AG Options History — November 2018

In November 2018, AG traded between $4.79 and $5.90. ATM implied volatility averaged 53.3%, placing in the 64.4% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 2.2% (HV 20d: 51.2%). Max pain ranged from $5.00 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 0.62.

Notable Days

  • 2018-11-14: Highest Volume — 11,648 contracts
  • 2018-11-07: Largest IV drop — 13.9% change
  • 2018-11-01: Highest IV Rank — 83.9%
  • 2018-11-01: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.30$4.79$5.90$5.78$4.79
Max Pain$5.79$5.00$6.00$6.00$5.00
ATM IV53.3%47.7%58.8%58.8%54.2%
Expected Move15.7%13.7%18.2%18.2%16.6%
HV 20d51.2%38.3%61.6%47.2%59.1%
HV 60d49.0%44.6%57.1%57.1%48.9%
IV Rank64.4%44.6%83.9%83.9%67.5%
IV Percentile74.5%44.8%94.8%94.8%78.6%
Term Structure0.4%-4.1%3.8%-1.2%3.8%
VWIV54.5%47.4%63.4%63.4%57.4%
Skew 25d-0.9%-13.3%8.6%5.8%-6.6%
Skew 10d-4.2%-32.5%23.8%11.6%-31.5%
Call IV 25d53.7%49.0%59.3%52.7%54.1%
Put IV 25d52.8%44.5%58.5%58.5%47.5%
Bid-Ask Spread %12.068.6415.3510.4011.26
Gamma HHI0.180.160.210.180.20
Net GEX191.7K84.2K333.8K301.7K114.0K
Net DEX-2.8M-9.7M2.3M-9.1M1.9M
Net VEX-153.4K-186.8K-126.1K-180.7K-132.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.200.960.940.66
Total Volume6,947.0954,95711,6487,1537,056
Total OI203,554.143198,591211,147199,029205,270

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-11-01$5.78$6.0058.8%18.2%47.2%83.9%63.4%5.8%-1.2%301.7K-9.1M-180.7K0.9410.403,6893,464156,57642,453
2018-11-02$5.90$6.0053.4%17.5%47.7%64.7%62.2%8.6%1.7%316.6K-9.7M-185.5K0.6311.073,9252,487156,89944,003
2018-11-05$5.87$6.0056.6%15.3%47.5%76.0%53.3%-2.3%1.2%333.8K-9.5M-186.8K0.6715.354,0162,684155,86943,536
2018-11-06$5.74$6.0055.4%16.2%48.2%71.9%58.1%-3.4%2.2%271.9K-7.1M-177.7K0.5515.134,4382,437156,38444,114
2018-11-07$5.48$6.0047.7%13.7%50.9%44.6%49.0%-6.4%2.0%175.0K-2.0M-152.8K0.789.454,3673,426156,97444,433
2018-11-08$5.52$6.0048.1%14.5%38.3%46.0%49.6%-3.6%1.6%164.3K-3.5M-162.9K0.8112.663,8633,118157,34745,478
2018-11-09$5.41$6.0049.6%14.3%38.6%51.1%47.4%-1.5%0.8%140.8K-2.1M-155.6K0.7313.274,2503,102157,59245,524
2018-11-12$5.11$6.0051.5%14.5%40.5%58.0%50.0%-2.5%-1.7%98.9K129.8K-143.5K0.6314.953,6732,307156,16344,310
2018-11-13$4.90$6.0051.7%15.1%42.0%58.8%52.5%-5.0%2.4%84.2K2.3M-132.6K0.448.645,5602,465157,51644,644
2018-11-14$5.22$6.0053.6%16.2%49.8%65.3%53.0%2.0%-0.2%154.8K-1.5M-148.8K0.239.329,4502,198160,13044,831
2018-11-15$5.35$6.0052.5%15.3%50.9%61.5%53.3%6.0%-0.7%214.0K-3.7M-156.8K0.6711.772,9611,996165,96244,890
2018-11-16$5.41$6.0052.4%15.5%51.4%61.1%51.3%-1.2%2.3%238.7K-4.2M-161.3K0.6712.673,3952,269166,13245,015
2018-11-19$5.26$6.0052.0%14.6%51.7%59.8%54.1%-13.3%2.2%206.3K-3.1M-153.1K0.968.992,6592,552162,83443,113
2018-11-20$5.29$6.0054.0%15.6%52.0%67.0%53.6%4.4%-4.1%219.2K-2.7M-150.8K0.6214.313,1901,982163,13042,586
2018-11-21$5.56$5.5053.1%15.2%55.7%63.8%53.1%3.0%-2.0%312.5K-6.7M-164.4K0.5510.293,6852,027163,09042,760
2018-11-23$5.09$5.5057.1%16.6%59.2%77.9%56.8%0.7%-2.0%154.0K-1.0M-144.3K0.2012.469,6591,966163,72343,164
2018-11-26$4.89$5.5055.9%16.5%60.3%73.6%59.1%-3.1%0.2%130.0K586.9K-133.4K0.3811.714,6801,768155,49743,094
2018-11-27$4.79$5.5051.5%16.5%60.4%58.1%56.2%-8.4%3.1%115.7K1.9M-126.1K0.5512.424,9062,680157,39743,888
2018-11-28$4.95$5.5054.9%16.5%61.6%69.9%54.8%3.5%-1.3%136.9K371.2K-137.0K0.5113.373,8701,988158,87444,753
2018-11-29$4.90$5.0055.5%16.1%61.3%72.3%55.4%4.6%-1.7%142.0K775.6K-133.7K0.8913.783,0092,672159,85944,830
2018-11-30$4.79$5.0054.2%16.6%59.1%67.5%57.4%-6.6%3.8%114.0K1.9M-132.6K0.6611.264,2442,812159,99845,272