AG Options History — February 2017

In February 2017, AG traded between $8.92 and $10.73. ATM implied volatility averaged 64.9%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded above realized volatility by 14.4% (HV 20d: 50.5%). Max pain ranged from $8.00 to $9.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.43.

Notable Days

  • 2017-02-28: Highest Volume — 17,151 contracts
  • 2017-02-02: Largest IV spike — 14.1% change
  • 2017-02-02: Highest IV Rank — 40.8%
  • 2017-02-07: Largest Expected Move — 19.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.99$8.92$10.73$9.72$9.08
Max Pain$8.87$8.00$9.50$9.00$9.00
ATM IV64.9%60.8%69.4%60.8%63.2%
Expected Move18.5%16.9%19.6%17.4%18.4%
HV 20d50.5%45.4%60.6%60.6%55.3%
HV 60d70.1%66.0%77.5%77.1%67.4%
IV Rank19.7%5.5%40.8%19.8%12.4%
IV Percentile14.4%2.0%38.5%2.0%7.9%
Term Structure0.8%-3.2%8.1%8.1%-3.2%
VWIV64.8%57.5%68.3%62.1%64.5%
Skew 25d-0.0%-5.4%6.3%4.5%1.4%
Skew 10d-3.1%-36.0%30.9%26.1%-17.6%
Call IV 25d66.7%61.7%74.1%61.7%63.9%
Put IV 25d66.7%61.1%75.4%66.1%65.3%
Bid-Ask Spread %19.4210.8350.5010.8312.56
Gamma HHI0.200.120.290.260.16
Net GEX647.2K428.8K881.4K519.3K462.8K
Net DEX-43.9M-57.9M-25.2M-39.7M-26.0M
Net VEX-252.8K-274.0K-218.6K-252.0K-224.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.430.180.720.320.18
Total Volume8,201.4745,36617,1516,39317,151
Total OI136,853.053122,864146,146134,062134,527

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-02-01$9.72$9.0060.8%17.4%60.6%19.8%62.1%4.5%8.1%519.3K-39.7M-252.0K0.3210.834,8591,534102,10431,958
2017-02-02$9.82$8.0069.4%19.3%59.6%40.8%68.3%1.3%0.9%548.1K-41.6M-253.2K0.4833.234,1272,000103,12232,194
2017-02-03$9.95$8.0069.2%18.9%46.9%40.3%66.0%4.0%-0.2%596.7K-44.3M-259.8K0.4020.374,7161,869104,05132,452
2017-02-06$10.69$8.0066.0%18.8%48.2%32.6%67.6%6.3%-0.7%709.5K-55.9M-264.6K0.2413.759,5732,265105,18432,569
2017-02-07$10.56$9.0066.4%19.6%48.8%21.5%67.0%-3.3%1.9%770.4K-56.3M-268.8K0.3221.097,0732,279107,14333,030
2017-02-08$10.73$9.0066.8%19.4%48.8%22.6%67.1%-3.7%1.7%758.7K-57.9M-274.0K0.3719.705,4361,995107,76633,324
2017-02-09$10.26$9.0066.3%19.4%51.7%21.3%67.0%-0.2%1.3%765.4K-51.1M-268.4K0.4516.175,1722,305108,17133,543
2017-02-10$10.59$9.0064.8%18.8%51.8%16.8%65.2%2.1%0.8%796.0K-55.8M-268.0K0.5817.833,7012,132107,73434,102
2017-02-13$10.37$9.0065.5%18.7%51.4%19.0%65.2%-0.9%-1.4%871.6K-53.2M-264.3K0.7219.413,2272,309108,22934,090
2017-02-14$10.38$9.0066.0%19.0%49.8%20.5%65.7%1.8%-1.1%875.8K-53.2M-264.5K0.5918.003,3801,986108,62734,697
2017-02-15$10.02$9.0064.5%18.5%45.4%16.0%65.4%0.2%2.4%843.5K-45.7M-249.7K0.5319.373,8352,034108,55034,938
2017-02-16$10.23$9.0064.7%18.5%45.7%16.6%63.6%1.0%0.9%881.4K-48.9M-255.9K0.3423.045,7891,983108,59835,406
2017-02-17$10.04$9.0063.0%17.8%46.5%11.7%62.9%-1.4%3.8%518.3K-48.0M-253.5K0.3713.596,5422,416110,60835,538
2017-02-21$9.81$9.0063.9%18.3%46.2%14.4%63.3%-0.6%1.6%498.0K-36.2M-243.0K0.4314.446,6222,87698,28024,584
2017-02-22$9.35$9.0067.0%18.1%48.8%23.2%66.3%-5.4%-2.9%428.8K-29.5M-232.9K0.5150.505,8902,99498,78225,815
2017-02-23$9.65$9.0061.5%18.2%49.8%7.3%62.2%-0.7%2.4%480.7K-33.3M-242.8K0.4514.425,7082,590100,57327,083
2017-02-24$9.57$9.0060.8%16.9%49.4%5.5%57.5%-2.7%0.1%541.9K-33.2M-243.8K0.4715.975,7182,683103,59827,770
2017-02-27$8.92$9.5062.9%18.5%54.9%11.6%65.1%-4.0%-0.4%430.5K-25.2M-218.6K0.4514.776,2352,824104,11527,353
2017-02-28$9.08$9.0063.2%18.4%55.3%12.4%64.5%1.4%-3.2%462.8K-26.0M-224.7K0.1812.5614,5052,646106,23028,297