AG Options History — May 2017

In May 2017, AG traded between $7.16 and $9.18. ATM implied volatility averaged 54.2%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded below realized volatility by 2.8% (HV 20d: 57.0%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.62.

Notable Days

  • 2017-05-09: Highest Volume — 13,442 contracts
  • 2017-05-17: Largest IV spike — 7.0% change
  • 2017-05-03: Highest IV Rank — 10.5%
  • 2017-05-05: Largest Expected Move — 17.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.37$7.16$9.18$7.99$8.38
Max Pain$8.50$8.00$9.00$9.00$9.00
ATM IV54.2%51.2%60.4%59.7%51.6%
Expected Move15.5%14.7%17.1%16.7%15.1%
HV 20d57.0%43.1%62.4%45.8%59.1%
HV 60d54.3%50.3%56.5%52.8%50.8%
IV Rank3.2%0.0%10.5%5.3%1.0%
IV Percentile1.9%0.0%8.3%5.6%0.8%
Term Structure0.7%-3.8%3.5%1.3%-1.3%
VWIV53.4%49.7%58.4%55.0%51.9%
Skew 25d1.5%-3.8%4.2%-0.2%2.4%
Skew 10d4.3%-19.4%31.2%-19.4%14.4%
Call IV 25d53.7%49.3%60.3%59.1%52.3%
Put IV 25d55.2%50.7%59.7%58.8%54.7%
Bid-Ask Spread %11.967.2422.3421.629.38
Gamma HHI0.130.120.140.120.14
Net GEX392.1K180.0K648.3K246.7K359.0K
Net DEX-24.7M-38.8M-11.3M-18.0M-23.8M
Net VEX-271.0K-310.5K-219.5K-243.9K-266.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.312.080.730.45
Total Volume7,611.8643,51213,4425,1674,141
Total OI145,666.409133,350155,743133,350145,578

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$7.99$9.0059.7%16.7%45.8%5.3%55.0%-0.2%1.3%246.7K-18.0M-243.9K0.7321.622,9882,179105,37227,978
2017-05-02$7.99$9.0056.5%16.1%44.3%0.0%56.0%-3.8%3.5%246.4K-18.6M-255.4K0.4518.493,3101,493106,35828,442
2017-05-03$7.87$9.0060.4%16.6%43.1%10.5%55.9%0.2%-3.8%244.4K-17.8M-247.3K0.5422.343,0111,633107,63728,495
2017-05-04$7.16$9.0059.1%16.9%53.3%6.8%58.4%0.1%-0.8%185.8K-11.3M-219.5K0.5411.436,7303,601108,63328,687
2017-05-05$7.48$8.0056.2%17.1%56.5%0.0%57.3%-1.9%0.1%189.3K-13.4M-232.2K0.8012.283,7172,968110,78630,119
2017-05-08$7.57$8.0056.0%16.3%56.6%0.0%58.0%2.5%2.8%207.8K-14.7M-236.2K0.638.964,0792,551110,76930,452
2017-05-09$7.46$8.0053.2%15.6%56.7%0.0%53.2%1.9%0.8%202.8K-14.0M-232.0K2.088.334,3599,083112,60830,841
2017-05-10$7.90$8.0053.5%15.2%56.2%0.6%53.3%-0.7%1.0%180.0K-16.5M-258.5K0.539.445,8643,126113,29336,789
2017-05-11$8.35$8.0051.4%15.2%60.4%0.0%53.3%3.1%3.3%257.5K-23.2M-280.0K0.3414.568,1812,762115,21237,261
2017-05-12$8.70$8.0051.8%14.8%62.1%1.0%50.7%3.5%-0.9%482.4K-30.1M-297.6K0.597.495,5203,241118,28537,458
2017-05-15$8.81$8.0052.8%15.2%62.4%3.2%53.0%1.7%2.0%511.2K-30.9M-295.2K1.247.805,3496,655117,40736,254
2017-05-16$8.96$8.0051.2%14.8%62.4%0.0%51.2%3.7%3.0%617.6K-34.3M-298.4K0.457.245,1442,326118,31632,624
2017-05-17$9.18$8.0054.8%15.7%58.8%8.4%54.2%2.2%0.1%648.3K-38.8M-310.5K0.3113.597,8592,414119,21032,352
2017-05-18$8.79$8.0054.4%15.6%60.8%7.6%53.8%3.7%0.7%618.1K-31.3M-291.8K0.4510.215,0662,262119,40532,215
2017-05-19$8.90$8.0052.1%14.8%60.9%2.3%52.2%0.9%1.6%504.5K-31.7M-293.6K0.4412.634,9712,184119,94533,017
2017-05-22$9.09$9.0052.2%14.7%60.7%2.3%51.9%2.0%3.2%570.2K-34.3M-298.8K0.3912.186,0562,337113,57428,928
2017-05-23$8.74$9.0052.4%14.7%58.8%2.8%50.7%1.6%-1.0%495.0K-29.3M-283.1K0.3510.345,1141,792115,12629,955
2017-05-24$8.91$9.0053.6%15.5%58.6%5.7%52.4%3.2%1.0%563.5K-30.7M-288.5K0.5112.954,7192,394116,55130,182
2017-05-25$8.67$9.0053.6%15.1%58.6%5.8%50.4%4.2%-2.5%489.4K-27.7M-280.2K0.509.154,5782,277116,93729,835
2017-05-26$8.70$9.0052.0%15.0%58.5%2.1%49.7%-0.1%1.6%424.6K-28.2M-281.1K0.709.993,4882,427117,32329,718
2017-05-30$8.50$9.0053.3%14.7%58.7%5.0%52.4%1.9%-0.8%382.6K-25.3M-272.0K0.6612.812,1131,399115,09229,642
2017-05-31$8.38$9.0051.6%15.1%59.1%1.0%51.9%2.4%-1.3%359.0K-23.8M-266.2K0.459.382,8591,282115,76629,812