AG Options History — July 2017

In July 2017, AG traded between $7.20 and $8.26. ATM implied volatility averaged 53.5%, placing in the 12.0% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 4.4% (HV 20d: 49.1%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.31.

Notable Days

  • 2017-07-25: Highest Volume — 31,839 contracts
  • 2017-07-25: Largest IV spike — 9.2% change
  • 2017-07-25: Highest IV Rank — 18.5%
  • 2017-07-10: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.82$7.20$8.26$7.68$8.26
Max Pain$8.00$8.00$8.00$8.00$8.00
ATM IV53.5%50.9%56.5%51.0%54.5%
Expected Move15.2%13.8%16.3%13.8%15.0%
HV 20d49.1%45.0%54.5%54.5%52.0%
HV 60d51.4%48.1%52.5%51.9%48.1%
IV Rank12.0%6.1%18.5%6.4%14.1%
IV Percentile14.3%5.6%21.8%6.0%20.2%
Term Structure0.1%-2.6%2.5%-0.0%-0.8%
VWIV53.4%50.0%57.3%52.1%52.8%
Skew 25d1.1%-2.9%3.9%3.8%2.2%
Skew 10d4.4%-26.5%31.8%-20.2%-5.5%
Call IV 25d53.1%51.0%55.6%51.0%51.3%
Put IV 25d54.2%49.7%57.9%54.8%53.5%
Bid-Ask Spread %10.656.7721.489.3510.18
Gamma HHI0.160.120.280.130.23
Net GEX407.0K166.2K939.1K253.1K939.1K
Net DEX-23.4M-40.9M-11.7M-17.8M-40.9M
Net VEX-251.6K-297.5K-218.8K-235.7K-297.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.090.800.460.80
Total Volume9,902.955,54731,8398,7467,275
Total OI167,899.45141,714178,075158,035175,224

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$7.68$8.0051.0%13.8%54.5%6.4%52.1%3.8%-0.0%253.1K-17.8M-235.7K0.469.356,0002,746127,58330,452
2017-07-05$7.54$8.0055.2%14.2%45.0%15.6%55.5%1.0%-2.6%211.3K-15.0M-226.7K0.358.188,0492,811128,83131,339
2017-07-06$7.36$8.0053.5%15.5%45.1%11.9%53.4%3.3%0.1%207.2K-13.4M-226.4K0.268.427,0761,835132,08131,938
2017-07-07$7.20$8.0054.5%15.5%45.3%14.1%54.0%1.5%-1.9%204.5K-11.7M-218.8K0.3212.056,8402,164133,32132,207
2017-07-10$7.64$8.0054.5%16.3%50.4%14.1%57.0%2.0%1.7%246.9K-16.8M-234.3K0.2210.397,7041,689134,56632,687
2017-07-11$7.81$8.0053.9%15.7%51.1%12.8%57.3%3.9%1.3%301.2K-19.8M-244.8K0.207.887,7301,513136,50333,236
2017-07-12$7.77$8.0054.6%15.5%50.1%14.3%52.5%-2.9%-2.2%307.8K-20.3M-244.9K0.216.777,6791,621138,85333,539
2017-07-13$7.54$8.0051.9%15.3%47.6%8.3%54.1%0.8%2.0%291.6K-17.1M-238.9K0.2017.287,5081,531140,13533,889
2017-07-14$7.78$8.0052.5%15.3%48.2%9.8%52.4%-2.3%1.8%261.2K-20.0M-243.9K0.349.734,9421,659139,35134,037
2017-07-17$7.94$8.0052.6%15.2%48.2%9.9%52.9%-0.1%2.5%269.5K-22.6M-254.0K0.289.217,6472,165139,22333,601
2017-07-18$8.02$8.0052.3%15.0%48.1%9.3%51.8%0.6%-0.7%311.2K-24.8M-260.7K0.189.127,5691,377142,02633,548
2017-07-19$7.88$8.0054.9%15.7%48.5%15.0%52.6%-2.2%-0.7%246.5K-22.2M-246.7K0.4621.484,1181,885141,74133,567
2017-07-20$7.92$8.0051.7%14.8%48.4%8.1%51.8%1.5%1.5%166.2K-21.9M-245.3K0.2413.277,6021,790142,25233,826
2017-07-21$8.01$8.0050.9%14.6%47.4%6.1%51.1%1.9%-0.1%458.7K-26.6M-254.3K0.3511.425,8002,054143,97534,100
2017-07-24$7.69$8.0051.7%14.6%47.6%8.1%53.8%-0.0%-1.3%423.4K-21.5M-241.1K0.4810.953,7481,799117,04124,673
2017-07-25$7.86$8.0056.5%15.8%48.5%18.5%55.3%2.0%-0.5%452.1K-23.7M-249.4K0.0911.3229,1792,660118,28625,583
2017-07-26$8.24$8.0054.4%15.6%51.7%13.9%54.0%2.0%1.4%807.2K-37.1M-290.1K0.197.989,8531,851138,28227,178
2017-07-27$7.99$8.0055.5%15.1%52.5%16.4%53.3%1.7%-0.9%893.2K-35.0M-281.9K0.278.267,4292,020146,17027,800
2017-07-28$8.21$8.0054.0%15.0%52.3%13.1%50.0%0.7%1.4%887.7K-39.6M-295.5K0.249.817,3661,775147,14128,204
2017-07-31$8.26$8.0054.5%15.0%52.0%14.1%52.8%2.2%-0.8%939.1K-40.9M-297.5K0.8010.184,0473,228147,03628,188