AG Options History — July 2020

In July 2020, AG traded between $9.47 and $14.18. ATM implied volatility averaged 72.5%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 20.6%. IV traded above realized volatility by 13.9% (HV 20d: 58.6%). Max pain ranged from $7.00 to $12.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.27.

Notable Days

  • 2020-07-22: Highest Volume — 68,539 contracts
  • 2020-07-06: Largest IV spike — 11.3% change
  • 2020-07-28: Highest IV Rank — 35.5%
  • 2020-07-28: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.59$9.47$14.18$9.80$13.30
Max Pain$9.20$7.00$12.00$9.00$12.00
ATM IV72.5%62.9%81.3%68.4%75.1%
Expected Move20.6%17.3%22.7%18.7%21.5%
HV 20d58.6%43.5%73.8%56.8%72.3%
HV 60d64.1%60.1%68.3%64.8%67.8%
IV Rank28.1%20.0%35.5%24.6%30.2%
IV Percentile75.1%61.5%87.3%68.7%79.4%
Term Structure0.1%-8.1%13.9%-0.1%-1.2%
VWIV72.8%60.4%80.8%66.2%76.1%
Skew 25d-3.4%-32.9%4.0%1.6%-2.6%
Skew 10d-1.1%-21.2%45.7%2.0%-7.1%
Call IV 25d75.9%65.7%105.2%67.7%78.1%
Put IV 25d72.5%64.8%80.6%69.3%75.5%
Bid-Ask Spread %7.323.7926.774.986.06
Gamma HHI0.160.100.260.200.10
Net GEX1.5M996.6K2.1M1.3M1.8M
Net DEX-129.6M-192.3M-74.3M-84.2M-163.0M
Net VEX-494.4K-604.8K-414.7K-428.1K-604.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.120.530.170.39
Total Volume24,295.6828,76068,53913,15815,378
Total OI260,033.909213,168293,142239,819293,142

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-07-01$9.80$9.0068.4%18.7%56.8%24.6%66.2%1.6%-0.1%1.3M-84.2M-428.1K0.174.9811,2741,884188,35951,460
2020-07-02$9.55$9.0062.9%17.3%57.2%20.0%60.4%-0.4%0.7%1.7M-79.3M-424.3K0.393.797,5602,951193,20952,589
2020-07-06$9.47$7.0070.0%19.6%56.7%25.9%68.7%-32.9%2.6%1.1M-74.3M-414.7K0.497.1913,3666,545190,84752,856
2020-07-07$9.70$7.0063.1%19.9%56.9%20.2%70.3%-1.7%-3.9%1.1M-82.5M-422.9K0.157.679,9501,538194,87756,649
2020-07-08$10.40$7.0069.2%20.4%62.0%25.3%72.5%-2.5%6.0%1.4M-106.8M-445.0K0.206.9025,8565,093196,55056,954
2020-07-09$10.56$7.0070.9%20.4%59.7%26.7%72.6%4.0%13.9%1.7M-113.2M-449.1K0.257.2916,7224,240202,57856,557
2020-07-10$10.39$7.0073.2%20.4%48.7%28.7%72.4%-5.9%-8.1%1.9M-108.2M-449.0K0.265.637,6561,956206,64357,792
2020-07-13$10.26$7.0075.4%20.6%48.7%30.6%73.0%2.4%-6.5%1.3M-100.4M-441.6K0.377.5319,9497,350202,68854,092
2020-07-14$10.40$8.0072.0%20.4%48.3%27.7%71.2%-0.1%-0.2%1.3M-103.2M-451.7K0.126.0910,0261,229207,42759,121
2020-07-15$10.54$8.0071.4%20.5%45.1%27.1%72.0%-2.6%0.6%1.2M-108.2M-455.5K0.535.0113,3707,084210,48461,596
2020-07-16$10.38$8.0072.4%19.9%45.2%28.0%69.8%-1.5%-3.6%1.3M-104.1M-449.5K0.1226.777,790970213,82062,432
2020-07-17$10.64$9.0068.2%19.5%43.5%24.5%67.5%0.8%0.2%996.6K-115.7M-453.1K0.284.7412,2043,393215,48263,158
2020-07-20$11.69$9.0069.0%19.6%52.1%25.2%68.7%-0.3%0.5%1.4M-120.7M-473.6K0.296.2025,3517,259175,80537,363
2020-07-21$12.35$10.0070.3%20.1%53.0%26.3%71.5%-3.7%1.7%1.5M-143.5M-498.9K0.246.3037,8999,187184,73443,721
2020-07-22$13.99$10.0077.8%22.3%65.7%32.5%78.1%-6.2%-0.8%1.5M-192.3M-540.6K0.195.2557,48311,056193,81149,440
2020-07-23$13.43$11.0076.7%22.0%66.6%31.6%77.3%-3.9%0.9%1.8M-173.2M-559.4K0.245.8133,2257,953206,72856,651
2020-07-24$13.30$11.0073.7%21.1%67.3%29.1%75.6%-2.7%1.1%1.6M-166.5M-567.4K0.3112.8821,0066,541211,95359,461
2020-07-27$14.18$11.0078.9%22.7%69.1%33.5%80.7%-4.5%0.6%1.9M-192.3M-578.2K0.225.1131,5987,001206,70953,240
2020-07-28$13.91$11.5081.3%22.7%70.2%35.5%80.8%-3.6%-0.9%2.0M-185.6M-587.2K0.206.3521,6744,281214,61555,938
2020-07-29$13.74$12.0077.0%21.9%69.8%31.9%77.5%-3.8%-0.6%2.1M-181.1M-593.3K0.216.6617,9953,718221,96058,756
2020-07-30$12.99$12.0077.6%22.0%73.8%32.4%78.6%-4.0%-1.4%1.6M-152.5M-589.7K0.256.7612,8023,142227,67260,827
2020-07-31$13.30$12.0075.1%21.5%72.3%30.2%76.1%-2.6%-1.2%1.8M-163.0M-604.8K0.396.0611,0434,335230,96362,179