AGYS Options History — November 2007

In November 2007, AGYS traded between $13.14 and $16.22. ATM implied volatility averaged 52.2%, placing in the 66.4% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 1.8% (HV 20d: 54.1%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.45.

Notable Days

  • 2007-11-13: Highest Volume — 123 contracts
  • 2007-11-12: Largest IV spike — 51.1% change
  • 2007-11-05: Highest IV Rank — 100.0%
  • 2007-11-02: Largest Expected Move — 16.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.26$13.14$16.22$16.22$13.89
Max Pain$15.36$15.00$17.50$17.50$15.00
ATM IV52.2%38.4%69.5%50.6%38.4%
Expected Move14.2%11.0%16.1%14.5%11.0%
HV 20d54.1%41.0%63.1%42.2%55.4%
HV 60d46.2%44.0%50.7%48.0%46.0%
IV Rank66.4%37.4%100.0%73.5%37.4%
IV Percentile86.1%42.6%100.0%92.9%42.6%
Term Structure-0.4%-23.8%15.9%6.2%-2.5%
VWIV48.2%41.1%51.4%51.4%41.1%
Skew 25d7.3%-2.8%17.2%6.7%12.7%
Skew 10d19.8%2.9%27.3%27.3%21.6%
Call IV 25d43.4%36.5%51.6%42.9%37.4%
Put IV 25d50.8%46.9%55.0%49.6%50.1%
Bid-Ask Spread %62.3340.9797.3766.2953.66
Gamma HHI0.590.340.780.350.78
Net GEX32.8K19.6K67.9K67.9K25.8K
Net DEX-251.5K-1.1M56.4K-1.1M-38.7K
Net VEX-3.7K-6.5K-2.2K-6.5K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.450.003.000.000.00
Total Volume24.71401232550
Total OI2,887.0482,3943,3013,2812,394

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$16.22$17.5050.6%14.5%42.2%73.5%0.0%6.7%6.2%67.9K-1.1M-6.5K0.0066.29N/AN/A2502,757524
2007-11-02$16.02$17.5056.0%16.1%41.0%86.6%51.4%4.4%-23.8%62.6K-882.7K-6.3K3.0097.37N/AN/A10302,777524
2007-11-05$15.42$17.5069.5%13.8%41.9%100.0%50.6%5.2%1.3%56.3K-680.8K-5.5K0.0040.97N/AN/A0232,773514
2007-11-06$15.19$15.0069.2%14.5%41.9%99.4%0.0%0.2%-9.3%48.9K-448.2K-4.8K0.0078.48N/AN/A1002,773487
2007-11-07$14.02$15.0053.5%14.4%48.7%67.6%50.4%-2.8%-4.9%31.7K-201.9K-4.0K0.0067.31N/AN/A0352,773457
2007-11-08$14.46$15.0044.9%13.6%51.0%50.4%0.0%4.8%-0.5%28.6K-166.2K-4.1K0.1553.06N/AN/A2032,773467
2007-11-09$13.91$15.0038.8%12.9%51.9%38.2%0.0%8.3%-1.7%25.4K-108.6K-3.8K0.0066.49N/AN/A2802,781464
2007-11-12$14.17$15.0058.7%13.6%52.4%78.2%0.0%5.9%-1.2%25.7K-83.4K-3.6K0.1085.66N/AN/A97102,771464
2007-11-13$15.33$15.0066.9%13.7%61.0%94.8%0.0%7.5%9.0%50.0K-478.5K-4.4K0.0075.19N/AN/A12302,771454
2007-11-14$14.65$15.0042.3%14.4%62.6%45.0%0.0%1.2%-3.1%30.8K-350.6K-4.1K0.0075.20N/AN/A032,811440
2007-11-15$14.23$15.0049.1%14.1%63.1%58.8%0.0%7.0%-2.8%28.7K-238.7K-3.8K0.0071.60N/AN/A1002,811440
2007-11-16$13.92$15.0053.1%15.2%62.2%66.9%0.0%5.4%-8.3%25.7K-126.1K-3.5K0.0058.06N/AN/A002,821440
2007-11-19$13.85$15.0046.9%13.5%57.1%54.5%47.3%5.4%-1.8%24.3K-124.9K-3.1K1.2045.02N/AN/A562,034365
2007-11-20$13.52$15.0049.5%14.2%57.2%59.7%0.0%17.2%9.5%22.3K-113.7K-3.0K0.0066.19N/AN/A0202,039365
2007-11-21$13.49$15.0054.9%15.8%57.3%70.6%0.0%15.5%-1.1%22.7K-67.8K-2.8K0.0049.26N/AN/A1002,039355
2007-11-23$13.68$15.0053.0%15.2%58.0%66.6%0.0%14.2%1.0%24.6K-84.3K-2.8K0.0043.39N/AN/A002,039355
2007-11-26$13.14$15.0054.2%15.5%56.8%69.1%0.0%13.1%0.4%22.0K-40.0K-2.5K0.0060.38N/AN/A002,039355
2007-11-27$13.17$15.0054.3%15.6%57.1%69.2%41.1%8.0%-3.1%19.6K56.4K-2.2K0.0051.79N/AN/A012,039355
2007-11-28$13.56$15.0045.8%13.1%58.8%52.3%0.0%8.9%12.5%22.1K43.9K-2.3K0.0051.32N/AN/A002,039355
2007-11-29$13.62$15.0047.4%13.6%57.9%55.5%0.0%5.7%15.9%23.5K-14.2K-2.4K0.0052.30N/AN/A002,039355
2007-11-30$13.89$15.0038.4%11.0%55.4%37.4%0.0%12.7%-2.5%25.8K-38.7K-2.5K0.0053.66N/AN/A0502,039355