AG Options History — November 2017

In November 2017, AG traded between $6.46 and $7.04. ATM implied volatility averaged 46.2%, placing in the 3.6% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 3.4% (HV 20d: 42.7%). Max pain ranged from $7.00 to $7.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.61.

Notable Days

  • 2017-11-08: Highest Volume — 8,130 contracts
  • 2017-11-30: Largest IV drop — 11.1% change
  • 2017-11-14: Highest IV Rank — 11.0%
  • 2017-11-01: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.71$6.46$7.04$6.85$6.68
Max Pain$7.00$7.00$7.00$7.00$7.00
ATM IV46.2%41.3%49.7%48.4%41.3%
Expected Move13.4%11.7%14.6%14.6%12.1%
HV 20d42.7%31.6%47.3%31.6%44.0%
HV 60d43.0%38.3%44.9%44.6%38.4%
IV Rank3.6%0.0%11.0%2.4%0.0%
IV Percentile1.6%0.0%7.9%2.0%0.0%
Term Structure0.6%-4.4%5.2%0.5%2.3%
VWIV46.0%36.5%52.0%51.3%43.1%
Skew 25d1.5%-3.1%8.1%1.6%-0.7%
Skew 10d3.7%-21.5%18.2%0.1%5.3%
Call IV 25d44.6%39.5%52.8%47.4%42.5%
Put IV 25d46.1%41.9%50.0%49.0%41.9%
Bid-Ask Spread %8.497.1711.928.097.73
Gamma HHI0.160.120.190.150.19
Net GEX253.2K143.2K387.1K338.0K243.2K
Net DEX-12.5M-17.2M-9.0M-15.0M-12.2M
Net VEX-163.8K-181.4K-152.8K-179.3K-156.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.610.310.960.950.96
Total Volume5,672.2864,1798,1304,6404,793
Total OI165,978.619162,291170,256163,141170,256

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$6.85$7.0048.4%14.6%31.6%2.4%51.3%1.6%0.5%338.0K-15.0M-179.3K0.958.092,3842,256133,89529,246
2017-11-02$6.92$7.0047.9%14.3%31.9%1.3%47.4%4.2%1.0%387.1K-15.6M-180.5K0.7510.923,0792,300134,50929,568
2017-11-03$6.46$7.0048.6%13.7%34.9%2.8%50.7%-2.3%0.3%202.0K-9.0M-155.9K0.499.824,2232,060135,22629,937
2017-11-06$6.82$7.0047.2%13.7%40.8%0.0%47.2%2.3%0.6%255.0K-13.7M-174.1K0.457.944,9782,234132,87129,420
2017-11-07$6.78$7.0045.0%13.9%40.3%0.0%47.7%4.3%3.2%282.9K-12.9M-167.7K0.667.842,8331,873134,68629,381
2017-11-08$7.04$7.0046.6%14.1%42.7%3.7%48.2%-0.0%2.5%373.8K-17.2M-181.4K0.367.665,9672,163135,14029,582
2017-11-09$6.81$7.0047.7%13.9%44.0%6.2%46.7%0.9%-0.2%337.3K-13.8M-174.7K0.7511.922,9712,240135,08129,508
2017-11-10$6.64$7.0045.9%14.2%44.6%2.1%49.3%0.5%5.2%238.8K-11.3M-162.1K0.517.833,5691,803135,84130,032
2017-11-13$6.58$7.0049.2%14.4%44.2%9.9%52.0%-3.1%-2.6%212.9K-10.7M-159.9K0.3110.765,6151,733135,15429,553
2017-11-14$6.46$7.0049.7%14.4%44.3%11.0%49.9%5.4%-0.1%143.2K-9.5M-156.6K0.497.794,5542,229136,11229,892
2017-11-15$6.56$7.0046.1%13.2%44.6%2.5%48.6%6.5%3.3%172.1K-10.4M-157.2K0.468.043,5461,622136,94530,534
2017-11-16$6.56$7.0045.4%13.0%44.2%1.0%46.9%8.1%0.4%144.5K-10.2M-156.3K0.508.793,1131,551137,14830,410
2017-11-17$6.79$7.0046.4%13.3%46.2%3.2%36.5%-3.1%-1.1%259.6K-13.0M-165.1K0.417.174,5541,852137,92431,939
2017-11-20$6.67$7.0045.8%13.3%46.5%1.9%46.3%0.6%2.2%220.3K-11.5M-156.1K0.347.374,8351,634134,29028,675
2017-11-21$6.72$7.0045.6%12.7%46.5%1.4%43.7%5.6%-1.7%246.4K-13.1M-159.6K0.847.332,2741,905136,04128,848
2017-11-22$6.88$7.0042.1%11.7%47.3%0.0%40.6%2.3%1.7%299.6K-14.6M-164.7K0.598.293,3921,992136,58129,517
2017-11-24$6.72$7.0043.9%12.2%45.4%3.9%44.1%-0.8%-1.5%271.7K-13.1M-161.1K0.728.183,5622,579137,44629,825
2017-11-27$6.67$7.0045.4%12.6%45.1%7.2%41.3%0.9%1.7%235.3K-12.1M-157.6K0.747.873,0802,278137,46629,602
2017-11-28$6.66$7.0044.9%12.7%44.4%6.2%40.7%0.8%-0.4%244.0K-12.8M-160.9K0.837.462,4932,070138,50129,797
2017-11-29$6.59$7.0046.5%12.9%44.1%9.6%44.0%-2.4%-4.4%209.5K-10.8M-152.8K0.669.422,9761,953139,32729,845
2017-11-30$6.68$7.0041.3%12.1%44.0%0.0%43.1%-0.7%2.3%243.2K-12.2M-156.9K0.967.732,4452,348140,38129,875