AG Options History — September 2017

In September 2017, AG traded between $6.85 and $7.52. ATM implied volatility averaged 54.6%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 0.8% (HV 20d: 53.8%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.34.

Notable Days

  • 2017-09-05: Highest Volume — 11,633 contracts
  • 2017-09-06: Largest IV drop — 8.5% change
  • 2017-09-05: Highest IV Rank — 27.6%
  • 2017-09-06: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.11$6.85$7.52$7.10$6.85
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV54.6%50.4%60.6%57.6%50.4%
Expected Move15.5%14.1%16.9%14.8%14.9%
HV 20d53.8%43.2%57.6%56.5%43.2%
HV 60d66.8%65.7%67.7%66.3%65.7%
IV Rank14.4%5.0%27.6%20.9%5.0%
IV Percentile21.8%4.8%41.3%31.0%4.8%
Term Structure0.8%-1.8%4.8%-0.1%0.4%
VWIV54.1%48.1%59.6%54.6%50.0%
Skew 25d1.1%-2.6%5.5%5.5%1.7%
Skew 10d-1.3%-31.6%25.0%-2.8%4.5%
Call IV 25d54.0%49.0%62.4%52.6%49.0%
Put IV 25d55.1%49.3%63.8%58.0%50.8%
Bid-Ask Spread %9.356.0513.4112.158.32
Gamma HHI0.190.120.410.300.13
Net GEX625.2K347.1K1.3M870.9K347.1K
Net DEX-23.7M-35.3M-16.5M-26.9M-16.5M
Net VEX-229.4K-260.7K-201.2K-243.5K-201.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.220.550.280.37
Total Volume9,562.87,32111,6337,3219,400
Total OI194,534.3177,497212,939207,744183,661

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-09-01$7.10$7.0057.6%14.8%56.5%20.9%54.6%5.5%-0.1%870.9K-26.9M-243.5K0.2812.155,7341,587174,71133,033
2017-09-05$7.44$7.0060.6%16.6%57.2%27.6%58.5%3.5%-0.7%1.2M-34.1M-257.6K0.277.859,1512,482170,98232,005
2017-09-06$7.33$7.0055.5%16.9%57.6%16.3%58.1%4.3%4.8%1.1M-32.5M-253.6K0.387.417,6552,928172,69532,792
2017-09-07$7.52$7.0059.4%16.0%57.4%24.9%59.6%-1.0%1.4%1.3M-35.3M-260.7K0.3310.207,6652,522173,56933,835
2017-09-08$7.19$7.0056.9%16.3%54.3%19.5%57.7%-1.3%2.2%899.1K-28.6M-244.5K0.3510.087,3622,599174,48334,135
2017-09-11$6.99$7.0057.8%16.5%54.1%21.3%58.3%0.6%1.9%603.6K-22.1M-232.2K0.3313.417,1382,332174,21833,679
2017-09-12$7.27$7.0057.3%16.8%53.3%20.2%57.2%-2.6%0.6%800.4K-26.5M-241.2K0.3110.147,4422,321174,42134,085
2017-09-13$7.03$7.0054.5%16.1%54.9%14.1%55.7%1.6%3.3%510.0K-22.2M-232.1K0.376.596,5312,395175,45334,229
2017-09-14$7.12$7.0054.8%15.8%53.0%14.8%55.1%0.6%1.4%514.2K-23.4M-234.8K0.3210.448,7662,779176,25534,801
2017-09-15$7.02$7.0054.8%15.7%53.4%14.9%55.9%-1.7%0.5%562.5K-22.7M-222.3K0.3411.207,6282,566177,74635,193
2017-09-18$6.85$7.0053.4%15.2%53.8%11.8%53.0%2.7%-0.8%399.5K-17.8M-210.1K0.557.606,6903,709146,06032,523
2017-09-19$7.04$7.0052.0%14.9%54.4%8.8%52.0%1.5%0.2%446.1K-21.1M-221.1K0.398.085,9492,324147,30833,250
2017-09-20$6.86$7.0053.3%15.3%54.8%11.5%53.8%2.8%-1.8%427.0K-18.3M-212.0K0.2611.587,4201,946147,84633,385
2017-09-21$6.86$7.0051.5%14.6%54.7%7.5%49.2%-2.2%3.8%409.5K-17.6M-212.3K0.356.056,2992,223147,93733,504
2017-09-22$7.14$7.0051.0%14.6%56.2%6.4%48.1%0.5%-1.3%397.1K-21.5M-221.8K0.407.635,6642,260147,49933,981
2017-09-25$7.30$7.0054.5%15.1%56.5%14.1%52.3%2.6%-0.2%427.1K-23.0M-229.6K0.2212.608,7281,924144,26933,228
2017-09-26$7.17$7.0053.7%15.0%50.9%12.3%51.1%1.1%-0.2%454.3K-22.8M-227.9K0.289.357,1922,018147,70533,153
2017-09-27$7.11$7.0052.2%14.6%50.6%9.2%52.3%1.3%0.5%447.5K-21.4M-218.0K0.237.907,3271,667148,24833,271
2017-09-28$6.97$7.0051.0%14.1%49.1%6.4%49.6%1.0%-0.5%431.3K-18.9M-210.5K0.418.436,3282,605148,42033,118
2017-09-29$6.85$7.0050.4%14.9%43.2%5.0%50.0%1.7%0.4%347.1K-16.5M-201.2K0.378.326,8712,529149,52634,135