AGEN Options History — November 2007

In November 2007, AGEN traded between $247.30 and $292.05. ATM implied volatility averaged 90.0%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 25.8%. IV traded above realized volatility by 29.6% (HV 20d: 60.4%). Max pain ranged from $294.41 to $294.41. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.20.

Notable Days

  • 2007-11-01: Highest Volume — 3 contracts
  • 2007-11-30: Largest IV drop — 41.4% change
  • 2007-11-20: Highest IV Rank — 60.5%
  • 2007-11-20: Largest Expected Move — 33.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$263.17$247.30$292.05$292.05$252.01
Max Pain$294.41$294.41$294.41$294.41$294.41
ATM IV90.0%52.3%115.0%95.3%52.3%
Expected Move25.8%15.0%33.0%27.3%15.0%
HV 20d60.4%47.5%76.3%76.3%48.8%
HV 60d62.9%56.5%72.7%71.6%56.5%
IV Rank39.6%8.0%60.5%44.0%8.0%
IV Percentile57.9%6.5%89.2%64.3%6.5%
Term Structure22.5%-8.6%70.9%-8.6%65.9%
VWIV92.3%77.0%106.9%92.6%77.0%
Skew 25d18.0%-25.0%42.3%-25.0%20.4%
Skew 10d30.4%-38.3%64.3%-38.3%36.4%
Call IV 25d92.7%72.6%124.1%114.2%97.5%
Put IV 25d110.7%89.1%128.3%89.1%117.9%
Bid-Ask Spread %34.5018.7063.9433.0519.58
Gamma HHI0.780.500.960.890.92
Net GEX-5.2K-15.3K-966-8.2K-15.3K
Net DEX2.3M1.8M2.8M1.9M2.8M
Net VEX-10.7K-13.6K-8.0K-13.3K-8.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.200.001.260.000.00
Total Volume0.6670330
Total OI358.714357360357358

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2007-11-01$292.05$294.4195.3%27.3%76.3%44.0%0.0%-25.0%-8.6%-8.2K1.9M-13.3K0.0033.0503167190
2007-11-02$283.81$294.4196.5%27.7%67.7%45.0%0.0%-20.8%7.5%-4.9K1.8M-13.6K0.0033.1300167193
2007-11-05$273.21$294.4190.6%26.0%65.2%40.1%0.0%-7.0%7.0%-4.6K2.0M-12.4K0.0039.8030167193
2007-11-06$286.16$294.4196.8%27.8%67.2%45.3%0.0%18.9%6.4%-5.1K2.0M-13.1K0.4229.9710167193
2007-11-07$273.21$294.4198.4%28.2%68.6%46.6%0.0%33.3%7.6%-4.7K1.8M-12.6K0.0033.0600167193
2007-11-08$274.39$294.4193.2%26.7%64.9%42.3%92.6%27.1%9.8%-4.7K2.1M-12.3K0.0738.8900167193
2007-11-09$274.39$294.4198.2%28.1%61.7%46.4%0.0%35.4%20.4%-3.1K2.1M-12.2K1.2629.3411167193
2007-11-12$256.72$294.41100.7%28.9%63.5%48.5%106.9%37.4%21.3%-2.7K2.0M-11.7K0.2434.5800167192
2007-11-13$267.32$294.4190.3%25.9%66.2%39.8%0.0%42.3%31.1%-9662.2M-11.7K0.2933.9210167192
2007-11-14$261.43$294.4192.3%26.5%66.0%41.5%0.0%15.9%-1.2%-7.2K2.7M-9.9K0.0052.3710167192
2007-11-15$257.90$294.41103.5%29.7%66.0%50.9%0.0%31.6%12.7%-3.7K2.1M-11.1K0.0025.7210166192
2007-11-16$247.30$294.4180.4%23.1%64.8%31.6%92.5%16.4%13.8%-5.4K2.6M-9.5K0.0037.5700166192
2007-11-19$253.19$294.4188.6%25.4%59.9%38.4%0.0%24.9%17.5%-4.0K2.4M-9.9K0.0044.5500166192
2007-11-20$252.01$294.41115.0%33.0%58.3%60.5%0.0%19.3%-3.8%-6.2K2.4M-9.6K0.0052.4700166192
2007-11-21$249.66$294.4182.5%23.7%55.5%33.3%0.0%14.9%37.7%-6.2K2.5M-9.3K0.1863.9400166192
2007-11-23$255.54$294.4174.1%21.2%52.7%26.3%0.0%18.8%56.5%-4.4K2.5M-9.4K0.0019.5800166192
2007-11-26$254.37$294.4176.4%21.9%47.5%28.2%0.0%19.4%55.7%-4.0K2.5M-9.1K0.0019.5810166192
2007-11-27$248.48$294.4190.4%25.9%47.7%39.9%77.0%22.0%18.0%-4.1K2.5M-9.0K0.5637.6510167192
2007-11-28$259.08$294.4185.1%24.4%50.4%35.5%0.0%12.6%26.7%-4.1K2.8M-8.5K0.0026.9900167191
2007-11-29$254.37$294.4189.1%25.6%49.5%38.9%0.0%20.4%70.9%-5.8K2.5M-9.0K0.0018.7000167191
2007-11-30$252.01$294.4152.3%15.0%48.8%8.0%0.0%20.4%65.9%-15.3K2.8M-8.0K0.0019.5800167191