Net DEX-21.5M-43.0M-6.3M-29.8M-18.0M
Net VEX-220.3K-275.9K-174.3K-250.5K-206.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.183.600.930.18
Total Volume8,103.8574,19218,5907,78114,866
Total OI177,092.571166,921189,092166,921184,719

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$8.94$10.0068.8%19.7%84.2%33.7%70.6%3.4%1.9%506.3K-29.8M-250.5K0.936.524,0363,745130,39036,531
2016-12-02$9.81$10.0070.5%20.2%90.2%36.3%70.8%3.7%0.7%581.9K-43.0M-275.5K0.367.208,6623,157130,91936,788
2016-12-05$9.63$7.5073.6%19.9%89.6%40.9%70.6%0.9%1.6%599.5K-40.0M-270.5K0.3712.825,1011,863131,18137,195
2016-12-06$9.59$9.0072.4%19.8%87.8%39.2%70.0%1.3%2.0%604.4K-38.8M-266.7K0.5215.764,1722,178131,82437,542
2016-12-07$9.83$9.0075.5%20.1%87.9%43.9%71.8%2.9%0.4%640.8K-42.9M-275.9K0.4329.966,7972,896132,07337,918
2016-12-08$9.49$9.0074.3%20.5%75.7%42.0%72.1%0.2%-1.4%649.8K-37.8M-265.8K0.5610.913,6372,051134,82738,767
2016-12-09$8.76$9.0074.3%19.9%79.1%41.9%71.6%-1.9%1.8%515.9K-26.7M-243.1K0.4110.846,2202,520134,98139,109
2016-12-12$8.65$9.0086.4%20.3%70.3%60.3%75.6%-3.8%-0.7%497.9K-23.8M-232.2K0.609.444,3102,570137,00039,517
2016-12-13$8.74$7.5087.8%20.6%68.7%62.5%72.7%2.5%-1.1%547.9K-25.5M-236.9K0.298.474,3821,258138,71739,462
2016-12-14$8.28$7.5074.2%21.3%66.0%41.9%76.1%5.3%-2.1%434.7K-20.5M-221.0K0.4628.716,4562,971140,80339,541
2016-12-15$7.34$7.5072.5%20.8%77.8%39.2%73.5%4.9%1.3%225.0K-6.3M-181.2K0.795.486,8605,426143,88740,862
2016-12-16$7.26$7.5073.5%21.1%77.7%40.8%77.8%7.7%-0.7%293.5K-6.8M-185.2K3.606.544,04314,547146,29142,801
2016-12-19$7.06$9.0072.8%20.9%78.0%39.7%75.7%4.6%1.3%221.6K-7.6M-174.3K0.634.273,1732,013135,63037,947
2016-12-20$7.10$9.0077.3%22.2%77.3%46.6%77.6%6.0%-0.9%217.8K-8.3M-180.0K0.624.644,4392,758136,36838,567
2016-12-21$7.00$9.0071.5%20.5%76.3%37.7%78.5%2.9%6.7%226.8K-9.2M-189.9K0.474.843,6591,736138,06439,758
2016-12-22$6.89$9.0071.3%20.4%70.6%37.5%79.5%5.8%5.8%209.7K-7.7M-182.9K0.483.793,3981,637139,26539,782
2016-12-23$6.87$7.5072.6%20.8%70.0%39.5%77.2%6.2%4.5%208.2K-8.3M-181.5K0.653.482,5401,652140,75039,995
2016-12-27$7.42$7.5072.0%20.7%74.9%38.6%73.7%7.6%2.6%264.7K-13.2M-192.8K0.405.264,0311,631141,48940,513
2016-12-28$7.44$7.5073.5%21.1%73.6%40.8%73.2%13.0%3.9%269.7K-14.1M-196.4K0.616.173,0391,843142,53640,794
2016-12-29$8.15$7.5074.9%21.5%81.7%42.9%73.5%8.1%3.0%358.0K-22.9M-217.9K0.373.245,7592,149142,97840,863
2016-12-30$7.66$7.5071.5%20.5%84.0%31.7%77.8%4.4%2.6%310.3K-18.0M-206.6K0.186.4712,5452,321144,08140,638