AG Options History — September 2020

In September 2020, AG traded between $9.49 and $12.47. ATM implied volatility averaged 72.5%, placing in the 28.1% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded above realized volatility by 15.4% (HV 20d: 57.1%). Max pain ranged from $9.00 to $12.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.30.

Notable Days

  • 2020-09-23: Highest Volume — 41,302 contracts
  • 2020-09-21: Largest IV spike — 7.9% change
  • 2020-09-08: Highest IV Rank — 33.5%
  • 2020-09-03: Largest Expected Move — 22.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.13$9.49$12.47$12.03$9.49
Max Pain$9.74$9.00$12.00$12.00$10.00
ATM IV72.5%67.3%78.9%73.6%67.3%
Expected Move20.5%18.4%22.8%19.7%18.4%
HV 20d57.1%43.4%70.3%61.3%66.4%
HV 60d65.8%62.7%70.4%66.2%70.0%
IV Rank28.1%23.7%33.5%29.0%23.7%
IV Percentile64.0%43.7%83.7%71.4%43.7%
Term Structure1.7%-1.8%12.0%1.5%1.2%
VWIV75.2%66.3%91.2%70.3%66.3%
Skew 25d-4.8%-9.4%2.6%-6.5%-2.6%
Skew 10d-10.7%-23.5%3.7%-11.2%-7.0%
Call IV 25d77.8%70.5%87.0%79.1%70.5%
Put IV 25d73.0%67.8%78.3%72.6%67.8%
Bid-Ask Spread %6.392.5149.943.523.39
Gamma HHI0.110.100.150.100.14
Net GEX1.9M1.2M2.6M2.2M1.7M
Net DEX-120.0M-167.4M-70.3M-141.5M-78.6M
Net VEX-683.8K-736.9K-614.2K-691.4K-642.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.110.540.270.29
Total Volume19,913.28610,39341,30222,60511,259
Total OI352,357.143320,941388,399322,159388,399

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-09-01$12.03$12.0073.6%19.7%61.3%29.0%70.3%-6.5%1.5%2.2M-141.5M-691.4K0.273.5217,8234,782269,02053,139
2020-09-02$11.48$11.5077.4%19.9%62.9%32.2%71.9%-8.0%1.2%1.9M-123.7M-681.8K0.383.6215,1475,753276,28156,166
2020-09-03$11.52$9.0076.6%22.8%63.0%31.5%81.9%-7.7%1.9%1.8M-125.9M-690.6K0.158.7415,4122,350281,83558,756
2020-09-04$11.52$9.0075.0%22.2%61.6%30.2%80.0%-4.9%3.8%1.3M-124.5M-684.9K0.419.3316,8556,977281,83659,467
2020-09-08$11.43$9.0078.9%22.2%61.6%33.5%91.2%-8.6%-1.8%1.9M-126.4M-687.9K0.114.0020,7072,287278,22057,232
2020-09-09$11.85$9.0076.5%21.7%44.5%31.5%77.3%-6.6%-1.1%2.3M-142.8M-707.9K0.203.8210,9452,209287,14958,493
2020-09-10$11.66$9.0071.5%20.9%45.0%27.2%75.9%-9.4%0.0%2.2M-137.9M-687.6K0.2549.9411,9682,992289,73559,607
2020-09-11$11.65$9.0074.5%21.3%43.4%29.8%75.5%-4.8%0.1%2.2M-136.6M-699.9K0.549.3317,3489,349291,35161,253
2020-09-14$12.47$9.0071.0%20.4%49.3%26.8%71.6%2.6%1.3%2.4M-167.4M-733.7K0.243.3623,7915,717289,83361,961
2020-09-15$12.27$9.0068.8%19.7%47.7%25.0%72.1%-4.9%3.2%2.6M-162.5M-731.5K0.333.168,1712,700295,98362,799
2020-09-16$12.23$9.0069.4%19.9%47.6%25.5%71.0%-5.8%-0.1%2.6M-161.7M-736.9K0.414.107,6843,183298,38164,290
2020-09-17$12.11$10.0068.4%19.5%45.4%24.6%69.5%-3.3%2.3%2.4M-153.6M-724.6K0.323.379,0512,940300,49166,246
2020-09-18$11.93$10.0067.5%19.0%45.0%23.8%68.7%-3.7%3.5%1.9M-143.4M-711.2K0.443.019,8124,306302,96067,247
2020-09-21$10.72$10.0072.8%20.7%58.5%28.3%74.8%-5.3%0.1%1.4M-99.3M-649.0K0.312.5125,1497,905263,98556,956
2020-09-22$10.68$10.0070.8%19.9%58.4%26.6%73.7%-3.3%0.1%1.4M-98.9M-660.3K0.163.268,9371,456272,50760,896
2020-09-23$9.76$10.0075.3%21.9%66.1%30.5%82.7%-4.6%2.1%1.2M-72.4M-614.2K0.262.6232,7038,599276,37262,239
2020-09-24$10.26$10.0075.4%21.3%66.6%30.5%83.7%-3.6%1.1%1.5M-92.8M-683.2K0.344.7212,9384,398297,86667,864
2020-09-25$9.57$10.0073.4%20.9%70.3%28.8%77.3%-3.4%-0.1%1.2M-70.3M-641.4K0.412.9421,0718,622301,14069,922
2020-09-28$9.53$10.0068.8%19.5%67.7%25.0%72.2%-2.9%12.0%1.5M-79.7M-648.3K0.202.5916,5553,331306,93163,806
2020-09-29$9.56$10.0070.1%19.5%66.8%26.0%70.8%-3.2%3.1%1.6M-80.1M-651.9K0.252.8611,9913,006315,33365,553
2020-09-30$9.49$10.0067.3%18.4%66.4%23.7%66.3%-2.6%1.2%1.7M-78.6M-642.3K0.293.398,7002,559321,23967,160