AGEN Options History — June 2007

In June 2007, AGEN traded between $322.67 and $388.62. ATM implied volatility averaged 76.5%. The 30-day expected move averaged 20.6%. IV traded below realized volatility by 34.1% (HV 20d: 110.6%). Max pain ranged from $294.41 to $883.22. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 3.06.

Notable Days

  • 2007-06-12: Highest Volume — 102 contracts
  • 2007-06-19: Largest IV spike — 62.2% change
  • 2007-06-04: Largest Expected Move — 28.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$354.63$322.67$388.62$332.09$336.80
Max Pain$378.52$294.41$883.22$294.41$883.22
ATM IV76.5%43.8%133.7%77.0%65.8%
Expected Move20.6%12.6%28.6%22.1%18.9%
HV 20d110.6%73.7%139.3%129.3%74.9%
HV 60d137.5%135.1%139.0%135.2%135.1%
Term Structure32.9%6.8%62.7%6.8%46.0%
VWIV67.0%45.9%92.4%66.5%92.4%
Skew 25d1.1%-16.2%19.8%-2.6%-5.4%
Skew 10d25.0%-13.8%55.0%33.5%-0.2%
Call IV 25d104.7%77.7%122.0%117.0%100.3%
Put IV 25d105.8%91.8%123.6%114.5%94.9%
Bid-Ask Spread %55.7428.1579.9956.6274.09
Gamma HHI0.720.490.830.820.76
Net GEX32.1K13.4K51.8K48.6K34.6K
Net DEX-2.8M-4.7M-921.9K-2.9M-1.4M
Net VEX-23.2K-25.7K-18.9K-21.0K-25.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.060.0018.970.130.50
Total Volume16.905010210
Total OI376.476341445346415

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-06-01$332.09$294.4177.0%22.1%129.3%0.0%0.0%-2.6%6.8%48.6K-2.9M-21.0K0.1356.621024997
2007-06-04$322.67$294.4175.0%28.6%129.6%0.0%0.0%1.6%8.4%51.8K-2.8M-19.3K0.8332.93201625097
2007-06-05$370.95$294.4184.0%24.3%139.3%0.0%0.0%2.0%48.0%22.6K-4.1M-18.9K0.0655.09141265105
2007-06-06$388.62$294.41104.4%24.4%138.5%0.0%0.0%3.5%25.4%17.9K-4.7M-23.2K0.1749.0271271105
2007-06-07$355.64$294.4179.7%28.1%134.3%0.0%0.0%0.3%9.1%30.7K-3.2M-22.9K17.1337.43232259105
2007-06-08$369.77$294.4177.5%23.2%134.5%0.0%0.0%5.4%36.6%13.5K-2.5M-19.7K14.0847.31118258138
2007-06-11$361.53$294.41110.7%23.3%131.7%0.0%0.0%2.3%24.3%18.7K-3.0M-21.8K1.6147.3600258121
2007-06-12$361.53$294.41109.5%22.5%127.6%0.0%0.0%-2.2%34.0%13.4K-3.0M-19.4K0.1745.808715258121
2007-06-13$381.55$294.41133.7%19.1%128.1%0.0%66.5%0.5%28.7%34.9K-3.0M-25.7K0.5470.012915280133
2007-06-14$373.31$294.4167.2%19.3%128.8%0.0%0.0%6.0%47.9%19.9K-3.0M-21.7K18.9763.74110288149
2007-06-15$360.35$294.4177.6%22.3%129.8%0.0%0.0%0.6%31.3%31.6K-2.1M-25.2K3.2876.2612288157
2007-06-18$360.35$294.4143.8%12.6%129.6%0.0%45.9%0.3%23.5%36.6K-3.5M-25.6K0.1473.561025587
2007-06-19$347.40$294.4171.0%20.4%94.2%0.0%0.0%-1.5%41.4%39.5K-3.1M-25.2K0.0577.971025587
2007-06-20$358.00$294.4163.5%18.2%88.4%0.0%0.0%4.2%62.7%36.7K-3.3M-25.0K0.2739.030025587
2007-06-21$349.75$294.4172.7%20.8%87.7%0.0%0.0%4.2%44.2%36.7K-3.3M-24.9K0.0079.990025587
2007-06-22$339.16$294.4151.9%14.9%88.3%0.0%0.0%6.7%40.3%39.5K-3.0M-24.4K1.8867.780025587
2007-06-25$341.51$294.4175.2%21.6%83.3%0.0%63.1%19.8%24.0%40.0K-2.9M-24.0K0.8351.971125587
2007-06-26$346.22$294.4157.8%16.6%76.6%0.0%0.0%-3.0%45.8%39.6K-3.0M-24.3K3.0066.23195725487
2007-06-27$350.93$883.2250.9%14.6%73.7%0.0%0.0%-16.2%26.7%33.1K-1.2M-24.5K0.3628.1510271144
2007-06-28$339.16$883.2258.4%16.7%74.9%0.0%92.4%-3.2%36.5%34.4K-921.9K-25.5K0.3530.2610270161
2007-06-29$336.80$883.2265.8%18.9%74.9%0.0%0.0%-5.4%46.0%34.6K-1.4M-25.7K0.5074.0900271144