AGEN Options History — May 2007

In May 2007, AGEN traded between $266.14 and $383.91. ATM implied volatility averaged 112.6%. The 30-day expected move averaged 31.5%. IV traded below realized volatility by 6.5% (HV 20d: 119.1%). Max pain ranged from $294.41 to $588.81. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 1.24.

Notable Days

  • 2007-05-22: Highest Volume — 117 contracts
  • 2007-05-25: Largest IV spike — 45.2% change
  • 2007-05-21: Largest Expected Move — 46.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$325.35$266.14$383.91$355.64$330.91
Max Pain$468.37$294.41$588.81$294.41$294.41
ATM IV112.6%68.1%162.2%115.8%85.3%
Expected Move31.5%19.5%46.5%33.2%24.5%
HV 20d119.1%67.4%187.0%187.0%129.4%
HV 60d127.6%119.8%137.6%120.3%135.2%
Term Structure-10.0%-69.0%63.4%0.5%18.1%
VWIV101.6%32.6%158.9%101.8%56.4%
Skew 25d0.5%-12.5%21.3%0.6%10.9%
Skew 10d5.5%-23.5%48.7%-7.1%48.7%
Call IV 25d99.1%89.9%110.8%93.0%110.8%
Put IV 25d99.6%90.5%121.7%93.6%121.7%
Bid-Ask Spread %53.0325.6875.5337.7846.06
Gamma HHI0.540.350.690.600.55
Net GEX18.8K7.5K48.9K12.7K19.5K
Net DEX-1.7M-4.0M-404.1K-1.3M-3.7M
Net VEX-14.9K-19.9K-10.8K-14.3K-19.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.009.100.089.10
Total Volume14.2270117210
Total OI206.045149337149337

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-05-01$355.64$294.41115.8%33.2%187.0%0.0%101.8%0.6%0.5%12.7K-1.3M-14.3K0.0837.782011831
2007-05-02$362.71$294.41134.7%38.6%186.9%0.0%0.0%1.4%-40.2%12.0K-1.3M-14.7K0.0538.645011931
2007-05-03$354.47$294.41123.5%35.4%184.9%0.0%107.6%-5.9%-29.6%13.1K-1.2M-14.3K0.1334.612012131
2007-05-04$354.47$588.81108.9%31.3%178.3%0.0%0.0%2.2%-10.9%12.1K-1.2M-14.2K0.3330.840012331
2007-05-07$356.82$588.81141.8%30.8%119.1%0.0%0.0%-0.5%-9.5%12.5K-1.2M-14.2K0.5533.821112332
2007-05-08$337.98$588.81111.7%26.0%101.8%0.0%79.3%6.4%12.1%12.2K-1.2M-14.2K0.1175.531012432
2007-05-09$297.94$588.81118.2%32.1%106.8%0.0%114.4%21.3%-8.6%9.9K-1.0M-12.6K6.2058.3421312432
2007-05-10$308.54$588.81120.4%34.5%106.7%0.0%113.5%-0.1%-11.3%8.3K-579.0K-13.0K0.2168.791012445
2007-05-11$287.34$588.81122.5%35.1%103.1%0.0%122.6%-6.9%-30.4%7.8K-485.0K-12.1K0.0071.4221012444
2007-05-14$266.14$588.81125.5%36.0%69.4%0.0%125.3%-0.8%-29.4%7.5K-404.1K-10.8K0.0571.233012544
2007-05-15$276.74$588.81107.3%30.8%67.4%0.0%107.4%1.7%-8.3%10.1K-627.4K-11.9K0.1158.315113845
2007-05-16$280.27$588.81123.5%35.4%68.7%0.0%123.5%-5.5%-28.5%10.1K-630.3K-11.9K0.0066.381013445
2007-05-17$289.70$588.81119.8%34.3%70.9%0.0%0.0%-5.5%-21.8%10.2K-638.3K-12.2K0.0071.152013145
2007-05-18$299.12$588.81124.9%35.8%71.8%0.0%0.0%5.5%-21.9%10.2K-666.9K-12.2K0.1266.407112945
2007-05-21$383.91$588.81162.2%46.5%117.9%0.0%158.9%12.9%-69.0%11.5K-1.6M-15.5K0.1336.5459811845
2007-05-22$348.58$588.8191.3%26.2%121.9%0.0%72.6%-0.4%25.0%15.3K-1.7M-16.8K0.1268.341041315552
2007-05-23$335.62$294.41106.2%30.4%122.2%0.0%100.2%-6.1%-24.4%43.2K-3.3M-18.6K0.0567.1716123664
2007-05-24$341.51$294.4174.2%21.3%122.1%0.0%32.6%-3.4%63.4%43.0K-3.5M-19.9K0.0026.861024663
2007-05-25$315.60$294.41107.7%30.9%124.3%0.0%107.9%-12.5%-16.4%43.9K-2.9M-18.3K1.9225.680124663
2007-05-29$346.22$294.4168.1%19.5%129.3%0.0%56.4%-2.8%12.8%40.6K-4.0M-17.6K0.0870.881024663
2007-05-30$327.38$294.4183.9%24.1%129.6%0.0%0.0%-2.0%7.3%48.9K-3.3M-18.7K7.8941.8932724663
2007-05-31$330.91$294.4185.3%24.5%129.4%0.0%0.0%10.9%18.1%19.5K-3.7M-19.1K9.1046.061924988