AG Options History — February 2018

In February 2018, AG traded between $5.13 and $6.04. ATM implied volatility averaged 58.9%, placing in the 66.5% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded below realized volatility by 1.7% (HV 20d: 60.5%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.50.

Notable Days

  • 2018-02-02: Highest Volume — 15,124 contracts
  • 2018-02-05: Largest IV spike — 8.5% change
  • 2018-02-09: Highest IV Rank — 83.1%
  • 2018-02-27: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.62$5.13$6.04$6.04$5.30
Max Pain$6.00$6.00$6.00$6.00$6.00
ATM IV58.9%53.6%63.3%54.9%56.2%
Expected Move16.7%14.3%18.2%14.3%16.1%
HV 20d60.5%51.7%69.2%51.7%58.3%
HV 60d55.9%52.2%58.4%52.3%58.3%
IV Rank66.5%45.7%83.1%50.1%57.3%
IV Percentile77.3%53.6%92.9%61.9%67.9%
Term Structure-0.3%-3.5%5.1%-3.1%0.4%
VWIV58.5%51.8%63.9%51.8%57.9%
Skew 25d-2.1%-12.2%6.7%0.2%-12.2%
Skew 10d-9.4%-27.8%16.5%-26.3%-13.9%
Call IV 25d60.2%55.1%64.5%55.1%59.3%
Put IV 25d58.1%47.1%71.2%55.3%47.1%
Bid-Ask Spread %10.386.9917.139.268.59
Gamma HHI0.130.110.140.140.12
Net GEX211.3K149.2K338.1K233.4K158.7K
Net DEX-5.2M-9.2M424.5K-4.1M-6.4M
Net VEX-171.2K-198.6K-151.6K-180.8K-162.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.290.740.530.74
Total Volume9,706.4746,65615,1249,8028,674
Total OI166,828.684155,959178,721163,174160,760

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-02-01$6.04$6.0054.9%14.3%51.7%50.1%51.8%0.2%-3.1%233.4K-4.1M-180.8K0.539.266,3863,416127,55435,620
2018-02-02$5.65$6.0053.6%15.2%55.7%45.7%54.9%-1.0%-2.5%176.6K-84.8K-160.8K0.509.5910,0935,031128,34336,680
2018-02-05$5.77$6.0058.2%17.0%56.8%62.0%58.8%-3.4%1.2%201.0K-2.8M-175.1K0.5217.136,3783,299129,82637,155
2018-02-06$5.68$6.0060.5%17.0%56.8%72.8%62.6%-8.3%-3.3%193.1K-3.1M-176.6K0.5816.666,8203,949131,63737,820
2018-02-07$5.50$6.0057.7%16.4%57.3%62.7%54.9%-3.2%-1.7%162.8K-1.2M-161.2K0.588.516,9053,976132,76538,097
2018-02-08$5.44$6.0060.3%16.4%56.4%72.2%58.5%-8.8%-2.1%175.6K-2.0M-167.9K0.536.996,8723,650134,22437,941
2018-02-09$5.13$6.0063.3%17.7%57.9%83.1%62.4%6.7%-2.0%149.2K424.5K-151.6K0.478.549,9944,657136,28937,404
2018-02-12$5.63$6.0062.2%17.7%69.2%79.0%60.9%-2.0%2.5%242.7K-4.2M-170.4K0.2911.818,8972,613135,93535,507
2018-02-13$5.69$6.0059.9%17.2%61.7%70.7%59.8%-1.3%-1.6%267.0K-5.6M-179.0K0.718.085,6164,004137,86035,753
2018-02-14$5.99$6.0058.4%16.7%65.7%65.2%60.9%-1.1%1.2%316.5K-9.1M-198.6K0.339.698,2112,703138,53737,761
2018-02-15$5.99$6.0057.9%16.5%64.5%63.5%57.1%3.7%2.2%338.1K-9.2M-197.9K0.3912.715,6552,221139,86938,321
2018-02-16$5.78$6.0059.0%16.7%65.3%67.5%58.8%0.5%5.1%243.2K-5.6M-183.0K0.3612.876,6542,378140,37738,344
2018-02-20$5.55$6.0058.3%17.1%65.5%64.7%63.9%-1.9%1.3%209.1K-7.6M-166.4K0.427.535,0942,148128,65429,078
2018-02-21$5.49$6.0061.7%16.9%65.2%77.2%58.7%-2.6%-3.1%200.1K-7.4M-164.2K0.4611.624,5692,087129,25629,260
2018-02-22$5.53$6.0058.7%16.6%65.1%66.5%57.0%1.7%2.3%197.5K-7.9M-165.8K0.4811.435,3762,583129,93429,302
2018-02-23$5.56$6.0059.1%16.8%58.8%67.8%55.9%-0.3%2.2%188.3K-8.1M-166.1K0.538.494,8822,594130,51329,834
2018-02-26$5.60$6.0060.3%17.4%58.9%72.1%57.5%-0.8%-3.5%190.0K-8.2M-165.8K0.609.164,4452,675126,83229,127
2018-02-27$5.38$6.0057.7%18.2%59.6%62.8%60.2%-6.4%-1.0%171.2K-6.2M-159.0K0.458.556,1362,782127,98929,587
2018-02-28$5.30$6.0056.2%16.1%58.3%57.3%57.9%-12.2%0.4%158.7K-6.4M-162.7K0.748.594,9943,680130,70030,060