AG Options History — November 2020

In November 2020, AG traded between $9.72 and $11.80. ATM implied volatility averaged 60.6%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded below realized volatility by 5.4% (HV 20d: 65.9%). Max pain ranged from $8.00 to $10.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.32.

Notable Days

  • 2020-11-05: Highest Volume — 32,582 contracts
  • 2020-11-12: Largest IV spike — 8.6% change
  • 2020-11-02: Highest IV Rank — 27.2%
  • 2020-11-03: Largest Expected Move — 23.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.67$9.72$11.80$10.59$10.38
Max Pain$9.75$8.00$10.00$10.00$10.00
ATM IV60.6%55.6%71.5%71.5%56.6%
Expected Move17.8%16.0%23.0%22.3%17.0%
HV 20d65.9%56.2%70.2%56.6%62.4%
HV 60d61.4%57.9%62.3%61.3%61.1%
IV Rank18.0%13.8%27.2%27.2%14.7%
IV Percentile31.2%25.8%55.6%55.6%25.8%
Term Structure-0.1%-2.4%3.9%-1.2%0.8%
VWIV62.9%56.8%79.4%78.0%60.3%
Skew 25d-1.9%-5.3%2.9%1.3%-2.5%
Skew 10d-5.2%-9.8%2.5%2.5%-8.4%
Call IV 25d63.0%58.6%71.9%71.9%59.2%
Put IV 25d61.1%56.1%73.3%73.3%56.7%
Bid-Ask Spread %5.482.1620.913.112.93
Gamma HHI0.150.120.370.130.14
Net GEX1.8M-1.1M2.7M1.9M2.1M
Net DEX-109.8M-165.2M-71.0M-110.5M-100.8M
Net VEX-681.0K-760.6K-595.9K-690.3K-670.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.320.150.530.190.15
Total Volume17,544.858,70932,58212,94818,679
Total OI355,683.25331,079375,728331,079364,007

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-11-02$10.59$10.0071.5%22.3%56.6%27.2%78.0%1.3%-1.2%1.9M-110.5M-690.3K0.193.1110,9132,035275,10855,971
2020-11-03$11.14$10.0070.2%23.0%56.2%26.1%79.4%2.9%0.3%2.1M-131.1M-714.5K0.2716.5518,6674,977275,10855,971
2020-11-04$10.53$10.0066.2%20.3%60.6%22.7%71.2%0.4%-1.0%2.0M-104.5M-668.7K0.3420.919,0693,094284,73358,627
2020-11-05$11.69$8.0065.8%18.6%69.9%22.4%66.4%-5.3%3.9%2.7M-159.4M-743.1K0.2212.3326,6745,908287,64360,823
2020-11-06$11.80$8.0061.7%17.8%65.6%18.9%63.5%-1.8%2.5%2.4M-165.2M-760.6K0.2710.2316,7574,491293,58661,491
2020-11-09$11.32$9.0061.3%17.5%67.7%18.6%61.9%-1.3%-0.4%2.3M-136.9M-723.7K0.533.3317,0109,026282,68557,567
2020-11-10$10.85$10.0063.5%18.2%69.6%20.5%65.4%-2.8%0.1%1.8M-115.5M-705.4K0.502.2811,7325,850287,33663,552
2020-11-11$10.74$10.0058.5%17.0%68.7%16.3%59.5%-1.6%1.0%1.6M-108.6M-687.5K0.343.026,4842,225291,45967,222
2020-11-12$10.86$10.0063.6%17.9%68.6%20.5%64.2%-3.6%0.6%1.6M-115.6M-701.2K0.333.628,8132,930293,26168,318
2020-11-13$11.02$10.0059.6%17.1%68.5%17.2%61.1%0.5%0.0%-1.1M-121.9M-708.2K0.452.507,8593,532294,94769,867
2020-11-16$10.93$10.0057.2%16.5%68.4%15.2%58.6%-1.4%-0.1%2.1M-118.4M-680.5K0.152.7515,5772,358292,73864,637
2020-11-17$10.65$10.0057.8%16.6%67.4%15.6%58.3%-3.0%-1.5%2.0M-107.4M-676.3K0.462.959,6724,439297,36966,090
2020-11-18$10.28$10.0058.1%16.6%67.7%15.9%60.3%-3.9%-0.3%1.5M-88.6M-642.9K0.252.538,4922,114299,77069,206
2020-11-19$10.14$10.0057.3%16.5%67.6%15.2%58.4%-2.1%-0.9%1.5M-81.8M-640.0K0.282.1712,1333,429301,52269,617
2020-11-20$10.31$10.0055.6%16.0%67.9%13.8%56.8%-2.2%-0.4%1.8M-89.0M-644.2K0.462.169,3364,299304,69871,030
2020-11-23$9.72$10.0056.2%16.8%69.9%14.3%59.4%-2.5%-1.8%1.5M-71.0M-595.9K0.247.8920,2164,878284,55657,249
2020-11-24$10.03$10.0057.6%16.4%70.2%15.5%58.0%-4.4%-2.2%1.7M-84.9M-645.5K0.382.8818,8457,090294,83059,679
2020-11-25$10.23$10.0056.7%16.3%62.6%14.7%57.4%-1.6%0.4%1.9M-92.4M-653.5K0.382.2613,7345,168298,42063,174
2020-11-27$10.18$10.0056.5%16.7%62.4%14.6%60.0%-2.8%-2.4%1.9M-92.8M-668.4K0.213.2510,2772,115304,91764,881
2020-11-30$10.38$10.0056.6%17.0%62.4%14.7%60.3%-2.5%0.8%2.1M-100.8M-670.6K0.152.9316,2162,463302,27561,732