AGYS Options History — August 2007

In August 2007, AGYS traded between $14.50 and $19.26. ATM implied volatility averaged 43.8%, placing in the 58.5% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 11.5% (HV 20d: 55.3%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.55.

Notable Days

  • 2007-08-21: Highest Volume — 1,703 contracts
  • 2007-08-16: Largest IV spike — 35.2% change
  • 2007-08-02: Highest IV Rank — 100.0%
  • 2007-08-02: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.55$14.50$19.26$19.26$17.06
Max Pain$17.93$17.50$20.00$20.00$17.50
ATM IV43.8%33.6%61.6%52.9%33.8%
Expected Move12.6%9.6%17.3%15.2%9.7%
HV 20d55.3%21.8%73.7%21.8%62.7%
HV 60d42.4%32.2%47.7%32.2%46.8%
IV Rank58.5%32.9%100.0%97.5%33.3%
IV Percentile62.8%13.0%100.0%99.3%13.2%
Term Structure0.7%-12.3%8.4%-7.9%5.7%
VWIV41.8%31.3%61.6%51.4%31.3%
Skew 25d4.5%-5.4%11.0%4.8%-3.5%
Skew 10d10.8%-13.5%28.9%11.2%-3.5%
Call IV 25d39.4%28.5%48.3%42.7%31.4%
Put IV 25d43.9%28.0%55.8%47.5%28.0%
Bid-Ask Spread %57.7417.18109.3146.9617.18
Gamma HHI0.350.250.530.300.26
Net GEX34.0K20.9K50.2K27.0K48.7K
Net DEX-938.4K-1.6M-562.7K-1.6M-729.6K
Net VEX-7.2K-10.2K-5.0K-6.9K-9.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.005.105.100.00
Total Volume116.47801,70312210
Total OI2,622.7831,8473,8321,8473,832

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-08-01$19.26$20.0052.9%15.2%21.8%97.5%51.4%4.8%-7.9%27.0K-1.6M-6.9K5.1046.96N/AN/A201021,636211
2007-08-02$17.97$17.5060.3%17.3%29.7%100.0%0.0%7.9%-12.3%29.6K-1.3M-6.4K0.00109.31N/AN/A001,656253
2007-08-03$16.55$17.5046.1%13.2%38.7%64.9%61.6%10.2%-4.9%26.2K-995.4K-6.1K0.0050.06N/AN/A011,656243
2007-08-06$16.57$20.0045.9%13.3%37.7%64.5%0.0%3.2%-0.9%26.1K-877.6K-5.5K0.0045.93N/AN/A001,656232
2007-08-07$15.84$20.0061.6%14.2%38.7%100.0%0.0%4.8%-2.4%24.5K-773.0K-5.5K0.5070.48N/AN/A20101,656232
2007-08-08$15.43$20.0048.9%13.9%38.8%69.6%42.8%2.6%-0.8%22.8K-717.0K-5.1K0.0443.82N/AN/A11041,676206
2007-08-09$14.50$17.5054.3%14.2%40.2%82.4%50.1%2.3%-1.2%20.9K-562.7K-5.0K0.1329.58N/AN/A100131,776208
2007-08-10$15.08$17.5047.5%14.7%45.7%66.1%0.0%7.5%0.6%23.5K-716.0K-5.6K0.0032.97N/AN/A3901,876221
2007-08-13$16.19$17.5040.5%13.3%55.9%49.5%0.0%4.4%-3.1%27.1K-1.0M-6.1K0.1788.78N/AN/A87151,885221
2007-08-14$15.81$17.5047.7%13.6%56.0%66.6%0.0%6.6%-1.2%27.6K-955.8K-6.1K0.0036.76N/AN/A3001,930236
2007-08-15$15.66$17.5037.7%13.7%56.0%42.6%0.0%4.1%0.3%26.6K-917.2K-6.0K0.0044.97N/AN/A2001,950236
2007-08-16$15.70$17.5051.0%14.6%56.3%74.5%0.0%3.4%1.3%26.9K-895.8K-6.1K0.0090.01N/AN/A001,950236
2007-08-17$15.68$17.5049.0%14.0%56.3%69.7%0.0%9.7%-0.1%27.0K-925.4K-6.1K0.0040.20N/AN/A001,950236
2007-08-20$15.63$17.5047.4%13.6%56.5%65.8%0.0%5.9%-0.4%25.8K-828.3K-5.7K0.3376.62N/AN/A30101,810216
2007-08-21$17.68$17.5033.9%9.7%73.7%33.5%33.5%5.6%8.4%32.2K-1.4M-6.4K0.5880.60N/AN/A1,0796241,820226
2007-08-22$17.56$17.5036.8%10.5%73.3%40.4%36.0%4.7%6.3%46.4K-1.2M-10.2K0.0167.11N/AN/A7512,788821
2007-08-23$17.44$17.5035.5%10.2%73.2%37.5%35.5%11.0%4.8%49.8K-1.1M-10.0K0.1071.49N/AN/A100102,863822
2007-08-24$17.28$17.5033.6%9.6%73.1%32.9%33.5%9.7%4.7%50.1K-918.3K-9.7K0.0076.88N/AN/A042,907832
2007-08-27$17.03$17.5035.6%10.2%73.1%37.6%31.3%-0.7%4.5%50.2K-991.4K-9.9K0.0041.65N/AN/A0352,907830
2007-08-28$16.85$17.5037.5%10.8%73.1%42.3%0.0%-3.9%3.9%46.9K-755.8K-9.6K0.6740.51N/AN/A60402,907865
2007-08-29$17.01$17.5034.6%9.9%73.2%35.1%0.0%8.3%6.3%47.9K-708.9K-9.5K0.0031.24N/AN/A0202,937885
2007-08-30$16.95$17.5036.3%10.4%69.3%39.3%0.0%-5.4%4.8%47.2K-712.6K-9.3K0.0094.90N/AN/A0102,937895
2007-08-31$17.06$17.5033.8%9.7%62.7%33.3%0.0%-3.5%5.7%48.7K-729.6K-9.2K0.0017.18N/AN/A1002,937895