AG Options History — May 2018

In May 2018, AG traded between $6.51 and $7.38. ATM implied volatility averaged 42.2%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 7.9% (HV 20d: 34.3%). Max pain ranged from $6.50 to $7.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.76.

Notable Days

  • 2018-05-10: Highest Volume — 12,545 contracts
  • 2018-05-10: Largest IV drop — 15.8% change
  • 2018-05-01: Highest IV Rank — 32.7%
  • 2018-05-01: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.05$6.51$7.38$6.51$7.10
Max Pain$6.86$6.50$7.00$7.00$6.50
ATM IV42.2%37.3%47.9%47.9%41.6%
Expected Move12.3%10.7%15.3%15.3%11.7%
HV 20d34.3%28.5%36.9%31.7%28.5%
HV 60d39.2%34.3%45.2%44.6%34.3%
IV Rank14.0%0.0%32.7%32.7%16.5%
IV Percentile6.2%0.0%17.9%17.9%6.3%
Term Structure-0.2%-5.8%3.4%2.5%-3.4%
VWIV41.4%27.7%53.2%51.0%34.5%
Skew 25d-1.2%-8.7%4.6%-2.0%-2.4%
Skew 10d2.8%-10.6%12.5%2.0%-2.5%
Call IV 25d42.0%34.9%47.5%47.5%40.6%
Put IV 25d40.8%32.2%49.1%45.5%38.2%
Bid-Ask Spread %9.186.8516.317.688.48
Gamma HHI0.250.180.420.220.21
Net GEX726.6K461.5K1.3M538.9K461.5K
Net DEX-27.6M-33.4M-19.4M-19.4M-25.1M
Net VEX-251.6K-262.5K-238.0K-241.1K-238.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.381.170.580.71
Total Volume7,351.0915,03512,5459,7595,627
Total OI180,735.818167,457188,288181,841173,123

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-05-01$6.51$7.0047.9%15.3%31.7%32.7%51.0%-2.0%2.5%538.9K-19.4M-241.1K0.587.686,1783,581144,32637,515
2018-05-02$6.80$7.0046.7%15.1%34.8%27.5%53.2%4.6%0.4%669.0K-24.6M-252.3K0.438.396,6612,834144,79738,201
2018-05-03$6.78$7.0047.6%13.9%34.9%31.3%48.0%3.6%-0.2%680.3K-24.4M-248.1K0.8216.313,0452,487145,52738,525
2018-05-04$6.86$7.0046.7%12.9%34.8%27.6%45.0%2.8%-5.8%688.0K-25.5M-251.7K0.707.393,4792,444146,64838,693
2018-05-07$6.77$7.0046.1%13.3%35.1%25.0%45.7%1.6%0.2%687.3K-23.6M-249.3K0.997.832,5692,541145,83336,778
2018-05-08$6.86$7.0045.9%12.7%35.1%24.0%45.8%1.8%-1.4%733.7K-25.0M-253.7K1.0613.492,4462,589146,23737,242
2018-05-09$6.83$7.0046.7%13.3%32.2%27.6%46.2%2.9%0.2%754.6K-25.2M-248.5K1.0912.603,4393,760146,53137,204
2018-05-10$7.22$7.0039.3%11.8%36.9%0.0%41.1%-1.8%0.2%1.0M-33.4M-259.7K0.388.339,1013,444147,48637,576
2018-05-11$7.17$7.0039.1%11.3%36.8%0.0%38.4%-0.3%0.0%973.2K-33.3M-260.4K0.7612.384,1223,130149,42838,273
2018-05-14$7.11$7.0039.6%11.5%36.7%2.4%39.3%-7.2%0.9%1.1M-30.7M-256.6K0.507.816,0452,999148,38737,379
2018-05-15$7.02$7.0041.2%11.9%36.5%9.0%41.1%-8.7%-3.9%1.1M-27.2M-250.2K0.927.553,4583,196148,68237,880
2018-05-16$7.16$7.0040.7%11.7%36.3%6.9%40.5%-5.0%0.1%1.1M-30.8M-254.3K0.617.164,6302,843148,95638,099
2018-05-17$7.12$7.0040.6%11.6%36.3%6.4%40.9%-8.7%0.5%1.3M-30.1M-254.0K0.946.852,6392,474149,30738,400
2018-05-18$7.12$7.0040.5%11.3%35.6%6.1%39.6%-8.5%3.4%499.4K-32.8M-253.8K0.848.533,6583,085149,36038,928
2018-05-21$7.29$7.0037.3%10.7%33.4%0.0%40.4%4.1%3.4%531.5K-27.3M-254.3K0.979.534,4434,304134,86232,595
2018-05-22$7.31$7.0039.7%11.5%33.4%9.3%27.7%-1.3%2.0%526.6K-28.7M-259.9K0.548.396,4223,493137,04634,430
2018-05-23$7.26$6.5040.1%11.6%33.5%10.7%40.8%-2.2%1.1%543.0K-29.5M-260.4K0.808.233,6902,938139,79434,746
2018-05-24$7.38$6.5039.9%11.1%33.6%10.0%38.7%1.5%-0.9%623.8K-31.5M-262.5K0.428.206,6712,776140,72634,932
2018-05-25$7.18$6.5037.6%11.6%35.4%1.2%35.3%-0.9%-0.4%516.1K-27.9M-249.2K0.839.253,4702,869140,99035,119
2018-05-29$7.09$6.5040.8%12.8%31.8%13.4%42.5%0.2%0.8%481.3K-25.0M-238.0K1.179.032,9123,393139,60632,842
2018-05-30$7.15$6.5042.4%12.3%31.8%19.4%34.4%-0.5%-4.7%490.4K-25.8M-239.4K0.748.593,3612,478139,71333,466
2018-05-31$7.10$6.5041.6%11.7%28.5%16.5%34.5%-2.4%-3.4%461.5K-25.1M-238.1K0.718.483,2902,337139,51233,611