AG Options History — March 2020

In March 2020, AG traded between $5.10 and $8.18. ATM implied volatility averaged 104.0%, placing in the 87.7% IV rank vs the trailing year. The 30-day expected move averaged 30.0%. IV traded below realized volatility by 9.3% (HV 20d: 113.4%). Max pain ranged from $8.50 to $9.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.39.

Notable Days

  • 2020-03-16: Highest Volume — 18,216 contracts
  • 2020-03-12: Largest IV spike — 24.9% change
  • 2020-03-06: Highest IV Rank — 100.0%
  • 2020-03-18: Largest Expected Move — 41.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.75$5.10$8.18$7.86$6.24
Max Pain$8.95$8.50$9.00$8.50$9.00
ATM IV104.0%72.4%145.9%74.9%112.6%
Expected Move30.0%20.0%41.8%23.4%30.8%
HV 20d113.4%73.1%157.9%73.1%150.3%
HV 60d76.7%56.0%98.0%57.2%97.9%
IV Rank87.7%60.1%100.0%99.9%68.6%
IV Percentile98.9%96.8%100.0%99.6%96.8%
Term Structure-8.2%-105.1%28.7%-2.1%-105.1%
VWIV104.2%67.9%155.0%81.6%109.1%
Skew 25d-0.8%-18.9%39.2%-1.4%31.0%
Skew 10d-10.6%-47.6%26.3%-1.2%26.3%
Call IV 25d103.7%70.7%155.1%73.9%70.7%
Put IV 25d102.9%72.4%138.0%72.5%101.7%
Bid-Ask Spread %34.259.3952.0016.9520.67
Gamma HHI0.170.140.240.170.19
Net GEX327.4K118.2K553.0K464.8K251.4K
Net DEX-13.7M-30.2M2.8M-15.2M-11.7M
Net VEX-223.7K-275.2K-137.2K-241.9K-213.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.101.510.200.19
Total Volume8,152.6362,65218,2166,9992,652
Total OI177,495.5164,017190,234164,017181,072

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-03-02$7.86$8.5074.9%23.4%73.1%99.9%81.6%-1.4%-2.1%464.8K-15.2M-241.9K0.2016.955,8371,162130,35733,660
2020-03-03$8.09$9.0073.9%23.3%74.4%97.2%81.4%-0.2%-5.1%502.8K-18.9M-258.4K0.2019.128,4771,685130,50234,426
2020-03-04$8.03$8.5072.4%22.0%74.0%93.0%77.9%-0.5%-1.0%494.4K-18.3M-254.9K0.149.393,760512132,80634,709
2020-03-05$8.18$9.0072.5%20.0%74.1%93.2%67.9%-2.3%1.0%553.0K-21.3M-268.0K0.1035.874,569472135,14235,001
2020-03-06$7.83$9.0075.4%21.1%74.4%100.0%74.1%-2.3%-1.1%448.0K-16.9M-250.4K1.0740.654,3194,640137,00435,168
2020-03-09$7.19$9.0089.4%23.6%78.6%100.0%86.2%-6.6%-5.9%322.6K-10.8M-230.4K0.5640.974,4422,496134,52937,605
2020-03-10$7.35$9.0091.1%23.7%78.7%100.0%86.3%0.1%-13.1%350.6K-11.3M-234.2K1.5110.053,6745,557136,25638,101
2020-03-11$6.61$9.0080.2%24.0%85.0%78.8%80.5%-0.8%7.7%227.4K-4.5M-199.1K0.7047.643,9712,773136,34037,016
2020-03-12$5.66$9.00100.2%28.2%97.7%100.0%97.6%-9.0%-2.3%157.4K176.7K-161.2K0.5252.005,3102,759137,92036,991
2020-03-13$5.10$9.00106.6%29.4%100.9%100.0%81.3%-9.0%-4.7%118.2K2.8M-137.2K0.3018.076,9082,041140,07136,714
2020-03-16$5.59$9.00112.9%32.4%109.7%100.0%112.0%6.2%-2.3%166.8K-3.5M-170.5K0.2731.1114,2993,917140,64335,551
2020-03-17$6.23$9.00126.4%35.9%116.7%100.0%124.6%-12.7%-4.4%267.5K-14.1M-220.2K0.1149.8011,8261,247147,07635,919
2020-03-18$5.47$9.00145.9%41.8%121.1%100.0%155.0%-17.1%1.2%225.5K-9.5M-194.5K0.1747.286,6011,097149,85336,702
2020-03-19$6.31$9.00143.6%41.7%133.3%97.9%141.3%-3.0%-14.4%303.8K-15.9M-228.1K0.4345.855,4912,384152,15236,944
2020-03-20$5.57$9.00127.3%37.1%136.9%82.5%131.8%-8.3%-19.6%212.7K-8.9M-188.0K0.3635.093,4701,237152,92737,307
2020-03-23$6.19$9.00124.9%34.9%145.0%80.3%121.1%-18.9%-21.7%267.8K-13.8M-214.0K0.1034.637,723797140,84434,126
2020-03-24$7.12$9.00117.9%33.8%155.9%73.6%117.9%39.2%-5.7%409.3K-24.2M-257.7K0.1949.8010,2641,946145,75634,549
2020-03-25$7.54$9.00103.5%34.4%157.9%60.1%119.0%24.3%28.7%463.9K-30.2M-275.2K0.1641.309,9201,603148,17235,441
2020-03-26$7.17$9.00109.1%33.0%154.0%65.4%116.8%-12.3%11.3%423.6K-24.8M-261.0K0.6026.474,4672,684147,69636,491
2020-03-27$6.76$9.00111.6%32.5%151.2%67.7%111.9%-4.2%2.5%309.8K-18.4M-245.1K0.3739.494,2431,582147,80537,772
2020-03-30$6.34$9.00116.5%33.9%151.0%72.4%116.1%-9.8%-24.7%262.3K-12.2M-217.0K0.3641.283,3441,200143,60736,178
2020-03-31$6.24$9.00112.6%30.8%150.3%68.6%109.1%31.0%-105.1%251.4K-11.7M-213.6K0.1920.672,228424144,66636,406