AGEN Options History — August 2007

In August 2007, AGEN traded between $261.43 and $346.22. ATM implied volatility averaged 90.7%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 26.7%. IV traded above realized volatility by 15.5% (HV 20d: 75.2%). Max pain ranged from $294.41 to $1177.63. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 2.33.

Notable Days

  • 2007-08-10: Highest Volume — 68 contracts
  • 2007-08-14: Largest IV spike — 40.3% change
  • 2007-08-14: Highest IV Rank — 65.6%
  • 2007-08-22: Largest Expected Move — 31.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$295.43$261.43$346.22$342.69$292.05
Max Pain$409.61$294.41$1177.63$1177.63$294.41
ATM IV90.7%58.6%121.2%72.2%82.6%
Expected Move26.7%16.8%31.6%20.7%23.7%
HV 20d75.2%34.4%102.3%34.4%102.3%
HV 60d77.1%65.8%87.2%87.2%65.8%
IV Rank40.1%13.3%65.6%24.7%33.4%
IV Percentile69.5%22.6%89.0%52.4%62.9%
Term Structure6.6%-30.9%34.5%29.6%30.2%
VWIV98.7%80.8%111.6%104.2%101.0%
Skew 25d0.8%-23.5%50.9%-7.8%6.1%
Skew 10d25.9%-14.0%40.5%16.6%38.5%
Call IV 25d104.1%55.9%128.6%106.8%109.4%
Put IV 25d104.9%93.2%124.6%99.0%115.5%
Bid-Ask Spread %44.8711.9380.5053.4760.29
Gamma HHI0.850.780.920.790.92
Net GEX32.2K25.6K39.0K37.4K39.0K
Net DEX-26.1K-1.8M1.3M-1.8M651.9K
Net VEX-18.5K-22.9K-15.2K-22.9K-16.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.330.0021.250.000.00
Total Volume8.52206800
Total OI406.652381467388397

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-08-01$342.69$1177.6372.2%20.7%34.4%24.7%0.0%-7.8%29.6%37.4K-1.8M-22.9K0.0053.4700260128
2007-08-02$346.22$1177.6358.6%16.8%34.7%13.3%0.0%12.8%34.5%36.8K-1.7M-22.0K0.0011.9330260128
2007-08-03$345.04$1177.6368.9%19.8%34.4%22.0%0.0%18.0%19.3%36.8K-1.7M-22.6K0.0013.6210262128
2007-08-06$307.36$294.4191.9%29.8%53.3%41.1%104.2%-9.7%-30.9%37.4K-739.3K-20.1K0.8232.9154263128
2007-08-07$288.52$294.4182.2%28.9%57.0%33.1%100.7%-23.5%-16.4%32.1K-95.7K-18.5K0.3133.11124262132
2007-08-08$301.47$294.4189.7%28.1%60.0%39.4%0.0%4.7%11.4%31.0K-948.4K-20.3K0.1244.6010258134
2007-08-09$309.72$294.4184.2%30.1%61.1%34.7%111.6%10.3%3.7%31.1K-734.6K-20.4K0.5343.8111260135
2007-08-10$306.18$294.4198.9%27.6%61.1%47.1%0.0%9.5%3.9%33.5K-691.1K-19.7K0.8939.323632259135
2007-08-13$317.96$294.4186.4%29.5%62.9%36.5%0.0%-13.5%0.2%33.5K155.2K-20.5K2.9831.6213288167
2007-08-14$317.96$294.41121.2%28.3%62.9%65.6%0.0%1.2%2.8%38.2K367.0K-20.3K21.2539.3101291170
2007-08-15$307.36$294.41105.5%31.3%62.3%52.5%109.6%5.8%-1.7%31.3K229.7K-19.7K2.0937.88817291166
2007-08-16$261.43$294.4189.4%25.6%81.1%39.1%100.8%46.0%-1.3%33.7K830.8K-17.3K1.5280.5035291175
2007-08-17$292.05$294.41103.1%29.6%92.7%50.5%94.0%50.9%-0.2%32.6K1.3M-17.9K0.0074.3640288179
2007-08-20$272.03$294.4197.9%28.1%95.1%46.2%0.0%-12.3%3.2%28.9K179.0K-16.3K0.0845.84101251135
2007-08-21$284.99$294.41106.2%30.4%96.3%53.1%102.8%-15.4%-2.4%29.8K282.4K-16.6K0.1240.5571250136
2007-08-22$274.39$294.41110.4%31.6%96.7%56.6%0.0%-16.0%-19.1%25.8K244.2K-16.0K0.0032.8610244137
2007-08-23$270.85$294.4196.0%27.5%96.2%44.6%96.0%-6.5%-0.7%28.3K490.5K-15.2K0.5233.7721247137
2007-08-24$281.45$294.4182.0%23.5%97.7%32.9%80.8%-10.6%23.8%34.1K487.7K-15.8K19.9656.82124246138
2007-08-27$274.39$294.4191.5%26.2%97.5%40.8%91.5%-6.7%15.1%28.7K471.6K-17.7K0.0250.4340246157
2007-08-28$263.79$294.4182.4%23.6%96.6%33.3%91.3%-7.8%15.5%26.8K726.6K-15.8K0.0080.2810245154
2007-08-29$267.32$294.4199.5%28.5%97.0%47.5%101.0%-10.4%11.0%25.6K677.6K-16.3K0.0937.4910244154
2007-08-30$269.68$294.4185.1%24.4%96.9%35.5%0.0%-5.7%21.1%27.4K684.3K-16.3K0.0057.1600243154
2007-08-31$292.05$294.4182.6%23.7%102.3%33.4%0.0%6.1%30.2%39.0K651.9K-16.6K0.0060.2900243154