AG Options History — December 2019

In December 2019, AG traded between $10.43 and $12.39. ATM implied volatility averaged 43.8%, placing in the 9.9% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 1.4% (HV 20d: 45.2%). Max pain ranged from $7.00 to $9.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.29.

Notable Days

  • 2019-12-24: Highest Volume — 15,477 contracts
  • 2019-12-26: Largest IV spike — 6.8% change
  • 2019-12-30: Highest IV Rank — 27.6%
  • 2019-12-03: Largest Expected Move — 14.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.18$10.43$12.39$10.90$12.31
Max Pain$7.29$7.00$9.00$9.00$7.00
ATM IV43.8%39.7%47.2%45.7%46.4%
Expected Move12.8%11.3%14.4%12.9%13.6%
HV 20d45.2%38.3%53.5%42.7%53.2%
HV 60d46.4%44.9%47.6%44.9%47.6%
IV Rank9.9%0.0%27.6%14.5%24.7%
IV Percentile12.2%0.0%44.0%23.0%36.1%
Term Structure1.4%-2.1%3.5%-0.8%0.4%
VWIV44.9%41.4%49.6%45.5%45.0%
Skew 25d-1.3%-7.5%1.8%1.6%-3.4%
Skew 10d2.1%-16.3%20.0%-14.5%-0.1%
Call IV 25d45.1%41.2%49.3%44.0%49.3%
Put IV 25d43.8%35.4%47.7%45.7%46.0%
Bid-Ask Spread %8.925.0912.988.188.77
Gamma HHI0.230.180.300.220.18
Net GEX1.4M1.2M1.8M1.4M1.3M
Net DEX-91.0M-116.4M-68.9M-85.3M-115.1M
Net VEX-278.2K-292.4K-269.3K-282.4K-292.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.130.650.290.29
Total Volume8,061.5711,55315,4774,3547,280
Total OI195,369.238178,994206,393191,061190,536

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-12-02$10.90$9.0045.7%12.9%42.7%14.5%45.5%1.6%-0.8%1.4M-85.3M-282.4K0.298.183,365989145,80245,259
2019-12-03$11.22$9.0045.0%14.4%42.7%11.7%49.6%1.2%2.9%1.5M-95.1M-287.7K0.1911.337,5441,464147,26045,894
2019-12-04$11.07$9.0045.5%13.2%38.3%14.0%45.3%-0.2%2.7%1.5M-90.3M-280.2K0.2510.622,939746148,84546,544
2019-12-05$11.28$7.0044.5%13.4%38.6%9.8%46.9%0.1%2.2%1.6M-97.5M-281.5K0.217.613,094656149,90946,880
2019-12-06$10.51$7.0042.4%13.3%44.6%1.2%46.6%-4.3%3.1%1.2M-75.2M-273.3K0.308.165,6791,695150,37047,010
2019-12-09$10.43$7.0043.4%13.2%44.8%5.4%45.6%0.5%2.3%1.2M-72.2M-269.3K0.317.973,3941,038150,07446,418
2019-12-10$10.57$7.0043.9%13.5%42.2%7.2%46.6%-1.3%3.5%1.3M-75.7M-270.6K0.427.111,095458151,19247,067
2019-12-11$10.72$7.0044.7%13.1%40.9%10.6%46.3%1.4%1.7%1.3M-80.2M-272.9K0.3312.982,642870151,23047,362
2019-12-12$10.66$7.0044.0%13.2%40.8%7.8%46.5%-1.4%1.9%1.3M-79.5M-269.8K0.2512.852,451605152,36047,875
2019-12-13$11.18$7.0042.8%12.5%43.5%2.9%44.8%-1.4%2.1%1.5M-95.5M-272.7K0.177.8610,6421,795153,35647,926
2019-12-16$11.15$7.0042.2%12.2%43.4%0.3%42.8%-3.6%-0.5%1.7M-96.0M-269.7K0.228.1310,0302,253154,79247,340
2019-12-17$11.15$7.0043.8%12.7%43.0%6.9%43.2%-3.1%-2.1%1.8M-95.4M-275.7K0.187.225,210913156,00648,137
2019-12-18$10.86$7.0042.8%12.3%44.1%2.9%43.2%-2.2%1.1%1.7M-81.6M-270.2K0.347.049,6523,305154,91648,694
2019-12-19$10.78$7.0041.4%11.9%43.9%0.0%42.5%-4.0%1.3%1.6M-80.4M-275.0K0.256.894,7561,199155,63249,621
2019-12-20$10.43$7.0039.7%11.3%43.0%0.0%42.4%-7.5%2.8%1.4M-68.9M-270.0K0.135.0910,8071,433156,70049,693
2019-12-23$11.19$7.0041.3%11.6%49.8%5.7%41.4%0.8%1.0%1.5M-85.2M-282.4K0.2211.577,9841,763136,42642,568
2019-12-24$11.89$7.0043.0%12.2%53.5%12.1%43.1%-0.6%2.4%1.4M-106.4M-280.4K0.2011.8912,8662,611138,58342,875
2019-12-26$12.15$7.0045.9%13.0%52.2%22.9%45.8%1.8%1.0%1.3M-114.0M-287.2K0.578.178,6184,905141,52544,331
2019-12-27$11.91$7.0044.8%12.8%51.8%18.9%43.1%-1.5%1.7%1.3M-105.7M-290.4K0.659.914,4262,870142,34147,089
2019-12-30$12.39$7.0047.2%13.6%53.1%27.6%46.6%-0.1%-0.6%1.2M-116.4M-288.4K0.227.9010,8892,362140,20646,110
2019-12-31$12.31$7.0046.4%13.6%53.2%24.7%45.0%-3.4%0.4%1.3M-115.1M-292.4K0.298.775,6241,656143,43547,101