AG Options History — August 2020

In August 2020, AG traded between $11.30 and $13.94. ATM implied volatility averaged 73.7%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 20.7%. IV traded below realized volatility by 1.2% (HV 20d: 74.9%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.28.

Notable Days

  • 2020-08-11: Highest Volume — 51,602 contracts
  • 2020-08-05: Largest IV spike — 5.4% change
  • 2020-08-05: Highest IV Rank — 35.2%
  • 2020-08-05: Largest Expected Move — 23.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.21$11.30$13.94$13.03$12.44
Max Pain$12.14$12.00$13.00$12.00$12.00
ATM IV73.7%66.5%80.9%76.2%73.1%
Expected Move20.7%18.3%23.1%21.9%19.6%
HV 20d74.9%63.8%90.3%73.0%65.9%
HV 60d68.2%65.5%70.1%67.4%65.8%
IV Rank29.1%23.0%35.2%31.2%28.6%
IV Percentile71.4%52.4%86.5%80.6%69.8%
Term Structure0.2%-3.3%3.6%-2.4%0.1%
VWIV75.0%65.9%81.7%77.4%70.3%
Skew 25d-5.0%-10.3%-2.3%-5.7%-7.2%
Skew 10d-10.3%-17.5%-0.5%-9.9%-14.6%
Call IV 25d78.5%71.7%83.1%81.0%78.9%
Put IV 25d73.4%66.1%80.1%75.3%71.7%
Bid-Ask Spread %6.382.5223.519.673.24
Gamma HHI0.110.100.160.100.11
Net GEX1.8M804.5K2.3M1.8M2.2M
Net DEX-136.2M-189.2M-100.7M-154.8M-151.3M
Net VEX-637.4K-684.5K-576.8K-594.1K-684.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.120.700.300.23
Total Volume22,379.5719,64751,60219,88426,774
Total OI314,976.095271,515349,358271,515309,318

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-08-03$13.03$12.0076.2%21.9%73.0%31.2%77.4%-5.7%-2.4%1.8M-154.8M-594.1K0.309.6715,2374,647219,40052,115
2020-08-04$13.94$12.0076.7%21.7%75.2%31.7%76.7%-2.5%-1.5%2.1M-189.2M-628.8K0.136.9022,9972,928225,23454,300
2020-08-05$13.81$12.0080.9%23.1%73.2%35.2%81.7%-3.0%-3.3%2.3M-189.1M-631.5K0.269.1321,8145,725232,53655,549
2020-08-06$13.62$12.0077.7%22.2%73.9%32.5%79.2%-2.5%0.2%2.3M-182.8M-635.9K0.1223.5123,8002,881238,24359,345
2020-08-07$13.03$13.0075.6%21.4%76.0%30.7%79.0%-3.1%-0.2%1.1M-156.2M-627.7K0.2018.3725,3384,962244,05960,405
2020-08-10$12.97$13.0074.7%21.1%75.7%30.0%77.8%-5.7%-1.0%1.9M-154.5M-627.6K0.196.8519,6503,646236,67955,202
2020-08-11$11.44$13.0078.3%22.1%90.0%32.9%80.5%-2.3%-1.8%1.5M-100.7M-576.8K0.336.4938,89912,703245,86157,241
2020-08-12$11.43$12.0075.9%21.4%90.0%31.0%78.1%-4.0%-1.9%1.6M-104.9M-606.7K0.306.1820,7196,234264,37659,361
2020-08-13$11.81$12.0074.9%21.2%90.2%30.1%76.1%-3.4%-0.8%1.8M-121.5M-655.4K0.286.3720,5205,768273,74262,022
2020-08-14$11.62$12.0073.3%21.1%90.3%28.7%76.8%-5.5%0.9%1.8M-118.1M-652.5K0.704.1710,0366,977283,16063,357
2020-08-17$12.10$12.0073.9%21.1%85.1%29.3%76.2%-5.5%3.6%2.2M-137.2M-666.0K0.182.9018,1663,354271,89260,381
2020-08-18$11.99$12.0072.1%20.6%82.8%27.8%77.2%-10.3%1.9%2.3M-134.1M-657.8K0.222.8312,4322,759275,91161,114
2020-08-19$11.53$12.0072.0%20.6%68.9%27.7%77.8%-8.5%3.2%1.7M-111.5M-633.5K0.164.8219,8713,259280,08563,422
2020-08-20$11.82$12.0072.3%20.6%68.9%27.9%73.5%-3.4%1.9%2.1M-123.0M-648.4K0.424.886,8062,841283,43664,904
2020-08-21$11.53$12.0072.7%20.6%69.2%28.2%75.7%-6.6%3.2%804.5K-111.8M-632.4K0.543.929,5545,166284,58464,774
2020-08-24$11.39$12.0069.8%19.2%63.9%25.8%69.6%-5.1%-0.2%1.6M-108.0M-616.6K0.142.9912,5661,801248,08848,817
2020-08-25$11.30$12.0066.5%18.3%63.8%23.0%65.9%-5.6%0.9%1.6M-105.0M-610.7K0.182.6319,6973,528251,86050,009
2020-08-26$11.82$12.0069.8%19.2%66.8%25.8%69.3%-3.0%0.6%2.0M-130.0M-664.5K0.152.8612,7211,854261,42851,545
2020-08-27$11.69$12.0069.8%18.7%64.3%25.8%67.9%-5.6%1.3%2.1M-127.5M-656.2K0.322.798,4582,668266,47252,046
2020-08-28$12.18$12.0071.5%19.5%65.6%27.2%69.0%-7.4%-0.4%2.0M-148.8M-678.2K0.462.5213,8806,335268,83753,388
2020-08-31$12.44$12.0073.1%19.6%65.9%28.6%70.3%-7.2%0.1%2.2M-151.3M-684.5K0.233.2421,7715,003257,63551,683