AG Options History — June 2017

In June 2017, AG traded between $7.62 and $8.91. ATM implied volatility averaged 50.2%, placing in the 1.7% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 2.8% (HV 20d: 47.4%). 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 16 of 22 days. Put/call ratio averaged 0.55.

Notable Days

  • 2017-06-30: Highest Volume — 10,265 contracts
  • 2017-06-20: Largest IV drop — 3.9% change
  • 2017-06-12: Highest IV Rank — 5.3%
  • 2017-06-05: Largest Expected Move — 15.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.22$7.62$8.91$8.25$8.30
Max Pain$8.80$8.00$9.00$9.00$8.00
ATM IV50.2%48.1%53.0%53.0%48.4%
Expected Move14.4%13.2%15.5%15.1%13.4%
HV 20d47.4%44.2%59.1%59.1%46.9%
HV 60d49.8%47.9%52.4%50.9%49.5%
IV Rank1.7%0.0%5.3%4.4%0.8%
IV Percentile1.3%0.0%5.6%3.6%1.6%
Term Structure1.3%-2.7%4.0%-2.7%1.9%
VWIV49.9%46.3%53.3%49.0%46.9%
Skew 25d1.7%-2.8%8.7%7.1%0.9%
Skew 10d1.9%-24.1%22.9%-6.1%18.8%
Call IV 25d49.9%42.6%54.1%48.3%49.0%
Put IV 25d51.6%48.7%55.5%55.5%49.8%
Bid-Ask Spread %9.236.9812.0912.0910.57
Gamma HHI0.140.130.150.140.15
Net GEX340.7K213.6K466.1K335.7K356.5K
Net DEX-22.5M-30.3M-14.5M-22.1M-24.9M
Net VEX-257.9K-283.4K-238.9K-259.0K-259.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.301.040.610.30
Total Volume6,077.3183,73310,2653,83710,265
Total OI151,314.136145,808158,595146,412158,595

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$8.25$9.0053.0%15.1%59.1%4.4%49.0%7.1%-2.7%335.7K-22.1M-259.0K0.6112.092,3891,448116,43129,981
2017-06-02$8.24$9.0051.7%14.6%46.8%1.3%49.6%4.6%-0.1%333.5K-21.8M-259.8K0.709.822,1911,542116,83930,211
2017-06-05$8.23$9.0051.9%15.5%44.8%1.7%53.3%1.8%4.0%322.2K-20.9M-254.1K0.886.982,5362,223115,82529,983
2017-06-06$8.91$9.0051.8%14.9%52.0%1.5%51.9%2.1%1.3%466.1K-30.3M-283.4K0.5011.155,2342,617116,32330,728
2017-06-07$8.72$9.0050.1%15.0%52.5%0.0%52.2%1.5%2.2%454.3K-28.2M-278.9K0.409.914,6681,852117,51930,414
2017-06-08$8.59$9.0051.8%14.7%49.6%3.8%51.0%-0.2%-0.7%435.3K-27.2M-274.8K0.4311.144,3161,874118,64630,555
2017-06-09$8.32$9.0050.5%14.5%47.3%0.9%51.9%-2.8%-0.3%350.0K-23.3M-262.1K0.8011.962,4381,958118,88930,707
2017-06-12$8.20$9.0052.4%15.4%44.9%5.3%52.8%-1.9%2.3%312.7K-22.1M-255.5K1.049.042,6092,725118,23030,385
2017-06-13$8.41$9.0050.9%14.9%45.7%1.8%50.4%0.9%2.4%345.8K-23.6M-265.1K0.8210.892,6582,191118,77731,097
2017-06-14$7.97$9.0050.6%14.8%48.6%1.2%52.6%3.2%2.8%243.7K-18.3M-247.4K0.478.193,9471,849119,59331,240
2017-06-15$7.76$9.0050.3%15.1%47.8%0.5%52.9%1.0%2.5%213.6K-16.4M-244.2K0.587.813,5102,047121,13031,593
2017-06-16$7.62$9.0051.0%15.0%46.1%2.0%52.9%-1.6%2.7%237.2K-14.5M-239.1K0.607.483,2431,954121,81231,576
2017-06-19$7.71$9.0050.0%14.4%46.1%0.0%49.2%0.0%3.6%249.6K-16.2M-238.9K0.488.833,8221,818119,44529,162
2017-06-20$7.80$9.0048.1%13.8%45.4%0.0%46.5%0.3%2.3%259.5K-16.7M-239.7K0.499.143,8581,890120,90829,415
2017-06-21$7.88$9.0049.2%14.1%44.2%2.5%48.9%2.7%1.9%277.7K-17.7M-242.7K0.378.054,4861,638121,83729,842
2017-06-22$8.11$9.0048.3%13.8%45.1%0.6%49.1%-1.8%-0.2%339.7K-21.6M-256.0K0.517.763,7671,910123,00730,039
2017-06-23$8.39$9.0048.3%13.8%46.2%0.5%47.5%8.7%0.5%370.7K-25.6M-266.4K0.449.114,6352,040123,87830,548
2017-06-26$8.36$8.5049.8%14.1%46.2%3.8%47.7%1.9%-0.3%399.4K-25.5M-262.5K0.468.554,4002,018123,57629,901
2017-06-27$8.34$8.0048.2%14.0%45.5%0.2%48.4%-0.5%1.5%398.0K-26.2M-261.2K0.459.125,1382,321125,24330,198
2017-06-28$8.45$8.0049.0%13.5%45.5%2.0%47.3%5.7%0.8%429.6K-27.0M-265.0K0.407.905,2992,095126,65130,584
2017-06-29$8.18$8.0048.9%13.2%46.6%1.8%46.3%3.6%1.4%364.6K-24.2M-258.9K0.407.505,9372,345127,07230,526
2017-06-30$8.30$8.0048.4%13.4%46.9%0.8%46.9%0.9%1.9%356.5K-24.9M-259.0K0.3010.577,9002,365127,62130,974