AG Options History — October 2017

In October 2017, AG traded between $6.61 and $7.42. ATM implied volatility averaged 51.6%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 17.4% (HV 20d: 34.2%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.59.

Notable Days

  • 2017-10-03: Highest Volume — 8,624 contracts
  • 2017-10-27: Largest IV spike — 6.6% change
  • 2017-10-19: Highest IV Rank — 14.9%
  • 2017-10-31: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.02$6.61$7.42$6.90$6.75
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV51.6%47.3%54.8%50.4%53.5%
Expected Move15.3%14.1%16.3%14.5%16.3%
HV 20d34.2%27.6%43.3%43.3%32.3%
HV 60d62.2%44.5%65.5%65.5%44.5%
IV Rank8.0%0.0%14.9%5.2%13.3%
IV Percentile14.5%0.0%33.7%5.2%29.0%
Term Structure0.6%-4.5%5.1%3.1%1.3%
VWIV52.6%47.8%55.5%51.0%55.2%
Skew 25d2.5%-2.7%10.1%2.2%6.1%
Skew 10d5.8%-11.9%27.0%4.9%-7.5%
Call IV 25d50.3%42.6%55.4%50.6%47.3%
Put IV 25d52.7%45.5%56.7%52.8%53.5%
Bid-Ask Spread %9.726.0516.878.596.28
Gamma HHI0.130.130.150.130.15
Net GEX377.9K201.4K500.7K353.9K301.5K
Net DEX-17.8M-25.2M-11.1M-16.3M-13.0M
Net VEX-193.6K-215.7K-167.2K-197.7K-174.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.360.960.360.96
Total Volume6,060.6823,8678,6247,7114,878
Total OI175,066.318158,731183,203180,849162,239

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$6.90$7.0050.4%14.5%43.3%5.2%51.0%2.2%3.1%353.9K-16.3M-197.7K0.368.595,6502,061147,37233,477
2017-10-03$6.84$7.0050.6%14.1%39.4%5.7%48.8%0.5%3.8%333.9K-15.0M-196.6K0.386.916,2692,355148,17033,888
2017-10-04$7.00$7.0050.0%14.1%40.3%4.3%47.8%3.2%3.4%391.7K-17.8M-202.9K0.4010.125,5722,222147,90634,309
2017-10-05$7.00$7.0049.6%15.7%39.0%3.4%54.2%1.3%0.8%425.3K-18.2M-205.9K0.459.355,2342,353149,12234,081
2017-10-06$7.35$7.0050.7%15.8%40.0%5.7%53.6%7.8%2.7%466.9K-24.1M-215.1K0.4912.585,0132,446149,26933,874
2017-10-09$7.42$7.0052.1%15.5%38.5%8.9%54.1%4.6%2.0%500.7K-25.2M-215.7K0.6412.243,1582,012147,78832,964
2017-10-10$7.27$7.0052.5%15.6%36.9%9.7%54.7%0.1%1.3%484.9K-23.1M-213.7K0.5312.864,7242,482148,27433,053
2017-10-11$7.33$7.0052.4%15.1%34.7%9.4%52.4%2.6%1.2%493.7K-23.3M-208.9K0.507.483,5541,789147,73233,447
2017-10-12$7.24$7.0052.2%15.8%34.9%9.1%51.7%3.6%3.0%465.6K-21.4M-204.7K0.486.113,5221,691148,07133,423
2017-10-13$7.28$7.0054.0%15.4%34.4%13.0%54.0%3.1%-2.2%479.4K-22.9M-210.5K0.5512.793,3471,853148,38433,549
2017-10-16$7.13$7.0053.1%15.3%34.1%11.1%54.2%-1.5%-2.1%432.2K-20.3M-202.9K0.776.052,8522,204147,40032,356
2017-10-17$7.01$7.0052.5%15.0%33.3%9.7%52.6%1.8%-2.5%401.4K-17.3M-188.9K0.7813.483,2562,543147,63732,599
2017-10-18$6.92$7.0053.3%15.3%32.3%11.4%52.5%1.7%-2.8%368.4K-14.7M-183.3K0.6016.873,4082,054147,51533,127
2017-10-19$7.02$7.0054.8%15.9%32.7%14.9%55.0%-0.1%-4.5%407.8K-17.8M-189.6K0.738.722,8782,108148,50332,356
2017-10-20$7.01$7.0051.8%14.8%29.3%8.2%50.6%10.1%-0.7%310.9K-16.8M-186.7K0.5812.074,6952,715148,82832,448
2017-10-23$7.03$7.0051.3%14.7%28.0%7.0%50.4%7.1%0.8%288.0K-16.1M-185.0K0.437.073,7251,609131,20127,530
2017-10-24$6.94$7.0049.5%14.5%27.7%3.0%51.9%0.7%0.7%302.8K-14.9M-177.5K0.468.373,7521,728133,08227,925
2017-10-25$6.90$7.0050.1%15.4%27.6%4.5%52.7%1.5%0.1%304.6K-15.2M-182.8K0.709.052,2731,594133,49428,121
2017-10-26$6.61$7.0047.3%15.5%30.7%0.0%52.5%-2.7%5.1%201.4K-11.1M-167.2K0.9310.243,1652,931133,79528,403
2017-10-27$6.72$7.0050.5%15.2%30.9%6.8%51.8%0.0%1.9%279.9K-11.8M-168.9K0.659.514,0922,662134,73529,241
2017-10-30$6.87$7.0053.1%16.1%31.9%12.4%55.5%0.2%-2.4%319.4K-15.0M-181.1K0.587.073,1131,793132,42528,346
2017-10-31$6.75$7.0053.5%16.3%32.3%13.3%55.2%6.1%1.3%301.5K-13.0M-174.4K0.966.282,4912,387133,64228,597