AG Options History — October 2020

In October 2020, AG traded between $9.49 and $11.11. ATM implied volatility averaged 70.5%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 20.4%. IV traded above realized volatility by 9.6% (HV 20d: 60.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.28.

Notable Days

  • 2020-10-09: Highest Volume — 24,178 contracts
  • 2020-10-28: Largest IV spike — 9.8% change
  • 2020-10-12: Highest IV Rank — 29.0%
  • 2020-10-30: Largest Expected Move — 22.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.36$9.49$11.11$9.72$10.27
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV70.5%66.1%73.6%68.9%73.4%
Expected Move20.4%18.4%22.8%19.0%22.8%
HV 20d60.9%41.3%73.6%66.2%56.2%
HV 60d64.6%60.0%70.9%68.7%61.4%
IV Rank26.4%22.7%29.0%25.0%28.9%
IV Percentile53.0%34.9%68.3%47.2%67.1%
Term Structure0.4%-3.9%5.6%5.6%-1.2%
VWIV72.1%65.0%79.6%68.3%79.6%
Skew 25d-0.5%-3.1%2.4%-2.3%1.4%
Skew 10d-2.3%-12.0%3.1%-6.8%1.2%
Call IV 25d72.3%67.3%76.1%70.2%74.4%
Put IV 25d71.9%67.9%77.1%67.9%75.8%
Bid-Ask Spread %4.962.3811.673.312.38
Gamma HHI0.140.120.210.150.13
Net GEX2.0M1.6M2.7M1.9M1.7M
Net DEX-108.3M-133.4M-80.2M-88.8M-99.5M
Net VEX-693.8K-733.8K-646.2K-671.2K-676.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.280.150.480.200.28
Total Volume12,165.9555,99324,17812,59010,303
Total OI365,929.455318,409405,047392,324338,028

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-10-01$9.72$10.0068.9%19.0%66.2%25.0%68.3%-2.3%5.6%1.9M-88.8M-671.2K0.203.3110,4672,123323,75068,574
2020-10-02$9.69$10.0069.4%18.4%66.1%25.4%65.0%-3.1%4.3%1.7M-89.6M-667.0K0.442.479,8634,306327,96668,902
2020-10-05$9.91$10.0070.2%20.8%66.9%26.1%73.9%-1.4%-1.5%1.9M-94.2M-679.5K0.2511.0910,5332,583320,92864,877
2020-10-06$9.49$10.0072.9%21.3%68.1%28.4%77.3%1.1%4.4%1.7M-80.2M-646.2K0.218.8710,7962,269324,26065,646
2020-10-07$9.56$10.0072.3%20.7%66.3%27.9%73.3%-0.6%0.6%1.7M-82.0M-651.3K0.223.237,0051,572327,74067,499
2020-10-08$9.82$10.0072.6%21.0%67.6%28.1%73.9%-0.8%1.5%1.9M-90.3M-664.0K0.2310.935,4051,223328,30667,959
2020-10-09$10.57$10.0068.7%19.9%73.6%24.9%71.0%0.8%3.9%2.3M-123.2M-717.0K0.253.4319,2814,897329,56568,166
2020-10-12$10.59$10.0073.6%20.3%68.5%29.0%72.0%-1.6%-3.9%2.1M-120.2M-714.6K0.303.109,9963,024325,48466,768
2020-10-13$10.52$10.0073.1%20.7%68.5%28.6%74.2%-1.7%-0.6%2.0M-117.1M-713.7K0.233.2911,3332,629329,55868,149
2020-10-14$10.86$10.0073.3%20.9%69.9%28.7%73.6%1.4%-0.2%2.2M-133.4M-731.5K0.223.4510,1442,196334,22268,813
2020-10-15$10.70$10.0073.6%21.1%69.9%29.0%75.3%0.7%-0.2%2.2M-127.0M-721.4K0.233.0811,9822,696335,94168,928
2020-10-16$10.53$10.0069.8%19.7%70.0%25.8%70.2%-2.2%-1.3%1.9M-119.5M-708.6K0.252.6410,0102,515336,49768,550
2020-10-19$10.39$10.0069.0%19.8%59.1%25.2%69.6%-1.9%-1.9%1.8M-106.7M-693.7K0.322.979,2812,952266,62051,789
2020-10-20$10.84$10.0069.6%19.9%61.2%25.6%69.8%2.4%-2.5%2.0M-120.7M-719.3K0.4111.677,8953,254270,45353,274
2020-10-21$11.11$10.0069.3%19.9%51.3%25.4%69.6%-1.7%-2.5%2.2M-131.8M-733.8K0.292.8011,7843,459271,87054,921
2020-10-22$10.89$10.0066.8%19.2%49.4%23.3%67.5%0.8%-0.8%2.2M-123.3M-720.4K0.262.765,9621,538275,27256,211
2020-10-23$10.97$10.0066.6%19.2%41.3%23.1%67.8%0.5%-1.4%2.7M-126.4M-721.4K0.482.654,1501,993276,77356,689
2020-10-26$10.60$10.0067.9%20.0%43.7%24.2%70.2%-2.3%0.7%1.9M-110.7M-697.4K0.157.258,6281,267271,98454,262
2020-10-27$10.88$10.0066.1%19.9%44.3%22.7%69.6%0.9%0.8%2.1M-117.8M-699.2K0.367.384,4021,591272,56754,632
2020-10-28$9.93$10.0072.6%22.2%56.2%28.1%78.2%1.0%4.0%1.6M-88.1M-649.9K0.337.4917,6975,783273,96955,502
2020-10-29$10.06$10.0070.7%21.6%55.8%26.6%76.7%-1.8%1.3%1.7M-91.8M-666.6K0.212.965,6571,207279,52159,063
2020-10-30$10.27$10.0073.4%22.8%56.2%28.9%79.6%1.4%-1.2%1.7M-99.5M-676.7K0.282.388,0802,223279,68458,344