AG Options History — March 2017

In March 2017, AG traded between $7.21 and $9.09. ATM implied volatility averaged 61.5%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 1.9% (HV 20d: 59.6%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.58.

Notable Days

  • 2017-03-01: Highest Volume — 12,587 contracts
  • 2017-03-27: Largest IV spike — 5.4% change
  • 2017-03-03: Highest IV Rank — 19.5%
  • 2017-03-01: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.94$7.21$9.09$9.09$8.14
Max Pain$8.35$8.00$9.00$9.00$8.00
ATM IV61.5%57.8%65.7%64.0%59.9%
Expected Move17.4%15.6%18.9%18.9%16.6%
HV 20d59.6%51.0%67.1%52.3%52.2%
HV 60d64.4%57.8%68.0%67.4%57.8%
IV Rank8.3%0.0%19.5%14.7%5.9%
IV Percentile6.0%0.0%19.4%10.7%3.6%
Term Structure1.0%-4.1%8.7%-1.1%3.5%
VWIV61.0%55.3%67.1%67.1%56.4%
Skew 25d0.9%-6.0%11.1%1.2%3.5%
Skew 10d-0.9%-36.5%32.6%-5.1%7.3%
Call IV 25d61.5%54.9%68.4%64.7%57.4%
Put IV 25d62.4%58.4%67.5%65.9%60.9%
Bid-Ask Spread %13.227.6624.4012.1812.70
Gamma HHI0.120.110.150.150.12
Net GEX336.4K197.4K478.4K478.4K421.1K
Net DEX-19.0M-29.3M-9.7M-29.3M-25.2M
Net VEX-241.0K-255.8K-208.3K-254.5K-251.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.270.760.410.27
Total Volume7,7454,89512,58712,5877,907
Total OI156,969.391142,154165,835142,154162,862

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-03-01$9.09$9.0064.0%18.9%52.3%14.7%67.1%1.2%-1.1%478.4K-29.3M-254.5K0.4112.188,9373,650113,65028,504
2017-03-02$8.26$9.0062.9%18.1%61.3%11.5%64.3%-1.5%-4.1%354.2K-20.1M-237.1K0.4322.958,2523,542117,39629,819
2017-03-03$8.22$9.0065.7%18.2%60.9%19.5%65.9%2.7%-1.6%365.1K-19.7M-243.8K0.7624.406,7005,100120,67730,406
2017-03-06$7.84$9.0064.4%18.2%61.8%15.8%64.2%-4.0%-0.4%289.4K-16.4M-237.9K0.6410.134,9783,199120,06132,094
2017-03-07$7.79$9.0064.5%18.4%53.4%15.9%63.4%1.5%-0.8%267.6K-15.3M-235.5K0.6410.334,6052,944122,00332,789
2017-03-08$7.61$9.0064.8%18.2%53.5%16.9%64.2%1.5%-1.5%253.9K-14.8M-231.0K0.667.883,8152,527123,17432,596
2017-03-09$7.52$9.0062.6%17.9%52.1%10.5%66.1%-1.7%1.2%236.5K-12.6M-224.8K0.569.524,4542,475123,92533,225
2017-03-10$7.85$8.0062.8%18.0%55.3%11.0%66.0%5.3%1.2%282.0K-16.1M-238.4K0.6510.225,4683,564125,03833,400
2017-03-13$7.64$8.0063.7%18.1%52.8%13.8%63.7%-4.6%1.9%250.0K-14.5M-228.1K0.6810.245,0533,427125,48032,988
2017-03-14$7.21$9.0062.1%18.2%54.9%9.0%62.4%-6.0%1.1%197.4K-9.7M-208.3K0.587.665,2153,051126,38634,048
2017-03-15$7.90$8.0062.5%17.4%67.1%10.2%60.7%11.1%-2.9%285.9K-17.6M-243.9K0.678.745,5333,686127,89134,714
2017-03-16$7.89$8.0060.9%17.3%66.7%5.6%61.4%-3.5%-3.4%352.5K-18.6M-244.5K0.6510.084,0842,643129,61235,442
2017-03-17$7.86$8.0060.3%17.1%65.7%3.8%62.3%-2.5%-0.6%337.3K-17.0M-244.5K0.6911.404,2382,935130,45935,376
2017-03-20$7.98$8.0058.9%16.7%66.4%0.0%57.6%6.2%1.1%359.0K-20.5M-245.1K0.6514.304,3322,827122,72229,993
2017-03-21$8.09$8.0061.1%17.6%66.8%6.4%59.9%-0.9%0.7%412.3K-23.0M-252.2K0.5417.493,9792,163124,47030,754
2017-03-22$7.88$8.0059.1%16.9%65.6%0.6%56.7%1.2%2.3%366.4K-21.1M-255.8K0.7414.493,7422,771125,34231,056
2017-03-23$7.94$8.0057.9%16.4%64.2%0.0%58.8%3.4%2.4%364.7K-20.3M-246.0K0.6817.463,6262,473126,06831,705
2017-03-24$7.87$8.0057.8%16.3%64.2%0.0%56.1%4.1%1.6%329.4K-19.0M-238.6K0.6615.383,1742,100126,31032,063
2017-03-27$8.08$8.0061.0%16.6%61.2%8.8%57.7%2.8%4.5%381.0K-22.5M-250.0K0.3913.455,5332,181125,56731,231
2017-03-28$7.95$8.0059.0%16.2%60.7%3.3%56.1%-3.3%8.7%389.8K-21.3M-244.4K0.5717.753,5882,050127,58931,504
2017-03-29$8.00$8.0058.9%16.6%60.8%2.9%56.2%2.3%7.2%395.1K-21.7M-248.8K0.529.453,2191,676128,32731,543
2017-03-30$7.90$8.0059.1%15.6%51.0%3.6%55.3%2.7%1.8%367.7K-20.3M-237.9K0.3915.784,8241,895128,31331,724
2017-03-31$8.14$8.0059.9%16.6%52.2%5.9%56.4%3.5%3.5%421.1K-25.2M-251.7K0.2712.706,2101,697130,90031,962