AG Options History — December 2017

In December 2017, AG traded between $6.28 and $7.81. ATM implied volatility averaged 43.1%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 12.5%. IV traded below realized volatility by 1.7% (HV 20d: 44.9%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.67.

Notable Days

  • 2017-12-22: Highest Volume — 18,536 contracts
  • 2017-12-11: Largest IV spike — 10.9% change
  • 2017-12-28: Highest IV Rank — 16.1%
  • 2017-12-08: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.98$6.28$7.81$6.74$6.74
Max Pain$6.05$6.00$7.00$7.00$6.00
ATM IV43.1%40.4%47.0%42.9%44.1%
Expected Move12.5%11.7%13.6%11.9%12.1%
HV 20d44.9%28.6%60.8%44.0%60.8%
HV 60d40.7%35.6%46.3%38.0%46.2%
IV Rank5.6%0.0%16.1%3.4%10.4%
IV Percentile3.3%0.0%11.1%0.8%7.1%
Term Structure1.7%-2.2%4.3%2.8%1.4%
VWIV43.9%41.0%47.8%42.9%42.6%
Skew 25d-0.3%-9.6%5.2%3.3%-0.1%
Skew 10d-1.5%-20.2%24.4%8.2%-12.9%
Call IV 25d42.3%36.9%48.1%40.4%45.2%
Put IV 25d42.0%36.5%46.3%43.7%45.2%
Bid-Ask Spread %6.624.398.997.806.05
Gamma HHI0.230.170.300.190.27
Net GEX422.3K202.5K606.8K311.1K427.5K
Net DEX-18.3M-32.3M-7.0M-14.0M-14.4M
Net VEX-168.2K-190.9K-138.6K-160.6K-170.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.141.191.070.53
Total Volume7,771.54,80318,5364,8039,210
Total OI175,874.8168,912190,313170,674190,313

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-12-01$6.74$7.0042.9%11.9%44.0%3.4%42.9%3.3%2.8%311.1K-14.0M-160.6K1.077.802,3172,486140,56530,109
2017-12-04$6.63$6.0042.5%13.0%36.7%2.6%44.8%0.6%2.3%273.4K-11.7M-153.4K1.196.832,3772,834140,01928,893
2017-12-05$6.55$6.0042.5%12.8%31.1%2.6%44.2%-2.1%2.0%228.2K-10.0M-148.3K0.944.652,5802,428140,46829,761
2017-12-06$6.44$6.0042.1%12.7%31.5%1.7%45.2%5.2%2.4%211.7K-9.1M-146.9K1.175.812,3632,755140,95929,645
2017-12-07$6.28$6.0041.8%12.9%28.6%1.0%47.8%-5.1%0.6%202.5K-7.0M-138.6K0.346.039,0903,056141,52129,623
2017-12-08$6.50$6.0042.4%13.6%30.1%2.4%45.8%3.4%1.5%334.4K-10.8M-152.1K1.117.853,3573,718146,44529,055
2017-12-11$6.65$6.0047.0%13.2%30.0%12.3%46.0%2.4%-2.2%345.1K-12.4M-157.3K0.626.643,5942,223145,18729,265
2017-12-12$6.63$6.0043.7%12.2%29.9%5.0%41.3%0.5%-0.0%365.5K-12.2M-153.5K0.635.733,6612,305146,01029,291
2017-12-13$7.37$6.0044.9%13.5%47.1%7.7%47.0%-0.2%3.1%532.3K-26.1M-178.6K0.144.4715,3292,123146,67429,561
2017-12-14$7.26$6.0043.6%12.4%47.6%6.3%42.8%-0.1%-0.7%483.1K-23.5M-176.9K0.584.394,3242,517145,02929,384
2017-12-15$7.26$6.0042.6%12.2%47.6%3.6%42.1%-1.6%0.7%515.5K-23.8M-175.2K0.536.464,0862,145145,93629,595
2017-12-18$7.56$6.0040.4%11.7%48.1%0.0%41.2%4.9%4.3%517.6K-26.9M-185.0K0.475.964,6262,162143,68027,155
2017-12-19$7.65$6.0042.0%12.1%47.4%4.4%41.8%0.9%0.8%567.5K-29.2M-187.4K0.718.883,3562,374145,15727,609
2017-12-20$7.81$6.0040.6%11.7%47.6%0.7%41.0%-3.3%3.7%578.5K-32.3M-190.9K0.517.454,2672,194145,82427,782
2017-12-21$7.65$6.0042.1%11.9%48.2%4.9%41.1%-2.9%2.5%606.8K-30.5M-188.7K0.597.593,0591,817147,18028,009
2017-12-22$6.93$6.0042.5%12.0%60.1%5.8%43.4%1.1%1.8%433.8K-16.8M-162.3K0.495.7812,4796,057148,01728,253
2017-12-26$7.03$6.0044.6%13.0%60.2%11.6%46.7%0.3%1.9%510.3K-19.8M-179.1K0.466.065,6082,588153,09029,793
2017-12-27$6.98$6.0043.8%12.3%60.3%9.3%44.5%-3.3%3.6%517.1K-19.2M-180.0K0.718.913,4872,469155,11930,574
2017-12-28$6.87$6.0046.2%13.0%60.5%16.1%45.8%-9.6%0.7%484.2K-17.1M-178.6K0.538.995,2422,767155,78231,164
2017-12-29$6.74$6.0044.1%12.1%60.8%10.4%42.6%-0.1%1.4%427.5K-14.4M-170.9K0.536.056,0203,190158,29032,023