AG Options History — March 2018

In March 2018, AG traded between $5.52 and $6.38. ATM implied volatility averaged 52.7%, placing in the 44.6% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 2.6% (HV 20d: 50.1%). Max pain ranged from $6.00 to $6.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2018-03-23: Highest Volume — 19,457 contracts
  • 2018-03-07: Largest IV spike — 8.3% change
  • 2018-03-07: Highest IV Rank — 66.8%
  • 2018-03-01: Largest Expected Move — 16.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.94$5.52$6.38$5.52$6.13
Max Pain$6.00$6.00$6.00$6.00$6.00
ATM IV52.7%47.9%58.8%57.2%51.1%
Expected Move14.9%13.1%16.9%16.9%13.1%
HV 20d50.1%40.1%61.2%60.4%44.0%
HV 60d56.9%52.5%60.7%59.0%52.5%
IV Rank44.6%27.1%66.8%60.8%39.0%
IV Percentile45.8%17.1%80.6%71.0%37.3%
Term Structure0.4%-6.7%5.3%-1.1%1.4%
VWIV52.7%46.2%59.3%59.3%46.2%
Skew 25d1.0%-5.5%12.6%12.6%-1.6%
Skew 10d1.6%-22.1%28.8%28.8%-1.5%
Call IV 25d52.0%44.1%61.3%47.3%50.6%
Put IV 25d53.1%47.2%59.9%59.8%49.0%
Bid-Ask Spread %8.975.9317.406.987.11
Gamma HHI0.130.110.170.120.17
Net GEX321.6K192.6K495.7K235.6K442.3K
Net DEX-14.9M-22.4M-7.9M-7.9M-17.7M
Net VEX-199.1K-227.0K-163.6K-169.2K-215.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.210.870.550.81
Total Volume9,355.7146,91419,45710,0546,914
Total OI170,741.238160,014181,521163,141181,521

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$5.52$6.0057.2%16.9%60.4%60.8%59.3%12.6%-1.1%235.6K-7.9M-169.2K0.556.986,5003,554131,91231,229
2018-03-02$5.54$6.0056.6%16.6%60.3%58.9%54.5%-5.5%-5.5%192.6K-8.9M-163.6K0.715.935,2223,716134,22031,240
2018-03-05$5.65$6.0056.9%15.9%56.1%59.6%57.1%5.6%1.6%218.3K-10.0M-175.1K0.6112.035,5983,388131,52528,489
2018-03-06$5.98$6.0054.3%16.2%59.2%50.4%56.9%4.3%2.5%288.0K-15.2M-199.8K0.348.528,0722,762132,84429,267
2018-03-07$5.72$6.0058.8%15.9%61.2%66.8%58.5%-4.3%-6.7%253.9K-11.6M-179.9K0.399.838,1003,189134,99729,454
2018-03-08$5.75$6.0055.4%15.7%60.0%54.3%57.0%4.6%0.7%253.9K-11.7M-182.7K0.7010.544,0912,865136,31930,337
2018-03-09$5.81$6.0054.3%15.0%59.9%50.3%54.4%-0.2%-1.5%271.0K-12.6M-185.4K0.669.825,2933,485136,53230,812
2018-03-12$5.97$6.0051.4%14.7%55.7%40.1%48.9%10.4%-0.6%290.9K-14.6M-189.2K0.609.255,4623,251136,63731,152
2018-03-13$6.06$6.0052.0%14.8%45.8%42.1%52.7%1.0%-1.4%312.5K-16.3M-198.7K0.317.3910,1413,124138,16731,841
2018-03-14$5.96$6.0051.1%14.1%46.3%38.8%52.5%-1.3%-1.8%306.7K-15.7M-199.3K0.557.247,2173,961141,13732,300
2018-03-15$5.88$6.0051.9%14.8%42.8%41.8%53.5%-3.6%-1.0%268.6K-14.3M-201.8K0.5017.405,3822,687143,11533,355
2018-03-16$5.95$6.0047.9%14.1%43.0%27.1%47.4%3.5%1.7%300.3K-14.6M-210.1K0.876.203,9133,394143,41333,689
2018-03-19$5.97$6.0050.1%14.2%40.9%35.2%50.9%1.5%4.3%302.3K-15.7M-210.8K0.747.984,4483,293135,77431,173
2018-03-20$5.77$6.0049.5%14.1%40.1%32.8%52.4%-3.3%5.3%248.9K-12.5M-195.2K0.667.164,5552,993136,21531,884
2018-03-21$6.15$6.0049.5%14.2%45.4%33.0%51.2%-0.2%4.1%351.8K-17.9M-212.8K0.498.546,4883,183137,58832,516
2018-03-22$6.17$6.0050.6%14.4%45.4%37.0%50.3%2.7%4.4%366.9K-19.0M-214.4K0.529.874,7072,454140,18432,661
2018-03-23$6.38$6.0051.6%15.0%46.4%40.7%52.2%-2.1%-1.6%424.9K-22.4M-224.2K0.218.3216,1123,345141,14632,689
2018-03-26$6.22$6.0050.2%14.5%47.8%35.6%50.1%-3.2%1.7%495.7K-20.8M-227.0K0.5411.666,1283,286146,14231,178
2018-03-27$6.16$6.0051.8%14.1%45.1%41.4%51.5%0.7%1.1%480.2K-18.5M-219.6K0.756.844,0873,050147,59132,228
2018-03-28$6.03$6.0054.5%14.2%45.6%51.0%49.9%0.1%1.3%448.4K-16.0M-205.8K0.739.714,0762,984148,47332,620
2018-03-29$6.13$6.0051.1%13.1%44.0%39.0%46.2%-1.6%1.4%442.3K-17.7M-215.8K0.817.113,8173,097148,48533,036