AGYS Options History — June 2007

In June 2007, AGYS traded between $22.16 and $23.01. ATM implied volatility averaged 39.3%. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 4.4% (HV 20d: 34.8%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.80.

Notable Days

  • 2007-06-15: Highest Volume — 566 contracts
  • 2007-06-25: Largest IV spike — 16.2% change
  • 2007-06-07: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.53$22.16$23.01$22.16$22.50
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV39.3%35.0%44.2%40.1%36.6%
Expected Move11.2%10.0%12.2%11.5%10.5%
HV 20d34.8%24.2%41.1%41.1%24.2%
HV 60d41.4%38.5%43.7%43.7%38.5%
Term Structure2.7%-4.6%10.0%-1.0%5.1%
VWIV38.4%33.4%41.4%39.6%37.7%
Skew 25d3.5%-1.9%10.8%10.8%4.0%
Skew 10d2.8%-6.9%16.5%16.5%8.4%
Call IV 25d38.1%32.2%40.3%32.2%36.3%
Put IV 25d41.6%38.4%43.6%43.0%40.2%
Bid-Ask Spread %42.6326.2859.0445.1359.04
Gamma HHI0.380.240.610.380.35
Net GEX33.5K24.1K55.1K26.2K36.3K
Net DEX-1.9M-2.8M-794.7K-794.7K-2.8M
Net VEX-6.0K-7.8K-3.9K-4.4K-7.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.006.001.100.00
Total Volume80.8105662152
Total OI1,966.1431,6042,2391,6042,210

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$22.16$22.5040.1%11.5%41.1%0.0%0.0%10.8%-1.0%26.2K-794.7K-4.4K1.1045.13N/AN/A10111,089515
2007-06-04$22.19$22.5041.9%11.3%41.1%0.0%0.0%3.4%0.5%27.9K-839.4K-4.2K3.0035.38N/AN/A131,089516
2007-06-05$22.22$22.5041.2%11.3%40.4%0.0%39.6%3.5%2.2%27.9K-802.2K-4.2K0.0035.46N/AN/A1101,090516
2007-06-06$22.65$22.5044.2%11.3%40.4%0.0%38.5%2.7%3.2%30.9K-914.5K-4.2K0.0040.31N/AN/A101,099516
2007-06-07$22.16$22.5039.5%12.2%39.9%0.0%41.4%2.6%-4.0%30.2K-884.6K-4.1K0.0948.82N/AN/A4441,098516
2007-06-08$22.79$22.5040.1%11.0%39.0%0.0%38.5%3.2%3.0%37.7K-989.8K-4.1K0.2050.45N/AN/A1021,124516
2007-06-11$22.41$22.5041.1%11.7%38.9%0.0%0.0%3.1%-0.5%39.3K-957.6K-4.1K1.9146.24N/AN/A11211,129514
2007-06-12$22.26$22.5039.5%11.5%36.7%0.0%0.0%3.6%1.7%35.0K-802.9K-3.9K0.0043.73N/AN/A51001,130535
2007-06-13$22.61$22.5037.1%11.7%37.0%0.0%41.0%3.7%0.9%55.1K-1.9M-5.8K0.0035.36N/AN/A301,630535
2007-06-14$22.44$22.5039.8%11.4%37.2%0.0%40.1%6.3%2.3%53.2K-1.9M-5.6K6.0028.10N/AN/A5301,632535
2007-06-15$23.01$22.5040.5%11.6%37.0%0.0%37.7%3.0%2.0%40.9K-2.3M-5.5K0.0648.49N/AN/A535311,632525
2007-06-18$22.99$22.5039.6%11.4%37.0%0.0%39.5%4.4%4.0%24.1K-2.6M-7.2K0.0026.28N/AN/A8201,617405
2007-06-19$22.96$22.5039.2%11.2%34.1%0.0%39.1%3.9%4.4%27.1K-2.6M-7.5K0.1137.20N/AN/A100111,673405
2007-06-20$22.63$22.5037.4%10.7%34.5%0.0%37.1%6.2%8.2%28.1K-2.8M-7.6K0.5032.88N/AN/A40201,773406
2007-06-21$23.00$22.5038.0%10.9%34.7%0.0%0.0%0.3%5.4%30.1K-2.8M-7.8K0.0043.05N/AN/A001,788406
2007-06-22$22.49$22.5035.0%10.0%34.2%0.0%33.4%2.0%10.0%29.8K-2.7M-7.5K1.5051.09N/AN/A20301,788406
2007-06-25$22.37$22.5040.7%11.7%27.0%0.0%0.0%-1.9%-4.6%29.3K-2.6M-7.7K0.0054.82N/AN/A301,801426
2007-06-26$22.16$22.5037.5%10.8%27.1%0.0%37.3%4.4%4.2%30.6K-2.5M-7.6K0.0035.94N/AN/A501,804426
2007-06-27$22.62$22.5038.2%11.0%25.0%0.0%38.0%3.5%4.5%31.2K-2.6M-7.7K0.5055.88N/AN/A20101,809426
2007-06-28$22.55$22.5037.0%10.6%25.1%0.0%37.0%1.7%6.1%33.1K-2.7M-7.3K1.0341.58N/AN/A30311,823416
2007-06-29$22.50$22.5036.6%10.5%24.2%0.0%37.7%4.0%5.1%36.3K-2.8M-7.5K0.0059.04N/AN/A5201,821389