AG Options History — January 2020

In January 2020, AG traded between $9.93 and $12.22. ATM implied volatility averaged 48.4%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 1.2% (HV 20d: 49.6%). Max pain ranged from $7.00 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.31.

Notable Days

  • 2020-01-17: Highest Volume — 18,346 contracts
  • 2020-01-21: Largest IV spike — 8.7% change
  • 2020-01-28: Highest IV Rank — 52.3%
  • 2020-01-28: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.80$9.93$12.22$12.22$10.05
Max Pain$10.86$7.00$12.00$7.00$11.00
ATM IV48.4%45.0%53.9%45.7%51.7%
Expected Move14.1%12.9%15.4%12.9%14.9%
HV 20d49.6%40.2%55.2%52.7%40.4%
HV 60d47.0%45.9%48.8%47.6%45.9%
IV Rank32.2%19.6%52.3%22.2%44.4%
IV Percentile48.4%23.0%68.7%30.6%64.3%
Term Structure0.2%-3.6%2.5%1.5%0.1%
VWIV49.0%44.1%53.9%44.1%53.4%
Skew 25d-0.6%-3.0%1.9%-2.8%0.5%
Skew 10d-6.8%-20.0%9.0%-6.8%-6.1%
Call IV 25d49.2%44.7%54.1%49.0%52.3%
Put IV 25d48.6%43.1%53.6%46.3%52.9%
Bid-Ask Spread %26.367.0069.7810.347.00
Gamma HHI0.220.180.330.190.23
Net GEX923.5K532.7K1.4M1.4M699.6K
Net DEX-60.9M-111.8M-25.1M-111.8M-27.8M
Net VEX-278.7K-291.7K-266.5K-291.7K-273.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.120.580.120.22
Total Volume7,287.5712,89318,3466,5014,983
Total OI168,604.667121,682206,318191,594133,724

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$12.22$7.0045.7%12.9%52.7%22.2%44.1%-2.8%1.5%1.4M-111.8M-291.7K0.1210.345,816685144,16047,434
2020-01-03$11.97$7.0047.2%13.4%53.0%27.8%46.3%-2.7%0.6%1.2M-103.8M-289.2K0.529.304,1372,138143,96047,791
2020-01-06$11.66$12.0048.8%14.2%53.8%33.5%49.2%-2.3%-1.1%1.1M-94.7M-282.9K0.3015.3110,3213,063142,17647,671
2020-01-07$11.90$12.0046.5%13.7%46.8%25.1%48.0%0.3%2.1%1.3M-101.7M-286.7K0.1610.715,132810144,89548,828
2020-01-08$11.18$12.0046.9%13.9%52.6%26.6%49.1%-1.8%-0.7%1.3M-81.6M-281.7K0.3812.668,9363,389146,21549,276
2020-01-09$10.86$12.0045.9%13.6%53.7%23.0%46.5%-3.0%0.9%1.2M-74.5M-278.9K0.3616.424,5201,628147,79950,183
2020-01-10$11.03$11.0047.1%13.5%53.7%27.3%47.8%-1.1%-1.5%1.4M-79.0M-283.4K0.3010.074,7401,405150,09850,853
2020-01-13$10.65$11.0046.8%14.0%55.2%26.2%46.6%-1.2%1.4%1.3M-68.0M-274.7K0.267.747,4581,911149,34350,379
2020-01-14$10.81$11.0046.7%13.5%52.7%25.7%47.2%0.1%0.6%1.1M-73.8M-281.4K0.5811.394,9332,841151,74150,969
2020-01-15$11.06$11.0045.6%13.5%53.4%21.7%47.1%1.5%1.8%930.3K-80.9M-287.3K0.3825.926,5992,486153,69351,377
2020-01-16$11.07$11.0046.5%13.7%53.4%25.2%46.8%0.5%2.5%1.1M-81.7M-287.2K0.2338.764,6941,081155,15651,162
2020-01-17$10.56$12.0045.0%13.5%55.2%19.6%46.7%-1.6%2.4%532.7K-66.6M-271.7K0.157.9615,9612,385153,81051,305
2020-01-21$10.47$11.0048.9%14.1%55.2%34.0%49.1%-1.9%-1.2%536.0K-31.2M-272.7K0.4252.817,1132,97089,81231,870
2020-01-22$10.36$11.0049.1%14.1%54.1%34.7%48.1%1.1%0.6%577.4K-30.1M-274.3K0.3312.902,17971493,72133,516
2020-01-23$10.24$11.0048.5%13.9%47.3%32.6%49.6%-2.1%-0.5%563.4K-28.6M-270.5K0.2621.992,46863594,41233,337
2020-01-24$10.55$11.0050.4%14.8%42.7%39.6%50.4%1.9%-3.6%644.0K-35.2M-281.7K0.3820.833,9761,51895,97133,401
2020-01-27$10.14$11.0052.1%14.9%43.0%45.8%53.9%-0.5%0.8%570.1K-28.9M-271.9K0.3264.904,5171,44394,24832,590
2020-01-28$9.93$11.0053.9%15.4%43.0%52.3%52.4%1.6%-1.3%580.7K-25.1M-266.5K0.5463.694,4582,40496,05933,335
2020-01-29$10.09$11.0052.0%14.9%40.2%45.5%53.2%1.0%-0.5%600.7K-28.0M-273.6K0.1869.782,97553397,11434,464
2020-01-30$10.02$11.0051.2%15.4%40.2%42.5%52.4%-0.5%-0.8%619.5K-26.2M-270.7K0.2463.012,49459098,29734,553
2020-01-31$10.05$11.0051.7%14.9%40.4%44.4%53.4%0.5%0.1%699.6K-27.8M-273.7K0.227.004,08589899,12734,597