AGYS Options History — January 2007

In January 2007, AGYS traded between $18.26 and $20.45. ATM implied volatility averaged 38.2%. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 4.4% (HV 20d: 33.8%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 12.68.

Notable Days

  • 2007-01-10: Highest Volume — 248 contracts
  • 2007-01-11: Largest IV spike — 20.3% change
  • 2007-01-29: Largest Expected Move — 12.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.02$18.26$20.45$20.45$18.95
Max Pain$17.38$15.00$17.50$15.00$17.50
ATM IV38.2%28.4%44.5%37.7%41.3%
Expected Move11.3%8.9%12.8%10.8%11.8%
HV 20d33.8%32.8%34.8%34.8%32.8%
Term Structure-0.9%-14.2%3.4%-14.2%-0.7%
VWIV37.9%30.8%42.2%37.6%40.9%
Skew 25d4.0%-4.1%10.4%-1.7%4.6%
Skew 10d3.1%-3.5%8.5%-3.5%6.9%
Call IV 25d36.8%28.9%41.8%37.7%39.6%
Put IV 25d40.8%25.6%45.0%36.0%44.2%
Bid-Ask Spread %29.8015.8650.7942.3231.11
Gamma HHI0.490.390.680.480.45
Net GEX5.5K-1.8K9.2K8.6K5.7K
Net DEX-387.7K-814.9K-128.0K-814.9K-204.3K
Net VEX-1.7K-2.2K-496-496-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.680.00132.00132.003.33
Total Volume49.402481330
Total OI889.46671,201707762

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$20.45$15.0037.7%10.8%0.0%0.0%37.6%-1.7%-14.2%8.6K-814.9K-496132.0042.32N/AN/A1132449258
2007-01-04$19.49$17.5031.0%8.9%0.0%0.0%30.8%-3.2%2.7%-1.6K-591.2K-7885.2724.02N/AN/A30158450366
2007-01-05$18.73$17.5031.8%10.2%0.0%0.0%37.2%3.9%1.6%6.9K-481.0K-1.0K4.0050.79N/AN/A520480356
2007-01-08$18.83$17.5028.5%10.7%0.0%0.0%0.0%7.2%-2.0%3.6K-509.9K-9850.0046.84N/AN/A100485376
2007-01-09$19.02$17.5028.4%10.2%0.0%0.0%0.0%10.4%-0.3%5.2K-506.1K-1.0K0.0023.68N/AN/A010495376
2007-01-10$19.39$17.5033.1%11.0%0.0%0.0%38.7%3.6%-3.2%2.7K-486.0K-9431.1034.29N/AN/A118130440370
2007-01-11$19.90$17.5039.8%11.4%0.0%0.0%0.0%6.3%-2.2%-1.8K-601.6K-1.8K0.0028.92N/AN/A750543500
2007-01-12$19.68$17.5041.1%11.8%0.0%0.0%0.0%5.9%-1.6%4.1K-586.5K-2.0K0.0036.22N/AN/A1100613500
2007-01-16$19.46$17.5040.5%11.6%0.0%0.0%42.2%4.1%-1.6%7.7K-597.2K-2.2K1.0033.32N/AN/A1010693500
2007-01-17$18.87$17.5040.6%11.6%0.0%0.0%0.0%8.2%-2.1%8.9K-463.5K-2.1K0.0015.86N/AN/A100703494
2007-01-18$18.77$17.5039.5%11.3%0.0%0.0%0.0%6.6%-0.6%8.5K-442.9K-2.0K0.0016.80N/AN/A00707494
2007-01-19$18.67$17.5041.7%11.9%0.0%0.0%0.0%3.2%-1.2%9.2K-454.6K-2.0K0.4020.31N/AN/A104707471
2007-01-22$18.26$17.5040.8%11.7%0.0%0.0%40.9%-4.1%3.4%7.1K-129.2K-1.9K5.0026.23N/AN/A22110414253
2007-01-23$18.39$17.5042.6%12.2%0.0%0.0%0.0%-1.3%1.6%5.7K-129.3K-2.1K0.0023.28N/AN/A00436313
2007-01-24$18.76$17.5039.8%11.4%0.0%0.0%0.0%7.4%1.4%5.7K-162.4K-2.1K0.0022.13N/AN/A00436313
2007-01-25$18.59$17.5043.3%12.4%34.8%0.0%0.0%3.0%-0.2%5.8K-132.1K-2.1K3.3326.66N/AN/A310436313
2007-01-26$18.83$17.5040.0%11.5%34.5%0.0%0.0%5.9%0.8%5.6K-161.1K-2.1K0.0028.51N/AN/A00439323
2007-01-29$18.56$17.5044.5%12.8%33.6%0.0%0.0%4.4%-0.6%6.0K-128.0K-2.0K0.0033.21N/AN/A00439323
2007-01-30$18.84$17.5038.5%11.0%33.5%0.0%0.0%5.7%2.0%5.8K-171.2K-2.1K0.0031.52N/AN/A00439323
2007-01-31$18.95$17.5041.3%11.8%32.8%0.0%0.0%4.6%-0.7%5.7K-204.3K-2.0K0.0031.11N/AN/A00439323