AG Options History — November 2019

In November 2019, AG traded between $9.76 and $10.98. ATM implied volatility averaged 48.7%, placing in the 26.9% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded above realized volatility by 2.1% (HV 20d: 46.7%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.41.

Notable Days

  • 2019-11-01: Highest Volume — 15,972 contracts
  • 2019-11-07: Largest IV drop — 7.3% change
  • 2019-11-05: Highest IV Rank — 57.9%
  • 2019-11-01: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.52$9.76$10.98$10.98$10.73
Max Pain$9.05$9.00$10.00$10.00$9.00
ATM IV48.7%43.2%56.4%53.5%43.9%
Expected Move14.1%12.5%16.2%16.2%12.7%
HV 20d46.7%41.0%54.5%48.1%43.7%
HV 60d49.8%45.7%51.5%49.6%45.7%
IV Rank26.9%4.5%57.9%46.1%7.1%
IV Percentile36.0%2.8%72.6%58.7%6.7%
Term Structure-0.1%-2.8%2.9%-1.5%-0.0%
VWIV49.4%39.1%57.1%57.1%39.1%
Skew 25d0.2%-2.6%4.5%1.5%0.1%
Skew 10d2.1%-22.0%22.0%22.0%8.2%
Call IV 25d50.0%42.0%58.7%54.8%44.7%
Put IV 25d50.2%44.7%59.0%56.2%44.8%
Bid-Ask Spread %9.826.8815.399.467.61
Gamma HHI0.190.170.240.190.22
Net GEX1.4M1.0M1.6M1.4M1.4M
Net DEX-79.0M-93.1M-59.1M-93.1M-82.9M
Net VEX-296.5K-309.8K-282.5K-309.8K-282.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.410.120.810.120.78
Total Volume6,283.552,31715,97215,9722,317
Total OI193,943.65185,937203,845190,432194,330

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-11-01$10.98$10.0053.5%16.2%48.1%46.1%57.1%1.5%-1.5%1.4M-93.1M-309.8K0.129.4614,2331,739145,10145,331
2019-11-04$10.69$9.0055.5%16.0%49.3%54.2%55.4%1.5%0.0%1.3M-85.9M-307.9K0.819.424,5663,703147,06144,662
2019-11-05$10.16$9.0056.4%15.9%52.7%57.9%56.6%0.4%0.7%1.3M-71.8M-297.0K0.549.035,4082,918149,30844,369
2019-11-06$10.15$9.0055.0%16.1%52.5%52.2%55.9%0.3%2.2%1.3M-71.9M-299.0K0.5614.146,5353,639151,51844,981
2019-11-07$9.76$9.0051.0%15.5%54.5%36.0%54.0%0.5%-1.2%1.1M-59.1M-294.7K0.228.369,6802,105155,45747,829
2019-11-08$9.78$9.0050.4%14.9%50.3%33.8%52.5%-2.6%2.9%1.0M-59.8M-292.6K0.2515.396,6391,672156,00647,839
2019-11-11$10.23$9.0051.1%14.3%52.1%36.3%51.2%2.0%-2.8%1.3M-72.2M-304.0K0.2010.283,571717148,93445,308
2019-11-12$10.57$9.0050.8%14.2%51.9%35.1%50.3%-2.3%-1.4%1.4M-81.8M-305.4K0.319.534,2181,320149,62145,536
2019-11-13$10.49$9.0047.9%14.1%45.9%23.3%49.3%-0.4%1.7%1.5M-81.3M-305.5K0.789.593,1952,499150,88745,868
2019-11-14$10.72$9.0047.8%14.0%44.1%23.1%48.4%-1.2%0.1%1.6M-86.5M-303.7K0.317.844,0651,277151,05546,058
2019-11-15$10.62$9.0046.8%13.3%44.3%18.9%47.0%-1.8%0.8%1.6M-83.4M-302.1K0.148.843,427475151,25646,004
2019-11-18$10.81$9.0047.8%13.8%43.0%23.2%48.2%-1.5%-1.4%1.5M-84.8M-295.1K0.279.584,2791,166144,45941,478
2019-11-19$10.82$9.0046.0%13.2%42.7%15.6%48.0%-1.5%-0.7%1.6M-86.5M-298.1K0.3910.565,5222,172146,74441,910
2019-11-20$10.97$9.0046.8%13.4%42.7%19.0%46.7%2.0%-2.3%1.6M-90.0M-298.1K0.568.842,0051,127147,92443,115
2019-11-21$10.53$9.0047.1%13.6%43.6%20.4%47.3%-0.1%-2.4%1.5M-78.3M-291.6K0.589.852,6631,539148,56643,675
2019-11-22$10.53$9.0044.8%12.9%42.6%11.1%45.8%0.8%-1.1%1.5M-77.2M-291.2K0.5412.582,4631,330148,36844,469
2019-11-25$10.41$9.0045.5%13.1%41.0%13.8%46.2%0.4%1.2%1.2M-72.6M-282.5K0.399.011,766684145,64644,175
2019-11-26$10.85$9.0043.2%13.0%43.5%4.5%43.5%4.5%1.9%1.5M-84.2M-284.5K0.299.563,8781,143146,38544,593
2019-11-27$10.57$9.0043.5%12.5%44.7%5.9%45.1%0.8%0.9%1.5M-77.3M-285.4K0.166.883,474542147,88645,161
2019-11-29$10.73$9.0043.9%12.7%43.7%7.1%39.1%0.1%-0.0%1.4M-82.9M-282.9K0.787.611,3001,017148,87245,458