AGYS Options History — May 2007

In May 2007, AGYS traded between $21.11 and $22.61. ATM implied volatility averaged 41.6%. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 6.9% (HV 20d: 48.5%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.68.

Notable Days

  • 2007-05-24: Highest Volume — 424 contracts
  • 2007-05-25: Largest IV drop — 17.4% change
  • 2007-05-24: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.81$21.11$22.61$21.11$21.72
Max Pain$21.48$20.00$22.50$22.50$22.50
ATM IV41.6%36.0%51.7%43.5%40.3%
Expected Move12.0%10.4%14.8%12.5%11.6%
HV 20d48.5%40.5%52.4%50.5%40.5%
HV 60d42.2%41.0%43.9%41.0%43.8%
Term Structure-3.1%-10.1%0.9%-1.0%-0.7%
VWIV42.8%34.7%55.2%34.7%40.1%
Skew 25d4.1%-0.3%9.1%4.7%9.1%
Skew 10d6.8%1.0%12.8%9.3%12.8%
Call IV 25d37.6%34.4%42.9%37.2%34.4%
Put IV 25d41.7%39.1%45.7%41.9%43.5%
Bid-Ask Spread %37.9226.1966.3629.3335.86
Gamma HHI0.560.370.720.630.37
Net GEX25.8K17.2K41.6K18.4K20.8K
Net DEX-378.2K-628.6K-230.0K-230.0K-411.9K
Net VEX-2.5K-3.7K-2.1K-2.2K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.005.501.000.10
Total Volume88.682042428222
Total OI935.5917191,4237191,423

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$21.11$22.5043.5%12.5%50.5%0.0%34.7%4.7%-1.0%18.4K-230.0K-2.2K1.0029.33N/AN/A1414534185
2007-05-02$22.04$22.5037.4%10.7%52.4%0.0%0.0%3.3%0.4%24.0K-377.3K-2.2K0.0039.60N/AN/A230526195
2007-05-03$21.89$22.5036.2%10.4%48.4%0.0%36.3%3.0%0.9%25.2K-366.3K-2.2K0.0033.55N/AN/A210539195
2007-05-04$21.93$22.5036.0%10.6%48.4%0.0%0.0%3.4%-0.8%25.0K-352.7K-2.2K0.0026.52N/AN/A00538195
2007-05-07$21.50$22.5039.3%11.2%48.8%0.0%42.4%3.8%-1.6%22.4K-278.1K-2.1K0.0030.91N/AN/A010538195
2007-05-08$21.92$22.5037.8%11.1%49.1%0.0%0.0%2.8%-2.0%27.0K-357.4K-2.1K0.0032.85N/AN/A00538185
2007-05-09$22.54$22.5037.7%11.6%49.9%0.0%41.3%3.4%-2.9%30.8K-490.7K-2.1K0.0028.85N/AN/A2130538185
2007-05-10$21.76$22.5040.3%11.6%51.7%0.0%0.0%1.7%-2.8%35.8K-429.9K-2.4K0.0033.13N/AN/A00712185
2007-05-11$22.24$22.5041.0%11.8%51.1%0.0%0.0%3.5%-4.4%41.6K-523.1K-2.5K0.0030.29N/AN/A30712185
2007-05-14$21.48$22.5043.6%12.5%51.7%0.0%43.9%4.5%-5.7%31.6K-334.9K-2.2K0.0040.64N/AN/A1150715185
2007-05-15$21.43$20.0042.0%12.0%51.7%0.0%42.3%4.0%-3.7%31.9K-345.6K-2.3K0.0029.50N/AN/A30798185
2007-05-16$21.56$20.0042.1%12.1%48.0%0.0%46.2%5.5%-4.3%34.7K-356.5K-2.3K0.0037.29N/AN/A020799185
2007-05-17$21.11$20.0046.0%13.2%48.3%0.0%43.0%5.2%-4.0%20.0K-263.8K-2.2K0.3035.66N/AN/A103799205
2007-05-18$21.30$20.0042.0%12.0%48.3%0.0%0.0%4.7%-4.2%27.0K-302.1K-2.2K0.0050.96N/AN/A00804205
2007-05-21$22.21$20.0040.2%11.5%49.6%0.0%41.0%4.1%-3.0%24.8K-463.4K-2.2K1.0647.37N/AN/A3234594187
2007-05-22$22.09$20.0043.6%12.5%49.5%0.0%43.4%4.2%-5.2%23.3K-441.0K-2.3K1.0734.67N/AN/A5761606221
2007-05-23$21.89$20.0044.6%12.8%49.6%0.0%49.7%5.2%-5.1%23.8K-394.0K-2.7K5.5043.05N/AN/A1055652272
2007-05-24$21.31$20.0051.7%14.8%45.4%0.0%55.2%2.8%-10.1%17.2K-241.7K-2.8K0.7526.19N/AN/A242182662327
2007-05-25$22.61$20.0042.7%12.2%48.8%0.0%41.7%-0.3%-6.6%24.0K-628.6K-3.7K0.2364.00N/AN/A22351778487
2007-05-29$22.45$22.5042.5%12.2%41.3%0.0%43.7%3.2%-1.1%20.2K-492.4K-3.6K0.7766.36N/AN/A12495755521
2007-05-30$21.70$22.5043.6%12.5%43.4%0.0%40.8%7.8%-1.0%17.9K-239.1K-3.5K0.1537.61N/AN/A9915852486
2007-05-31$21.72$22.5040.3%11.6%40.5%0.0%40.1%9.1%-0.7%20.8K-411.9K-3.7K0.1035.86N/AN/A20220928495