AG Options History — September 2018

In September 2018, AG traded between $5.28 and $5.87. ATM implied volatility averaged 51.6%, placing in the 58.2% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded below realized volatility by 6.9% (HV 20d: 58.5%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.64.

Notable Days

2018-09-25: Highest Volume — 8,190 contracts
2018-09-13: Largest IV drop — 7.3% change
2018-09-12: Highest IV Rank — 75.9%
2018-09-04: Largest Expected Move — 16.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.55	$5.28	$5.87	$5.30	$5.70
Max Pain	$5.89	$5.00	$6.00	$6.00	$5.50
ATM IV	51.6%	48.9%	56.5%	52.2%	50.2%
Expected Move	14.9%	13.9%	16.2%	16.2%	14.6%
HV 20d	58.5%	40.6%	79.3%	79.0%	40.6%
HV 60d	57.3%	55.8%	58.2%	58.0%	56.7%
IV Rank	58.2%	48.9%	75.9%	60.6%	53.3%
IV Percentile	69.3%	51.6%	91.3%	75.4%	63.1%
Term Structure	1.0%	-2.6%	4.6%	3.0%	-0.1%
VWIV	50.7%	35.3%	58.3%	58.3%	50.5%
Skew 25d	2.6%	-9.6%	19.4%	2.0%	0.8%
Skew 10d	5.3%	-13.9%	23.6%	-3.9%	8.2%
Call IV 25d	48.9%	37.1%	57.4%	51.4%	50.7%
Put IV 25d	51.5%	44.5%	58.1%	53.4%	51.5%
Bid-Ask Spread %	9.86	7.34	13.64	10.07	9.58
Gamma HHI	0.17	0.16	0.19	0.17	0.16
Net GEX	231.5K	120.5K	332.5K	152.1K	284.5K
Net DEX	-6.3M	-11.2M	-1.5M	-1.6M	-9.2M
Net VEX	-178.8K	-192.4K	-164.4K	-164.4K	-179.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.34	1.18	0.90	0.78
Total Volume	6,157.474	3,746	8,190	6,835	5,875
Total OI	209,666.579	204,564	213,143	204,564	213,071

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2018-09-04	$5.30	$6.00	52.2%	16.2%	79.0%	60.6%	58.3%	2.0%	3.0%	152.1K	-1.6M	-164.4K	0.90	10.07	3,602	3,233	159,941	44,623
2018-09-05	$5.28	$6.00	53.0%	15.9%	78.6%	63.5%	54.2%	-7.9%	2.0%	137.8K	-2.1M	-169.7K	0.60	10.76	2,336	1,410	161,293	45,606
2018-09-06	$5.32	$6.00	54.3%	15.3%	78.9%	68.0%	56.2%	-9.6%	0.8%	133.3K	-2.4M	-171.7K	0.38	8.83	3,555	1,350	161,628	45,711
2018-09-07	$5.46	$6.00	52.2%	15.0%	79.2%	60.5%	54.0%	5.8%	1.3%	193.9K	-4.4M	-181.0K	0.65	8.80	4,170	2,699	163,175	45,878
2018-09-10	$5.34	$6.00	54.5%	15.2%	79.3%	68.7%	53.9%	-6.6%	-0.5%	156.8K	-3.2M	-171.5K	0.63	9.29	2,995	1,885	162,918	44,611
2018-09-11	$5.28	$6.00	54.0%	15.4%	60.8%	67.0%	53.7%	4.5%	-0.2%	120.5K	-1.5M	-165.5K	0.98	9.40	2,778	2,716	163,647	44,712
2018-09-12	$5.62	$6.00	56.5%	15.5%	65.0%	75.9%	54.8%	-2.4%	-2.6%	214.7K	-7.6M	-189.7K	0.48	10.19	4,102	1,961	164,023	45,469
2018-09-13	$5.54	$6.00	52.4%	15.2%	54.4%	61.3%	42.4%	2.7%	0.0%	147.5K	-5.9M	-179.7K	0.52	13.41	2,841	1,489	164,207	45,628
2018-09-14	$5.48	$6.00	50.6%	15.2%	54.6%	54.7%	52.0%	-5.8%	4.6%	175.4K	-4.5M	-174.4K	0.55	11.86	2,986	1,645	164,976	45,673
2018-09-17	$5.69	$6.00	51.5%	14.7%	55.6%	58.0%	52.6%	19.4%	2.2%	249.0K	-7.5M	-181.8K	0.63	8.90	4,619	2,889	164,344	43,978
2018-09-18	$5.71	$6.00	50.8%	14.5%	54.0%	55.5%	52.2%	12.9%	-0.1%	255.4K	-9.2M	-189.6K	0.59	13.64	4,610	2,698	166,242	44,845
2018-09-19	$5.87	$6.00	51.1%	14.7%	54.5%	56.7%	50.4%	18.4%	0.8%	332.5K	-11.2M	-192.4K	0.34	9.46	5,050	1,715	166,245	45,305
2018-09-20	$5.74	$6.00	49.4%	14.0%	55.2%	50.4%	45.8%	13.8%	1.1%	283.1K	-9.0M	-188.5K	0.48	8.25	4,887	2,327	166,856	45,215
2018-09-21	$5.67	$6.00	49.3%	14.3%	50.4%	50.0%	49.7%	7.7%	-0.6%	327.1K	-8.8M	-189.4K	0.43	7.34	4,180	1,796	167,609	45,534
2018-09-24	$5.62	$6.00	49.1%	14.5%	46.9%	49.3%	50.8%	-1.5%	2.4%	311.6K	-7.5M	-173.3K	0.76	8.37	3,709	2,818	165,596	41,878
2018-09-25	$5.69	$6.00	50.2%	14.5%	41.8%	53.5%	35.3%	-0.8%	1.6%	323.8K	-8.6M	-183.7K	0.45	9.93	5,659	2,531	165,885	42,907
2018-09-26	$5.57	$5.50	49.1%	14.1%	41.0%	49.4%	47.3%	-1.9%	1.4%	309.7K	-8.2M	-177.4K	1.18	9.34	3,473	4,095	168,297	43,328
2018-09-27	$5.51	$5.00	48.9%	13.9%	41.1%	48.9%	49.7%	-2.3%	1.7%	290.9K	-6.7M	-172.6K	0.89	9.94	3,344	2,964	168,245	44,566
2018-09-28	$5.70	$5.50	50.2%	14.6%	40.6%	53.3%	50.5%	0.8%	-0.1%	284.5K	-9.2M	-179.9K	0.78	9.58	3,295	2,580	168,439	44,632