AG Options History — January 2018

In January 2018, AG traded between $6.06 and $7.34. ATM implied volatility averaged 49.6%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded below realized volatility by 10.0% (HV 20d: 59.6%). Max pain ranged from $6.00 to $7.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2018-01-17: Highest Volume — 24,218 contracts
  • 2018-01-12: Largest IV spike — 7.3% change
  • 2018-01-31: Highest IV Rank — 51.6%
  • 2018-01-17: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.84$6.06$7.34$7.21$6.13
Max Pain$6.90$6.00$7.00$6.00$7.00
ATM IV49.6%45.7%55.3%47.6%55.3%
Expected Move13.9%12.3%15.4%12.3%13.8%
HV 20d59.6%46.9%65.7%65.2%52.1%
HV 60d50.1%47.3%54.1%48.3%54.1%
IV Rank29.8%14.8%51.6%20.0%51.6%
IV Percentile26.6%10.3%63.1%14.3%63.1%
Term Structure0.7%-2.4%4.3%0.4%2.0%
VWIV48.4%36.3%53.7%43.5%36.3%
Skew 25d-0.1%-6.6%12.0%0.8%1.8%
Skew 10d3.1%-28.5%29.8%24.5%-1.3%
Call IV 25d49.6%42.7%57.8%46.4%52.2%
Put IV 25d49.6%43.3%56.5%47.2%54.1%
Bid-Ask Spread %9.285.0914.706.056.88
Gamma HHI0.220.120.410.230.15
Net GEX485.3K179.5K895.9K527.0K206.9K
Net DEX-16.3M-28.9M-5.1M-23.4M-6.2M
Net VEX-185.4K-201.7K-169.9K-187.5K-179.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.121.080.420.54
Total Volume11,921.6677,09824,2188,21322,354
Total OI174,790.762124,892213,465190,095149,141

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$7.21$6.0047.6%12.3%65.2%20.0%43.5%0.8%0.4%527.0K-23.4M-187.5K0.426.055,7662,447158,46831,627
2018-01-03$7.02$6.0046.7%12.8%65.7%17.3%45.3%-0.0%0.5%517.2K-20.4M-181.6K0.496.024,9112,410159,99731,774
2018-01-04$7.03$7.0047.7%13.8%65.5%20.4%51.0%-1.3%-0.2%505.6K-20.1M-184.3K0.3612.485,2331,865161,10032,383
2018-01-05$6.96$7.0045.7%14.0%65.3%14.8%50.1%-2.6%0.8%534.3K-18.0M-180.7K0.4914.706,3883,128161,50432,572
2018-01-08$6.91$7.0048.4%13.8%64.5%22.6%47.7%-2.8%1.5%544.9K-17.8M-173.4K0.3410.795,9061,983160,93231,172
2018-01-09$6.77$7.0048.5%13.9%64.1%22.7%48.0%-3.8%-1.9%508.5K-14.9M-169.9K0.4013.235,3292,134161,99931,717
2018-01-10$6.88$7.0046.9%13.8%63.9%19.4%48.9%4.3%2.5%574.7K-16.8M-172.2K0.3513.505,4911,937163,13932,474
2018-01-11$6.98$7.0046.0%13.1%64.0%16.9%47.2%-6.6%0.3%675.8K-18.3M-173.4K0.407.765,5522,209163,83232,640
2018-01-12$6.79$7.0049.4%14.1%51.8%27.9%49.7%-1.4%0.1%511.1K-14.8M-177.2K0.4413.108,9093,946164,36332,838
2018-01-16$7.34$7.0051.9%14.9%59.2%37.4%51.4%12.0%-1.8%694.4K-28.9M-198.5K0.206.2416,6853,281167,27533,407
2018-01-17$7.24$7.0053.9%15.4%59.4%44.4%52.8%8.2%-2.3%749.7K-27.4M-201.7K0.126.4921,6842,534171,29333,427
2018-01-18$6.93$7.0051.1%14.6%59.3%35.9%53.6%-4.4%1.0%895.9K-19.0M-191.8K0.237.9211,3342,631177,96733,690
2018-01-19$6.87$7.0049.9%13.9%59.0%31.8%48.8%0.1%3.5%370.1K-15.8M-190.8K0.475.096,3673,012179,84533,620
2018-01-22$6.99$7.0048.7%12.8%58.8%28.8%46.7%-2.0%1.5%423.9K-14.9M-193.1K0.269.065,6861,465101,64923,243
2018-01-23$7.02$7.0050.3%13.9%58.6%34.3%47.3%3.3%1.1%483.2K-15.6M-191.1K0.237.686,2491,420103,78323,490
2018-01-24$7.10$7.0049.4%14.1%46.9%31.0%50.7%-1.8%0.2%536.0K-17.5M-200.9K0.2813.2010,9603,042105,79823,996
2018-01-25$6.50$7.0048.5%13.4%56.3%28.1%47.9%-1.5%4.3%273.0K-9.4M-183.6K0.3410.4614,8275,007110,23224,817
2018-01-26$6.51$7.0049.7%13.2%56.3%32.0%45.9%0.0%2.2%284.0K-9.6M-193.5K1.089.427,9618,564114,79327,240
2018-01-29$6.32$7.0051.6%14.8%56.9%38.6%49.5%-0.3%1.1%195.5K-7.7M-188.4K0.446.836,3522,768112,93629,307
2018-01-30$6.06$7.0054.6%15.1%58.3%49.1%53.7%-3.4%-2.4%179.5K-5.1M-180.1K0.328.018,0792,549114,79930,327
2018-01-31$6.13$7.0055.3%13.8%52.1%51.6%36.3%1.8%2.0%206.9K-6.2M-179.6K0.546.8814,4887,866118,24830,893