AGEN Options History — March 2007

In March 2007, AGEN traded between $184.89 and $262.61. ATM implied volatility averaged 61.4%. The 30-day expected move averaged 17.6%. IV traded below realized volatility by 10.4% (HV 20d: 71.8%). Max pain ranged from $294.41 to $294.41. Net GEX was positive for 22 of 22 trading days. Put/call ratio averaged 0.01.

Notable Days

  • 2007-03-30: Highest Volume — 9 contracts
  • 2007-03-19: Largest IV drop — 24.2% change
  • 2007-03-30: Largest Expected Move — 22.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$224.87$184.89$262.61$209.62$262.61
Max Pain$294.41$294.41$294.41$294.41$294.41
ATM IV61.4%46.2%79.0%56.8%79.0%
Expected Move17.6%13.2%22.7%16.3%22.7%
HV 20d71.8%46.8%80.9%46.8%79.8%
HV 60d53.7%49.5%56.4%49.5%56.0%
VWIV65.5%46.4%81.6%46.4%81.2%
Skew 25d-11.7%-30.8%3.1%-30.8%-2.1%
Skew 10d-10.7%-29.5%22.5%-27.4%18.4%
Call IV 25d69.9%61.5%81.3%77.2%80.9%
Put IV 25d58.2%38.3%78.8%46.4%78.8%
Bid-Ask Spread %66.2439.2491.0057.4780.91
Gamma HHI0.540.400.660.500.40
Net GEX3.0K2.1K4.3K2.6K4.3K
Net DEX-107.1K-336.9K-44.1K-92.1K-336.9K
Net VEX-2.3K-3.8K-1.7K-2.2K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.010.000.090.000.00
Total Volume0.7730909
Total OI49.72748534953

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-03-01$209.62$294.4156.8%16.3%46.8%0.0%46.4%-30.8%0.0%2.6K-92.1K-2.2K0.0057.4700436
2007-03-02$202.55$294.4163.9%18.3%47.9%0.0%81.6%-27.0%0.0%2.4K-104.3K-2.2K0.0057.2500426
2007-03-05$184.89$294.4160.7%17.4%55.1%0.0%67.9%-18.3%0.0%2.1K-48.1K-1.7K0.0963.2210426
2007-03-06$206.08$294.4161.7%17.7%69.7%0.0%68.8%-20.5%0.0%2.5K-73.5K-2.1K0.0064.5500436
2007-03-07$207.26$294.4168.2%19.6%69.7%0.0%56.8%-7.1%0.0%2.3K-44.1K-1.9K0.0070.6000436
2007-03-08$204.91$294.4159.7%17.1%68.7%0.0%63.9%-12.7%0.0%2.7K-101.6K-2.2K0.0063.4400436
2007-03-09$207.26$294.4163.8%18.3%67.3%0.0%72.9%-18.3%0.0%2.5K-104.9K-2.3K0.0063.3600436
2007-03-12$233.17$294.4173.2%21.0%80.1%0.0%73.4%3.1%0.0%3.0K-151.5K-2.7K0.0061.3000436
2007-03-13$226.10$294.4167.1%19.2%80.9%0.0%68.2%-5.2%0.0%2.7K-75.5K-2.2K0.0077.0800436
2007-03-14$234.35$294.4165.6%18.8%80.3%0.0%68.3%-3.8%0.0%2.7K-66.7K-2.1K0.0039.2410436
2007-03-15$235.53$294.4159.7%17.1%78.9%0.0%70.3%-8.5%0.0%3.1K-86.2K-2.3K0.0075.7600436
2007-03-16$235.53$294.4164.7%18.5%78.0%0.0%0.0%-4.9%0.0%2.7K-63.6K-2.1K0.0073.6100426
2007-03-19$233.17$294.4149.1%14.1%77.9%0.0%54.1%-17.1%0.0%3.3K-108.1K-2.2K0.0675.1610426
2007-03-20$230.81$294.4157.1%16.4%77.3%0.0%0.0%-17.9%0.0%3.0K-111.7K-2.4K0.0074.4900436
2007-03-21$231.99$294.4146.2%13.2%77.3%0.0%54.0%-23.7%0.0%3.2K-89.9K-2.2K0.0039.9530436
2007-03-22$235.53$294.4156.8%16.3%77.5%0.0%57.0%-7.2%0.0%3.5K-104.3K-2.3K0.0052.7210456
2007-03-23$235.53$294.4155.2%15.8%76.3%0.0%55.4%-7.7%0.0%3.5K-88.2K-2.3K0.0074.3010456
2007-03-26$233.17$294.4157.3%16.4%75.6%0.0%0.0%-7.4%0.0%3.7K-114.7K-2.4K0.0057.1300466
2007-03-27$230.81$294.4155.3%15.9%72.0%0.0%0.0%-9.2%0.0%3.7K-118.0K-2.3K0.0071.7300466
2007-03-28$233.17$294.4160.8%17.4%71.9%0.0%61.1%-6.6%0.0%3.4K-107.2K-2.4K0.0072.9400466
2007-03-29$233.17$294.4169.7%20.0%70.9%0.0%76.6%-4.9%0.0%3.6K-164.8K-2.7K0.0091.0000466
2007-03-30$262.61$294.4179.0%22.7%79.8%0.0%81.2%-2.1%0.0%4.3K-336.9K-3.8K0.0080.9190476