AG Options History — April 2017

In April 2017, AG traded between $8.07 and $9.40. ATM implied volatility averaged 61.8%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 19.1% (HV 20d: 42.7%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.52.

Notable Days

  • 2017-04-11: Highest Volume — 11,096 contracts
  • 2017-04-10: Largest IV spike — 11.1% change
  • 2017-04-10: Highest IV Rank — 28.5%
  • 2017-04-17: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.72$8.07$9.40$8.39$8.15
Max Pain$8.63$8.00$9.00$8.00$9.00
ATM IV61.8%57.8%68.0%64.0%57.8%
Expected Move16.9%15.1%18.2%15.2%16.1%
HV 20d42.7%31.7%50.8%50.2%46.4%
HV 60d52.7%51.3%53.7%53.7%52.7%
IV Rank11.1%0.1%28.5%17.4%0.1%
IV Percentile11.9%0.4%44.4%17.9%0.4%
Term Structure4.2%-4.4%76.4%4.7%-1.1%
VWIV59.3%53.1%63.3%54.3%58.0%
Skew 25d2.1%-2.3%10.7%-2.3%2.7%
Skew 10d-2.5%-26.4%17.1%5.6%6.7%
Call IV 25d61.6%55.6%75.1%75.1%58.0%
Put IV 25d63.6%58.4%72.8%72.8%60.7%
Bid-Ask Spread %18.9111.8327.8315.3318.10
Gamma HHI0.160.110.190.140.12
Net GEX616.1K262.6K977.3K507.3K265.7K
Net DEX-31.3M-45.1M-18.9M-27.7M-19.3M
Net VEX-268.6K-293.9K-247.2K-256.3K-250.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.270.960.270.76
Total Volume8,063.8955,10111,0968,7285,101
Total OI158,258.474128,770173,952161,351136,549

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-04-03$8.39$8.0064.0%15.2%50.2%17.4%54.3%-2.3%4.7%507.3K-27.7M-256.3K0.2715.336,8801,848130,35131,000
2017-04-04$8.62$8.0058.9%15.9%50.8%3.1%56.4%-0.9%9.8%613.2K-31.6M-268.1K0.4511.835,7272,562132,26631,210
2017-04-05$8.68$8.0064.7%15.1%49.6%19.3%53.1%10.7%76.4%676.6K-33.4M-272.2K0.3917.195,3252,078133,56731,194
2017-04-06$8.70$8.0058.6%17.0%49.2%2.2%58.7%3.3%8.2%672.8K-33.0M-269.6K0.3814.186,5362,486134,63731,728
2017-04-07$8.77$8.0061.2%16.9%47.4%9.6%59.9%7.0%-4.3%704.8K-35.2M-272.5K0.2917.537,2752,085135,68231,750
2017-04-10$8.66$8.0068.0%17.2%46.3%28.5%61.1%4.5%0.2%681.7K-31.2M-261.4K0.4117.375,3512,217134,31330,117
2017-04-11$9.20$8.0063.3%17.4%43.5%15.4%61.0%4.0%-3.7%859.8K-40.8M-284.5K0.3719.938,0753,021134,48630,683
2017-04-12$9.22$9.0064.4%17.5%32.0%18.4%60.9%0.5%-3.1%927.9K-41.4M-283.0K0.5918.154,1422,454135,60430,882
2017-04-13$9.38$9.0063.0%17.3%31.9%14.6%59.6%0.4%-0.6%977.3K-45.1M-293.9K0.4917.957,1253,471135,74431,485
2017-04-17$9.40$9.0063.1%18.2%31.7%14.9%63.3%1.6%-2.5%972.9K-44.9M-291.7K0.6220.394,9153,058135,51731,882
2017-04-18$9.21$9.0062.6%17.8%33.3%13.4%62.0%0.6%0.3%908.9K-39.6M-281.1K0.9618.203,6703,518136,03132,626
2017-04-19$8.66$9.0063.2%18.1%41.1%15.1%62.5%0.8%0.0%626.3K-28.0M-255.1K0.5821.575,3013,098136,38433,550
2017-04-20$8.80$9.0061.1%17.4%39.8%9.1%60.7%1.9%1.6%695.6K-31.1M-272.9K0.5112.285,0182,582138,61333,852
2017-04-21$8.79$9.0061.5%17.7%39.8%10.3%61.8%0.2%1.2%410.9K-29.8M-274.8K0.8021.785,0494,021140,15833,794
2017-04-24$8.59$9.0060.2%16.8%40.8%6.7%59.7%1.5%-1.0%379.6K-24.3M-263.0K0.5417.924,3882,380103,30725,463
2017-04-25$8.12$9.0059.6%16.5%45.2%5.1%56.9%1.8%-4.4%282.6K-19.8M-249.0K0.6224.365,9453,687105,08226,488
2017-04-26$8.30$9.0060.6%16.4%45.4%7.6%56.8%1.0%-3.7%278.7K-20.0M-256.5K0.4127.374,7461,934106,81528,123
2017-04-27$8.07$9.0058.0%16.3%46.6%0.5%60.8%0.4%1.7%262.6K-18.9M-247.2K0.4627.834,2231,922107,47828,500
2017-04-28$8.15$9.0057.8%16.1%46.4%0.1%58.0%2.7%-1.1%265.7K-19.3M-250.3K0.7618.102,8982,203107,80728,742