AGYS Options History — July 2007

In July 2007, AGYS traded between $19.21 and $23.46. ATM implied volatility averaged 44.1%, placing in the 77.6% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 15.9% (HV 20d: 28.1%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.10.

Notable Days

  • 2007-07-24: Highest Volume — 80 contracts
  • 2007-07-12: Largest IV spike — 18.8% change
  • 2007-07-25: Highest IV Rank — 100.0%
  • 2007-07-31: Largest Expected Move — 15.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.55$19.21$23.46$23.46$19.21
Max Pain$23.45$20.00$25.00$22.50$20.00
ATM IV44.1%35.5%53.8%39.6%53.8%
Expected Move12.9%10.2%15.4%11.4%15.4%
HV 20d28.1%22.8%30.7%28.2%22.8%
HV 60d37.2%32.2%40.2%39.4%32.4%
IV Rank77.6%51.9%100.0%54.0%100.0%
IV Percentile81.3%35.2%100.0%40.5%100.0%
Term Structure-2.1%-12.7%7.2%2.9%-12.7%
VWIV49.1%39.8%52.4%39.8%52.4%
Skew 25d5.5%-3.4%20.5%-0.4%5.1%
Skew 10d9.9%-7.1%35.0%-6.8%9.3%
Call IV 25d37.5%29.1%41.5%37.7%41.5%
Put IV 25d43.1%32.4%50.1%37.3%46.6%
Bid-Ask Spread %47.3029.6175.6741.5834.94
Gamma HHI0.390.300.550.360.31
Net GEX39.2K26.1K53.4K40.4K32.2K
Net DEX-2.3M-3.2M-1.7M-3.2M-1.7M
Net VEX-6.7K-7.2K-6.4K-7.0K-6.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.100.000.670.000.00
Total Volume15.381080180
Total OI2,112.6191,7462,2852,2551,847

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$23.46$22.5039.6%11.4%28.2%0.0%39.8%-0.4%2.9%40.4K-3.2M-7.0K0.0041.58N/AN/A1801,866389
2007-07-03$22.75$22.5035.5%10.2%30.7%0.0%0.0%-3.4%7.2%41.3K-3.0M-6.4K0.0057.43N/AN/A001,880389
2007-07-05$22.99$22.5037.1%10.6%30.1%54.0%0.0%4.0%6.7%43.8K-2.9M-7.1K0.0050.34N/AN/A1001,880389
2007-07-06$22.59$25.0037.5%11.8%29.7%55.2%0.0%4.5%0.9%43.7K-2.9M-7.2K0.0029.94N/AN/A001,890389
2007-07-09$22.90$25.0036.4%12.3%28.4%51.9%0.0%20.5%-0.9%50.1K-2.9M-6.9K0.1737.59N/AN/A1831,890389
2007-07-10$22.84$25.0037.9%12.6%27.7%56.6%0.0%16.9%-2.3%47.8K-2.9M-6.7K0.0041.40N/AN/A001,896389
2007-07-11$22.50$25.0036.9%12.5%28.2%53.6%0.0%1.3%-1.4%47.1K-2.7M-6.9K0.0038.09N/AN/A0121,851389
2007-07-12$22.70$25.0043.9%12.6%27.8%75.4%0.0%3.0%-2.7%48.8K-2.8M-6.7K0.0029.61N/AN/A301,851377
2007-07-13$22.44$25.0042.6%12.2%28.0%71.5%0.0%1.2%-0.8%53.4K-2.6M-6.7K0.6739.08N/AN/A15101,854377
2007-07-16$22.03$25.0043.1%12.4%27.0%73.0%0.0%5.0%-0.8%52.0K-2.4M-6.7K0.0243.93N/AN/A5011,851386
2007-07-17$21.76$25.0043.9%12.6%27.3%75.5%0.0%6.0%-1.7%47.9K-2.2M-6.6K0.0047.14N/AN/A201,870387
2007-07-18$21.39$25.0043.4%12.4%27.7%73.8%0.0%5.9%-1.2%36.0K-2.0M-6.5K0.0048.26N/AN/A201,867387
2007-07-19$21.32$25.0043.1%12.4%27.4%73.0%0.0%6.7%-1.6%30.5K-2.0M-6.6K0.5049.27N/AN/A631,869386
2007-07-20$21.25$25.0048.9%14.0%26.5%91.3%0.0%5.8%-5.2%28.3K-1.9M-6.5K0.0075.67N/AN/A001,869386
2007-07-23$20.89$25.0051.6%14.8%26.1%99.6%52.3%5.4%-7.5%26.1K-2.0M-6.4K0.0054.06N/AN/A1601,525221
2007-07-24$20.04$22.5049.6%14.2%29.3%93.4%0.0%4.5%-1.4%27.0K-1.8M-6.4K0.0054.90N/AN/A8001,538221
2007-07-25$20.34$22.5051.8%14.8%30.1%100.0%51.9%5.1%-8.0%29.9K-1.9M-6.7K0.0047.79N/AN/A6201,618221
2007-07-26$20.00$20.0047.5%13.6%29.0%86.5%0.0%6.3%-1.1%31.8K-1.8M-6.7K0.0063.14N/AN/A001,646221
2007-07-27$19.68$20.0048.5%13.9%29.1%89.8%0.0%5.6%-4.1%32.6K-1.8M-6.7K0.0051.73N/AN/A001,646211
2007-07-30$19.53$20.0052.6%15.1%29.1%100.0%52.4%7.2%-7.7%32.6K-1.7M-6.5K0.0057.43N/AN/A1201,646211
2007-07-31$19.21$20.0053.8%15.4%22.8%100.0%0.0%5.1%-12.7%32.2K-1.7M-6.4K0.0034.94N/AN/A001,636211