AG Options History — June 2020

In June 2020, AG traded between $8.43 and $10.78. ATM implied volatility averaged 70.6%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded above realized volatility by 1.4% (HV 20d: 69.2%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.33.

Notable Days

  • 2020-06-02: Highest Volume — 24,439 contracts
  • 2020-06-11: Largest IV spike — 6.7% change
  • 2020-06-16: Highest IV Rank — 29.7%
  • 2020-06-12: Largest Expected Move — 21.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.45$8.43$10.78$10.78$9.93
Max Pain$8.27$8.00$9.00$9.00$8.50
ATM IV70.6%67.1%74.4%71.8%70.1%
Expected Move20.2%19.2%21.5%20.3%19.2%
HV 20d69.2%58.0%78.3%67.6%58.5%
HV 60d82.8%66.2%104.6%104.3%66.2%
IV Rank26.4%23.5%29.7%27.5%26.0%
IV Percentile75.5%70.6%80.6%78.6%71.4%
Term Structure-0.0%-3.0%5.5%-0.2%5.5%
VWIV70.7%68.1%75.1%72.0%68.7%
Skew 25d0.3%-2.3%4.0%2.0%0.3%
Skew 10d0.5%-20.2%20.3%5.3%11.6%
Call IV 25d70.8%64.7%75.2%71.8%70.1%
Put IV 25d71.2%67.3%75.7%73.8%70.3%
Bid-Ask Spread %12.737.8638.6314.047.86
Gamma HHI0.180.160.210.170.19
Net GEX1.0M782.9K1.3M1.2M1.2M
Net DEX-71.8M-107.2M-45.2M-107.2M-87.6M
Net VEX-412.6K-438.6K-368.2K-438.0K-432.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.101.050.260.64
Total Volume10,892.5912,88324,43917,29614,814
Total OI227,541.364205,477238,199205,477235,276

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-06-01$10.78$9.0071.8%20.3%67.6%27.5%72.0%2.0%-0.2%1.2M-107.2M-438.0K0.2614.0413,7523,544165,70239,775
2020-06-02$10.16$9.0070.3%20.1%72.1%26.2%68.8%2.1%0.3%1.2M-91.9M-427.0K0.4313.7617,1237,316168,65340,985
2020-06-03$9.76$9.0068.3%19.7%73.9%24.6%68.2%-1.2%0.3%1.1M-78.4M-422.1K0.499.847,4813,635173,14746,757
2020-06-04$9.92$8.0067.6%19.5%72.8%24.0%68.7%0.9%3.1%1.1M-83.7M-427.4K0.4211.706,3722,651175,05147,934
2020-06-05$9.69$8.0067.7%19.5%72.0%24.0%68.1%0.1%-2.3%1.0M-76.8M-419.4K0.3238.639,5043,002176,43048,529
2020-06-08$9.89$8.0067.3%19.6%71.8%23.7%68.5%3.8%1.6%1.1M-80.8M-428.3K0.3115.054,5381,429173,71446,837
2020-06-09$9.78$8.0069.3%19.9%68.9%25.3%69.6%-0.7%-0.3%1.1M-79.3M-426.0K0.1114.494,871551175,56447,846
2020-06-10$10.28$8.0067.1%19.6%70.1%23.5%68.8%-2.1%2.3%1.3M-94.2M-438.6K0.1312.579,0811,164176,67748,259
2020-06-11$9.36$8.0071.5%20.3%78.3%27.3%73.0%-0.8%-0.9%1.0M-66.8M-411.3K0.1012.1715,6361,604178,91748,592
2020-06-12$9.26$8.0073.7%21.5%78.0%29.1%75.1%0.4%0.6%984.7K-66.7M-412.6K0.2213.328,4241,825183,81749,273
2020-06-15$9.14$8.0072.5%20.7%69.1%28.1%72.9%-1.1%0.2%982.6K-63.1M-401.5K0.4110.148,0553,300177,40947,351
2020-06-16$8.78$8.0074.4%21.4%68.1%29.7%74.6%0.5%-3.0%903.3K-54.3M-387.6K1.058.624,8395,078181,10248,838
2020-06-17$8.66$8.0073.3%21.0%67.0%28.8%72.2%-2.3%-1.6%893.2K-51.5M-383.0K0.348.284,3311,488182,93549,518
2020-06-18$8.43$8.0073.1%21.0%66.8%28.6%73.8%-1.7%-2.2%815.3K-45.2M-368.2K0.268.704,6741,235184,88350,001
2020-06-19$8.69$8.0071.5%20.7%67.3%27.2%71.4%-2.2%-2.4%782.9K-51.8M-383.1K0.3011.2110,5463,178187,20750,053
2020-06-22$9.09$8.0070.2%20.1%69.4%26.1%70.7%-1.2%-0.1%907.6K-62.1M-398.8K0.1911.6914,4922,814175,35546,456
2020-06-23$9.33$8.5070.5%20.0%69.2%26.4%69.5%4.0%-0.9%1.1M-70.3M-418.3K0.4012.388,4543,404183,29148,865
2020-06-24$9.03$8.5071.6%19.8%69.2%27.3%70.9%1.2%-1.1%1.1M-62.0M-405.7K0.2212.645,7821,261186,17949,360
2020-06-25$9.09$8.5070.1%19.8%69.2%26.0%69.6%0.7%0.0%1.1M-63.3M-410.3K0.2113.182,387496188,22749,972
2020-06-26$9.38$8.5069.4%19.8%65.4%25.5%70.8%1.1%1.2%980.7K-71.7M-420.4K0.2411.168,6102,083188,06949,973
2020-06-29$9.40$8.5071.1%20.0%58.0%26.9%69.1%3.4%-0.4%1.0M-71.6M-416.3K0.248.603,886927183,70549,426
2020-06-30$9.93$8.5070.1%19.2%58.5%26.0%68.7%0.3%5.5%1.2M-87.6M-432.8K0.647.869,0235,791185,34349,933