AGEN Options History — October 2007

In October 2007, AGEN traded between $281.45 and $352.11. ATM implied volatility averaged 102.5%, placing in the 50.0% IV rank vs the trailing year. The 30-day expected move averaged 29.4%. IV traded above realized volatility by 43.6% (HV 20d: 58.8%). Max pain ranged from $294.41 to $294.41. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 8.79.

Notable Days

  • 2007-10-26: Highest Volume — 60 contracts
  • 2007-10-11: Largest IV spike — 20.3% change
  • 2007-10-11: Highest IV Rank — 60.2%
  • 2007-10-11: Largest Expected Move — 32.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$311.71$281.45$352.11$284.99$301.47
Max Pain$294.41$294.41$294.41$294.41$294.41
ATM IV102.5%85.2%114.7%98.3%96.3%
Expected Move29.4%24.4%32.9%28.2%27.6%
HV 20d58.8%40.0%75.3%44.3%75.3%
HV 60d71.6%66.4%76.4%66.4%71.8%
IV Rank50.0%35.6%60.2%46.5%44.9%
IV Percentile76.1%60.7%87.7%71.7%65.6%
Term Structure9.5%-11.2%43.0%10.2%-9.8%
VWIV104.1%81.8%125.2%100.2%94.0%
Skew 25d1.5%-23.5%36.6%-10.2%8.6%
Skew 10d9.5%-32.4%54.7%14.3%-4.7%
Call IV 25d115.6%83.7%127.6%123.3%108.3%
Put IV 25d117.2%96.6%143.6%113.1%116.8%
Bid-Ask Spread %38.8117.5969.9221.3835.28
Gamma HHI0.770.520.910.880.71
Net GEX3.8K-6.8K9.4K5.5K-4.9K
Net DEX700.7K-545.7K1.7M866.3K1.6M
Net VEX-13.1K-15.3K-1.9K-13.3K-14.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.790.0094.140.070.00
Total Volume5.04306010
Total OI301.957289361289357

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-10-01$284.99$294.4198.3%28.2%44.3%46.5%100.2%-10.2%10.2%5.5K866.3K-13.3K0.0721.3810156133
2007-10-02$281.45$294.41101.9%29.2%42.5%49.5%0.0%-14.0%10.2%5.0K841.3K-13.2K0.0023.8800156133
2007-10-03$282.63$294.4196.7%27.7%41.8%45.2%0.0%-17.6%11.8%5.5K1.1M-12.5K0.0017.5900156133
2007-10-04$282.63$294.4185.7%24.6%40.0%35.9%0.0%-13.9%24.0%6.9K1.1M-12.4K0.8056.8400157133
2007-10-05$312.07$294.4185.2%24.4%53.3%35.6%81.8%-3.5%43.0%9.4K772.4K-14.0K3.3231.7214157133
2007-10-08$328.56$294.4197.5%28.0%52.1%45.8%0.0%10.6%24.8%6.2K11.2K-12.8K0.1029.5130157134
2007-10-09$316.78$294.4194.5%27.1%53.8%43.4%0.0%9.4%10.8%6.0K630.1K-14.4K0.0023.0900156134
2007-10-10$319.14$294.4195.3%27.3%53.8%44.0%95.2%5.7%13.9%6.4K680.7K-14.1K2.1229.7323156134
2007-10-11$336.80$294.41114.7%32.9%56.1%60.2%0.0%17.8%8.5%-2.4K17.7K-12.8K1.1968.2122156137
2007-10-12$352.11$294.41106.1%30.4%54.6%53.0%0.0%12.1%12.1%-1.5K-545.7K-1.9K3.1030.3601158137
2007-10-15$335.62$294.41107.9%30.9%57.4%54.6%111.3%7.9%14.0%5.8K323.0K-15.3K0.0837.3640157137
2007-10-16$329.74$294.41108.0%31.0%58.0%54.6%0.0%7.4%10.1%5.4K535.1K-14.3K0.0027.2702158137
2007-10-17$320.31$294.41110.7%31.7%58.1%56.9%125.2%-4.6%9.7%4.0K721.9K-13.9K0.0046.6700158138
2007-10-18$315.60$294.41108.0%31.0%57.2%54.7%0.0%3.9%-6.7%6.0K586.0K-13.9K0.0043.0900158138
2007-10-19$297.94$294.41111.8%32.0%61.2%57.8%0.0%36.6%9.6%4.7K718.1K-13.4K0.0042.5500158138
2007-10-22$317.96$294.41105.3%30.2%65.0%52.4%0.0%33.6%-11.2%5.9K350.3K-13.5K0.0020.1900158138
2007-10-23$302.65$294.41107.9%30.9%67.6%54.6%107.9%-16.9%10.1%4.8K897.6K-12.5K0.0069.9200158138
2007-10-24$314.43$294.41104.0%29.8%68.1%51.3%0.0%-9.0%4.4%8.4K962.7K-12.2K0.0057.3200158138
2007-10-25$329.74$294.41110.1%31.6%69.2%56.4%110.2%9.0%17.3%5.9K196.7K-14.8K0.4952.00168158138
2007-10-26$306.18$294.41110.2%31.6%74.4%56.5%109.1%-16.5%12.4%6.7K594.1K-13.3K94.1464.94159167138
2007-10-29$305.00$294.41104.1%29.8%74.2%51.4%106.1%-23.5%-2.9%-6.8K1.7M-14.8K35.2535.0207167194
2007-10-30$295.58$294.4196.3%27.6%75.1%44.8%94.0%2.7%-6.7%-4.5K1.4M-14.2K0.0028.7400167188
2007-10-31$301.47$294.4196.3%27.6%75.3%44.9%0.0%8.6%-9.8%-4.9K1.6M-14.2K0.0035.2800167190