AGYS Options History — March 2007

In March 2007, AGYS traded between $20.40 and $23.00. ATM implied volatility averaged 32.5%. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 4.6% (HV 20d: 37.1%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.30.

Notable Days

  • 2007-03-19: Highest Volume — 244 contracts
  • 2007-03-05: Largest IV spike — 43.1% change
  • 2007-03-13: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.91$20.40$23.00$21.01$22.47
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV32.5%19.9%36.7%31.4%34.0%
Expected Move10.0%7.0%12.0%9.0%9.7%
HV 20d37.1%31.4%42.3%31.4%39.5%
HV 60d34.4%32.2%35.3%32.2%34.5%
Term Structure2.2%-3.8%13.4%3.4%3.7%
VWIV36.2%31.5%46.0%46.0%32.7%
Skew 25d8.3%-0.8%16.5%15.6%12.6%
Skew 10d14.6%-4.1%47.5%45.8%20.0%
Call IV 25d30.6%24.8%35.0%29.0%24.9%
Put IV 25d38.9%30.8%46.7%44.6%37.5%
Bid-Ask Spread %68.7524.78140.48129.0941.66
Gamma HHI0.610.400.800.410.80
Net GEX24.7K16.9K39.4K19.1K39.4K
Net DEX-1.0M-1.3M-603.0K-815.2K-1.3M
Net VEX-2.6K-3.2K-2.2K-2.7K-3.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.300.002.002.000.15
Total Volume63.5910244054
Total OI1,191.3641,0541,3631,1031,348

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$21.01$20.0031.4%9.0%31.4%0.0%0.0%15.6%3.4%19.1K-815.2K-2.7K0.00129.09N/AN/A00706397
2007-03-02$20.91$20.0024.6%7.0%31.6%0.0%0.0%16.5%13.4%20.0K-785.9K-2.6K2.00140.48N/AN/A510706397
2007-03-05$20.40$20.0035.2%10.5%33.2%0.0%46.0%8.4%1.5%19.5K-603.0K-2.8K0.8384.87N/AN/A1210711407
2007-03-06$20.75$20.0034.6%10.4%33.5%0.0%36.8%6.6%1.8%19.3K-734.2K-2.6K0.0086.85N/AN/A014705417
2007-03-07$21.26$20.0023.7%9.5%33.1%0.0%0.0%9.6%2.4%16.9K-894.7K-2.5K0.0057.80N/AN/A00705424
2007-03-08$21.86$20.0033.2%9.5%33.9%0.0%36.1%4.2%2.8%17.9K-1.0M-2.4K0.0668.93N/AN/A181705424
2007-03-09$21.89$20.0019.9%9.7%33.3%0.0%33.6%3.8%2.6%18.2K-1.0M-2.2K0.0078.49N/AN/A1080708424
2007-03-12$22.43$20.0026.6%9.8%34.1%0.0%34.1%3.3%2.6%29.3K-1.3M-2.4K0.0077.39N/AN/A1430815424
2007-03-13$21.17$20.0032.8%12.0%40.6%0.0%39.8%9.7%-3.8%21.2K-973.3K-2.7K0.1956.37N/AN/A12123837424
2007-03-14$21.52$20.0029.6%11.1%39.2%0.0%39.9%12.5%-2.8%22.2K-1.1M-2.6K0.0046.85N/AN/A140850434
2007-03-15$22.08$20.0034.4%9.9%39.9%0.0%34.5%5.9%2.7%30.8K-1.2M-2.4K0.0024.78N/AN/A05839434
2007-03-16$22.04$20.0036.7%10.5%40.0%0.0%37.9%4.2%1.2%28.9K-1.2M-2.4K0.0057.74N/AN/A640839439
2007-03-19$23.00$20.0036.3%10.4%42.3%0.0%36.4%3.5%-0.2%18.6K-1.2M-2.2K0.0959.22N/AN/A22420698356
2007-03-20$22.67$20.0036.1%10.3%38.1%0.0%31.5%6.2%0.3%22.8K-1.1M-2.4K0.0059.32N/AN/A420746372
2007-03-21$22.20$20.0035.3%10.1%38.8%0.0%35.3%12.7%1.6%23.4K-959.2K-2.5K0.2465.13N/AN/A12630736372
2007-03-22$22.41$20.0035.0%10.0%38.8%0.0%35.0%14.1%1.7%27.5K-1.1M-2.8K0.0066.90N/AN/A140815392
2007-03-23$22.70$20.0034.1%9.8%39.1%0.0%33.6%5.1%2.2%27.9K-1.2M-2.7K0.0065.48N/AN/A850813392
2007-03-26$22.99$20.0034.8%10.0%39.3%0.0%34.8%-0.8%1.6%27.9K-1.3M-2.5K0.3870.71N/AN/A166809392
2007-03-27$22.40$20.0034.6%9.9%38.4%0.0%0.0%11.7%2.6%29.1K-1.1M-2.7K0.0070.63N/AN/A30821395
2007-03-28$21.82$20.0036.4%10.4%38.8%0.0%36.4%9.5%3.6%27.9K-982.2K-2.7K0.0749.70N/AN/A18313824395
2007-03-29$21.93$20.0035.6%10.2%38.8%0.0%36.7%8.2%4.4%35.6K-1.1M-3.2K1.3354.08N/AN/A1520955408
2007-03-30$22.47$20.0034.0%9.7%39.5%0.0%32.7%12.6%3.7%39.4K-1.3M-3.0K0.1541.66N/AN/A477955393