AG Options History — January 2017

In January 2017, AG traded between $7.99 and $9.57. ATM implied volatility averaged 69.4%, placing in the 35.3% IV rank vs the trailing year. The 30-day expected move averaged 20.0%. IV traded below realized volatility by 8.3% (HV 20d: 77.7%). Max pain ranged from $7.00 to $9.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.42.

Notable Days

  • 2017-01-05: Highest Volume — 26,863 contracts
  • 2017-01-04: Largest IV drop — 10.4% change
  • 2017-01-12: Highest IV Rank — 49.0%
  • 2017-01-03: Largest Expected Move — 22.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.01$7.99$9.57$7.99$9.57
Max Pain$8.75$7.00$9.00$7.50$9.00
ATM IV69.4%61.6%76.7%76.7%61.6%
Expected Move20.0%17.7%22.0%22.0%17.7%
HV 20d77.7%61.7%90.5%77.7%61.7%
HV 60d77.8%74.6%79.1%74.6%77.0%
IV Rank35.3%21.9%49.0%40.3%21.9%
IV Percentile41.1%3.2%85.7%85.7%3.2%
Term Structure2.1%-1.2%5.9%-1.2%5.9%
VWIV70.2%62.7%76.2%74.5%62.8%
Skew 25d1.5%-3.6%11.4%11.4%2.2%
Skew 10d3.7%-16.3%20.1%20.1%-6.2%
Call IV 25d71.2%62.7%77.2%73.3%64.8%
Put IV 25d72.8%62.3%84.8%84.8%67.0%
Bid-Ask Spread %18.705.1234.445.1211.14
Gamma HHI0.230.160.450.180.22
Net GEX395.6K175.2K731.6K344.7K444.5K
Net DEX-32.3M-44.7M-21.9M-21.9M-36.0M
Net VEX-238.4K-249.4K-213.5K-213.5K-248.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.420.220.870.350.22
Total Volume8,536.355,48026,8636,4398,027
Total OI169,676.4118,128202,288185,971130,110

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-01-03$7.99$7.5076.7%22.0%77.7%40.3%74.5%11.4%-1.2%344.7K-21.9M-213.5K0.355.124,7771,662144,94741,024
2017-01-04$8.32$7.5068.8%19.7%79.6%27.1%69.9%4.8%4.3%410.5K-26.3M-220.2K0.285.465,7081,625146,02041,150
2017-01-05$9.26$7.0075.2%21.5%89.4%37.8%75.3%3.6%1.2%614.3K-42.8M-249.4K0.8726.3214,35212,511146,06141,416
2017-01-06$8.80$9.0070.8%21.4%90.5%30.2%75.1%3.9%1.7%438.8K-31.5M-242.1K0.6730.095,2523,528145,21045,993
2017-01-09$8.89$9.0076.0%21.8%89.9%39.0%76.2%2.5%-0.4%437.8K-32.6M-240.5K0.5225.584,6532,404145,15447,057
2017-01-10$9.03$9.0073.3%21.7%85.4%34.4%75.3%1.9%-0.9%475.8K-34.8M-244.5K0.3312.556,7912,247146,20647,281
2017-01-11$8.88$9.0073.8%21.2%85.5%35.3%74.4%-1.2%-0.8%446.9K-32.4M-239.9K0.5124.294,3842,233146,74747,762
2017-01-12$8.77$9.0072.7%20.8%85.6%49.0%73.6%2.5%1.0%388.7K-29.9M-237.4K0.4934.444,2562,072147,41748,170
2017-01-13$9.14$9.0071.3%20.4%84.2%45.4%72.6%1.3%2.0%500.0K-35.8M-243.1K0.3826.245,6362,145148,05448,717
2017-01-17$9.52$9.0070.8%20.3%70.7%44.2%71.1%-1.3%3.5%731.6K-44.7M-249.3K0.4214.037,1042,988148,67348,659
2017-01-18$8.93$9.0069.5%19.9%75.5%41.1%72.0%-3.6%1.4%280.3K-31.6M-233.5K0.3426.006,8362,358148,77848,824
2017-01-19$9.05$9.0070.2%20.1%74.1%42.8%69.7%-2.3%0.3%175.2K-32.8M-237.4K0.5819.054,4352,557150,90649,758
2017-01-20$9.08$9.0067.5%19.3%74.1%36.1%68.2%-0.3%2.9%270.9K-38.3M-238.9K0.4319.616,4572,750151,49450,794
2017-01-23$9.40$9.0068.4%19.6%73.8%38.3%68.3%3.5%3.6%304.4K-31.4M-243.1K0.389.864,3491,65589,02529,103
2017-01-24$9.19$9.0065.4%18.8%74.2%31.1%67.0%1.4%4.1%296.8K-29.7M-240.2K0.2214.617,9331,72890,39429,332
2017-01-25$9.11$9.0064.7%18.6%74.5%29.4%66.1%2.8%4.8%311.9K-28.1M-238.1K0.3421.084,6871,59293,13430,009
2017-01-26$8.94$9.0064.0%18.3%71.4%27.6%64.7%-0.4%3.5%297.8K-26.5M-232.2K0.3020.605,5861,70393,78630,399
2017-01-27$9.19$9.0062.6%18.0%71.7%24.2%62.7%-0.4%3.3%369.3K-30.1M-242.3K0.4917.704,2082,05896,18430,905
2017-01-30$9.12$9.0065.2%18.7%65.2%30.6%64.1%-1.5%1.8%371.3K-29.2M-233.6K0.3810.243,9841,49697,60431,271
2017-01-31$9.57$9.0061.6%17.7%61.7%21.9%62.8%2.2%5.9%444.5K-36.0M-248.6K0.2211.146,5981,42998,48431,626