AG Options History — December 2020

In December 2020, AG traded between $10.49 and $13.61. ATM implied volatility averaged 59.2%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 4.4% (HV 20d: 54.8%). 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 16 of 22 days. Put/call ratio averaged 0.45.

Notable Days

  • 2020-12-16: Highest Volume — 150,389 contracts
  • 2020-12-07: Largest IV spike — 5.8% change
  • 2020-12-21: Highest IV Rank — 20.4%
  • 2020-12-21: Largest Expected Move — 18.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.93$10.49$13.61$10.99$13.45
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV59.2%54.8%63.4%56.1%62.0%
Expected Move17.0%15.9%18.4%17.4%16.1%
HV 20d54.8%44.6%64.7%64.7%60.4%
HV 60d60.3%56.4%62.5%62.3%59.1%
IV Rank16.9%13.1%20.4%14.2%19.2%
IV Percentile26.8%19.8%31.0%24.6%28.2%
Term Structure0.6%-1.8%2.4%1.0%0.5%
VWIV60.9%58.3%65.3%61.6%58.3%
Skew 25d-3.8%-10.0%-2.2%-4.0%-3.6%
Skew 10d-8.2%-20.5%-2.4%-9.1%-7.4%
Call IV 25d63.1%57.7%69.3%60.1%65.9%
Put IV 25d59.2%53.9%63.4%56.1%62.3%
Bid-Ask Spread %3.092.199.132.662.42
Gamma HHI0.150.120.450.140.21
Net GEX3.3M2.0M6.1M2.8M5.6M
Net DEX-170.0M-265.9M-87.9M-132.6M-250.9M
Net VEX-918.7K-1.1M-722.5K-722.5K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.131.830.980.52
Total Volume30,401.1826,742150,38932,53532,674
Total OI450,479.636374,350512,503374,350509,975

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-12-01$10.99$10.0056.1%17.4%64.7%14.2%61.6%-4.0%1.0%2.8M-132.6M-722.5K0.982.6616,43216,103311,44962,901
2020-12-02$11.22$10.0056.2%17.3%62.6%14.3%61.1%-2.3%1.6%2.9M-138.0M-770.0K0.142.6111,3731,644314,96976,251
2020-12-03$10.99$10.0055.7%16.5%59.5%13.9%60.9%-2.8%0.5%3.1M-128.7M-763.4K0.332.507,4042,418318,45276,763
2020-12-04$10.99$10.0054.8%16.3%45.6%13.1%59.0%-3.8%2.4%6.1M-127.8M-760.0K0.319.138,7332,726320,67577,901
2020-12-07$11.36$10.0058.0%16.7%47.2%15.8%59.2%-2.7%-0.1%2.6M-141.2M-771.0K1.832.8312,78823,430313,71475,794
2020-12-08$11.36$10.0057.5%16.8%44.8%15.4%59.2%-2.8%0.7%2.5M-134.0M-837.9K0.692.225,2413,608319,45695,995
2020-12-09$10.90$10.0057.6%16.8%44.7%15.5%59.8%-3.3%1.1%2.2M-108.8M-805.9K0.332.199,2383,093321,74797,813
2020-12-10$10.97$10.0056.7%16.5%44.6%14.7%59.1%-2.9%1.5%2.3M-111.6M-808.7K0.402.464,8061,936324,15999,526
2020-12-11$10.78$10.0056.5%16.4%44.9%14.5%59.8%-2.3%1.2%2.0M-103.9M-803.7K0.262.477,3741,916325,961100,237
2020-12-14$10.49$10.0055.3%15.9%45.5%13.6%60.0%-4.2%1.3%2.0M-87.9M-752.4K0.172.259,7401,688322,77898,714
2020-12-15$11.34$10.0058.2%16.7%53.6%16.0%59.5%-2.2%-0.3%2.6M-135.2M-828.1K0.222.3618,9064,082328,07699,492
2020-12-16$12.05$10.0061.3%17.6%56.4%18.6%64.8%-10.0%1.7%3.1M-184.1M-871.8K1.582.7658,32692,063334,509100,434
2020-12-17$12.64$10.0062.5%18.0%56.0%19.7%64.5%-5.1%-1.1%3.4M-210.3M-1.0M0.132.6150,7626,800356,272131,371
2020-12-18$12.61$10.0062.8%18.0%55.5%19.9%63.2%-3.8%-0.2%3.6M-210.7M-1.0M0.162.5347,9297,559366,932134,579
2020-12-21$13.22$10.0063.4%18.4%57.0%20.4%65.3%-5.6%2.2%3.4M-236.1M-1.1M0.133.4442,7335,442360,357120,365
2020-12-22$12.23$10.0061.1%17.7%60.4%18.5%63.9%-4.0%1.2%3.2M-177.7M-1.1M0.322.3829,7619,446369,783122,942
2020-12-23$12.65$10.0060.9%17.0%60.5%18.3%59.9%-3.0%0.5%3.6M-204.4M-1.1M0.342.5416,8175,764378,739129,313
2020-12-24$12.72$10.0059.9%16.8%60.5%17.4%60.0%-5.2%0.0%3.5M-208.4M-1.1M0.303.205,8691,740381,855130,648
2020-12-28$13.02$10.0061.6%16.4%60.3%18.8%59.1%-3.6%0.1%3.6M-224.5M-1.1M0.222.5421,4764,691373,275123,759
2020-12-29$12.93$10.0062.7%17.4%60.6%19.8%62.1%-3.0%-0.2%3.8M-218.2M-1.1M0.317.1610,9573,358375,009124,912
2020-12-30$13.61$10.0062.3%16.5%60.1%19.5%59.1%-4.2%-1.8%4.0M-265.9M-1.1M0.202.6733,3176,663375,852126,848
2020-12-31$13.45$10.0062.0%16.1%60.4%19.2%58.3%-3.6%0.5%5.6M-250.9M-1.1M0.522.4221,51911,155380,797129,178