AG Options History — August 2017

In August 2017, AG traded between $6.04 and $8.20. ATM implied volatility averaged 56.1%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded below realized volatility by 28.8% (HV 20d: 84.8%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.49.

Notable Days

  • 2017-08-04: Highest Volume — 27,196 contracts
  • 2017-08-11: Largest IV spike — 5.3% change
  • 2017-08-22: Highest IV Rank — 24.3%
  • 2017-08-11: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.65$6.04$8.20$8.20$7.07
Max Pain$7.17$7.00$8.00$8.00$7.00
ATM IV56.1%52.0%59.1%52.3%56.7%
Expected Move15.9%14.4%16.9%15.0%14.4%
HV 20d84.8%43.4%96.8%43.4%96.8%
HV 60d62.5%47.4%66.6%47.4%66.3%
IV Rank17.6%8.7%24.3%9.3%19.0%
IV Percentile25.6%11.5%35.3%12.7%29.8%
Term Structure0.8%-2.8%3.4%2.2%-0.6%
VWIV57.3%51.6%65.3%52.8%54.9%
Skew 25d-1.1%-9.4%6.3%-1.2%0.9%
Skew 10d-9.7%-33.7%16.5%-0.4%3.3%
Call IV 25d56.7%51.7%61.2%56.1%55.9%
Put IV 25d55.6%49.0%61.5%54.9%56.9%
Bid-Ask Spread %9.106.8113.2011.4010.21
Gamma HHI0.240.170.300.230.27
Net GEX545.2K341.3K932.3K932.3K870.8K
Net DEX-15.7M-38.8M-6.6M-38.8M-25.0M
Net VEX-220.0K-290.0K-187.0K-290.0K-241.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.270.790.640.27
Total Volume9,791.3045,76027,1967,81210,651
Total OI198,939.391178,733208,742178,733206,818

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$8.20$8.0052.3%15.0%43.4%9.3%52.8%-1.2%2.2%932.3K-38.8M-290.0K0.6411.404,7653,047148,57930,154
2017-08-02$7.84$8.0052.0%16.1%46.1%8.7%57.2%-2.5%2.3%836.5K-31.2M-279.8K0.7911.955,4334,306149,41230,279
2017-08-03$7.71$8.0053.2%16.1%45.6%11.2%56.0%-1.8%-0.4%763.3K-28.3M-274.7K0.4810.466,9913,339151,24531,821
2017-08-04$6.22$8.0054.1%16.1%89.5%13.2%65.3%0.6%-2.8%341.3K-6.6M-193.1K0.3310.2020,3906,806153,43432,540
2017-08-07$6.09$7.0055.6%16.7%86.0%16.6%63.1%3.0%3.0%352.2K-7.2M-188.7K0.428.178,9773,737161,44932,591
2017-08-08$6.04$7.0053.7%15.7%85.1%12.3%58.4%-0.4%0.3%356.9K-6.7M-187.0K0.4512.177,5663,437164,81032,769
2017-08-09$6.22$7.0056.0%16.4%86.4%17.3%59.8%-4.5%2.2%406.2K-9.0M-202.9K0.517.866,3153,227166,89834,332
2017-08-10$6.73$7.0056.0%16.7%91.7%17.5%59.0%2.0%2.8%582.4K-16.8M-231.3K0.4810.648,9494,301167,92034,646
2017-08-11$6.53$7.0059.0%16.9%91.0%24.0%61.7%6.3%-0.3%481.4K-14.5M-225.4K0.578.305,8253,297169,22035,515
2017-08-14$6.29$7.0056.9%16.1%90.9%19.3%58.7%-9.4%3.4%411.2K-9.3M-204.9K0.556.814,3502,375169,20535,778
2017-08-15$6.22$7.0054.4%15.6%90.5%13.9%55.2%0.6%-0.0%395.9K-8.4M-197.6K0.607.134,0732,454169,84935,808
2017-08-16$6.51$7.0056.7%16.2%92.8%18.9%56.3%-4.5%-0.8%519.4K-12.8M-215.9K0.478.354,6832,214170,56136,126
2017-08-17$6.55$7.0056.6%16.1%92.9%18.8%56.5%-2.2%1.5%554.8K-13.4M-217.9K0.447.185,4312,413171,93036,241
2017-08-18$6.44$7.0058.6%16.7%92.6%23.2%57.3%-5.5%2.3%485.2K-11.3M-213.9K0.467.955,7852,650172,40836,334
2017-08-21$6.41$7.0058.1%15.9%91.9%22.0%58.2%0.2%-2.3%452.9K-12.2M-203.1K0.468.583,9451,815163,69530,696
2017-08-22$6.28$7.0059.1%16.0%91.2%24.3%59.2%1.2%0.4%418.6K-12.0M-205.2K0.767.354,0313,071164,68131,388
2017-08-23$6.35$7.0057.3%15.4%89.0%20.2%53.6%-2.3%0.9%399.4K-10.6M-195.0K0.357.726,0132,108166,15032,772
2017-08-24$6.40$7.0055.0%14.6%89.1%15.3%51.6%-2.3%0.6%438.3K-12.9M-205.4K0.459.465,4652,443169,76732,871
2017-08-25$6.48$7.0055.9%15.5%88.4%17.3%53.9%-0.4%1.0%505.5K-14.6M-211.0K0.769.993,9422,980170,99033,327
2017-08-28$6.98$7.0056.2%16.2%93.4%17.8%53.1%-1.6%-0.4%751.4K-23.1M-238.7K0.297.328,4002,404169,76431,854
2017-08-29$6.86$7.0058.4%16.6%93.5%22.7%59.2%1.0%2.6%669.1K-19.8M-220.6K0.2913.2010,3843,055170,36832,292
2017-08-30$6.61$7.0058.0%15.4%93.1%21.9%55.7%-3.5%-0.2%614.8K-17.3M-215.6K0.356.935,4651,892173,64432,675
2017-08-31$7.07$7.0056.7%14.4%96.8%19.0%54.9%0.9%-0.6%870.8K-25.0M-241.6K0.2710.218,3672,284173,94032,878