AGYS Options History — October 2007

In October 2007, AGYS traded between $16.18 and $18.53. ATM implied volatility averaged 44.5%, placing in the 58.9% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 4.0% (HV 20d: 40.5%). 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 6 of 23 days. Put/call ratio averaged 0.97.

Notable Days

  • 2007-10-31: Highest Volume — 169 contracts
  • 2007-10-11: Largest IV spike — 40.8% change
  • 2007-10-29: Highest IV Rank — 94.7%
  • 2007-10-29: Largest Expected Move — 17.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.43$16.18$18.53$18.10$17.30
Max Pain$17.93$17.50$20.00$20.00$17.50
ATM IV44.5%31.1%59.4%31.1%57.4%
Expected Move13.3%8.9%17.0%8.9%16.5%
HV 20d40.5%36.8%46.1%39.0%36.8%
HV 60d49.7%46.4%51.6%49.2%46.4%
IV Rank58.9%26.7%94.7%26.7%89.9%
IV Percentile67.1%7.5%99.0%7.5%98.6%
Term Structure-0.7%-10.6%19.2%19.2%-9.8%
VWIV45.2%28.3%62.1%34.5%57.4%
Skew 25d7.8%-9.2%19.5%13.3%4.2%
Skew 10d16.4%-21.8%35.3%23.0%9.4%
Call IV 25d38.1%26.3%76.2%27.0%44.3%
Put IV 25d45.9%34.6%67.0%40.3%48.5%
Bid-Ask Spread %61.6332.5089.0052.3432.50
Gamma HHI0.340.300.370.300.33
Net GEX56.5K33.5K73.5K33.5K73.5K
Net DEX-1.1M-1.7M-411.2K-714.3K-1.6M
Net VEX-7.6K-8.4K-7.0K-7.7K-7.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.006.500.120.44
Total Volume45.609016964169
Total OI3,699.0873,0614,4793,7123,170

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$18.10$20.0031.1%8.9%39.0%26.7%34.5%13.3%19.2%33.5K-714.3K-7.7K0.1252.34N/AN/A5772,775937
2007-10-02$18.33$20.0037.2%10.7%38.1%41.5%37.6%14.3%8.8%38.2K-965.8K-8.3K6.5047.18N/AN/A10652,773939
2007-10-03$17.79$20.0037.7%10.8%39.2%42.6%37.0%9.3%6.8%40.5K-874.6K-7.8K1.6033.03N/AN/A50802,773889
2007-10-04$18.13$20.0031.6%9.1%39.7%28.0%0.0%15.8%19.1%39.6K-729.5K-7.8K0.0052.25N/AN/A002,768931
2007-10-05$18.53$17.5031.8%12.6%40.1%28.5%42.3%6.8%-3.2%40.3K-952.4K-7.9K0.3558.74N/AN/A100352,768931
2007-10-08$18.03$17.5033.9%13.8%41.2%33.4%0.0%7.8%-1.3%39.9K-811.6K-7.7K0.0052.28N/AN/A202,785956
2007-10-09$17.96$17.5036.8%13.4%40.2%40.6%0.0%19.5%-3.0%38.1K-612.2K-7.6K0.0057.07N/AN/A0102,787956
2007-10-10$18.02$17.5035.4%13.5%40.2%37.1%43.9%17.8%-2.3%37.7K-629.9K-7.5K2.0044.33N/AN/A5102,787965
2007-10-11$17.69$17.5049.9%14.3%39.6%71.8%45.6%-9.2%-3.8%39.2K-732.8K-7.8K1.0074.89N/AN/A10102,802985
2007-10-12$17.68$17.5045.0%12.9%38.9%60.1%45.9%6.2%0.0%69.4K-1.3M-8.4K3.3374.76N/AN/A15503,442968
2007-10-15$17.12$17.5046.5%13.3%40.4%63.7%0.0%6.3%-2.7%63.8K-902.5K-8.0K0.0057.80N/AN/A403,442998
2007-10-16$17.15$17.5048.3%13.9%40.2%68.1%0.0%6.2%-1.2%62.3K-953.9K-8.0K0.2065.44N/AN/A82163,446998
2007-10-17$17.05$17.5047.8%13.7%40.2%66.9%0.0%8.9%-2.6%62.3K-833.0K-8.1K0.0969.08N/AN/A2223,4651,014
2007-10-18$16.84$17.5045.7%13.1%39.6%61.9%0.0%6.7%-0.5%65.6K-700.9K-7.9K0.0055.68N/AN/A003,4611,015
2007-10-19$16.18$17.5046.7%13.4%40.2%64.3%0.0%6.9%3.7%65.1K-411.2K-7.2K0.0056.19N/AN/A1203,4611,015
2007-10-22$17.16$17.5052.3%15.0%46.1%77.7%52.5%3.1%-10.4%71.2K-1.5M-7.2K0.1986.85N/AN/A70132,655406
2007-10-23$17.05$17.5050.5%14.5%43.9%73.4%0.0%6.5%-5.1%69.8K-1.7M-7.5K0.0061.33N/AN/A002,655414
2007-10-24$16.92$17.5051.0%14.6%43.9%74.6%28.3%8.7%-5.1%68.0K-1.5M-7.3K0.0079.44N/AN/A1202,655414
2007-10-25$16.69$17.5040.5%11.6%44.1%49.4%0.0%3.9%-1.2%70.8K-1.5M-7.2K0.0085.82N/AN/A0532,660414
2007-10-26$17.22$17.5049.9%14.3%45.0%71.8%0.0%3.5%-2.1%73.4K-1.5M-7.3K0.0059.65N/AN/A002,660458
2007-10-29$16.93$17.5059.4%17.0%37.5%94.7%62.1%7.0%-10.6%66.8K-1.7M-7.3K0.6571.84N/AN/A46302,660458
2007-10-30$16.93$17.5056.8%16.3%37.1%88.4%55.7%5.7%-10.2%69.9K-1.6M-7.2K0.0089.00N/AN/A202,696472
2007-10-31$17.30$17.5057.4%16.5%36.8%89.9%57.4%4.2%-9.8%73.5K-1.6M-7.0K0.4432.50N/AN/A117522,698472