AGYS Options History — December 2007

In December 2007, AGYS traded between $12.68 and $15.70. ATM implied volatility averaged 57.3%, placing in the 35.7% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded below realized volatility by 0.2% (HV 20d: 57.5%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.14.

Notable Days

  • 2007-12-26: Highest Volume — 832 contracts
  • 2007-12-26: Largest IV spike — 235.2% change
  • 2007-12-03: Highest IV Rank — 100.0%
  • 2007-12-26: Largest Expected Move — 47.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.13$12.68$15.70$13.20$15.12
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV57.3%17.8%166.5%116.1%53.7%
Expected Move15.8%5.1%47.7%33.3%15.4%
HV 20d57.5%55.0%61.3%57.5%60.6%
HV 60d51.5%47.0%54.6%47.0%53.0%
IV Rank35.7%0.0%100.0%100.0%24.1%
IV Percentile77.2%0.0%100.0%100.0%91.2%
Term Structure-0.1%-56.8%36.5%-42.6%3.4%
VWIV42.4%29.2%58.1%38.3%45.0%
Skew 25d7.7%-11.2%17.8%16.8%9.3%
Skew 10d13.2%-22.5%32.2%16.7%6.5%
Call IV 25d42.6%34.4%52.6%45.3%40.7%
Put IV 25d50.2%35.4%62.1%62.1%50.0%
Bid-Ask Spread %58.6726.44116.2080.8088.52
Gamma HHI0.730.340.820.700.72
Net GEX30.3K18.9K46.0K23.5K46.0K
Net DEX-387.3K-1.1M-19.7K-83.2K-949.3K
Net VEX-2.7K-4.4K-1.9K-2.5K-4.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.001.000.000.00
Total Volume6708321010
Total OI2,432.152,3142,7972,4092,693

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$13.20$15.00116.1%33.3%57.5%100.0%0.0%16.8%-42.6%23.5K-83.2K-2.5K0.0080.80N/AN/A1002,039370
2007-12-04$12.68$15.0053.9%15.4%57.6%35.3%0.0%8.6%-3.1%18.9K-22.6K-2.0K0.0043.35N/AN/A012,049280
2007-12-05$12.80$15.0017.8%5.1%58.0%0.0%0.0%5.6%36.5%19.4K-104.2K-2.2K0.0080.49N/AN/A002,049265
2007-12-06$13.77$15.0043.4%12.4%58.4%26.0%38.3%6.2%6.1%23.9K-19.7K-1.9K0.0089.38N/AN/A3502,049265
2007-12-07$13.49$15.0049.5%14.4%57.5%32.2%32.2%11.3%4.8%25.9K-164.7K-2.3K0.0035.62N/AN/A0602,069265
2007-12-10$13.44$15.0054.5%15.1%56.0%37.3%48.5%7.5%-0.1%22.9K-85.9K-2.1K0.0026.44N/AN/A012,069298
2007-12-11$13.06$15.0067.7%13.1%56.2%50.7%0.0%11.6%15.0%23.3K-80.9K-2.0K0.0048.67N/AN/A502,069298
2007-12-12$14.09$15.0063.5%13.0%55.7%46.4%0.0%8.8%2.2%26.0K-180.8K-2.3K0.0046.05N/AN/A002,073298
2007-12-13$14.57$15.0045.1%12.9%55.0%27.8%0.0%14.2%4.0%32.8K-300.5K-2.4K0.0060.43N/AN/A002,073298
2007-12-14$14.01$15.0038.3%11.0%55.8%20.9%58.1%17.8%6.7%31.6K-317.6K-2.5K0.4236.47N/AN/A50212,073298
2007-12-17$14.22$15.0046.1%13.2%55.5%28.7%42.0%15.2%4.9%33.3K-344.5K-2.5K0.0057.17N/AN/A2002,110319
2007-12-18$13.97$15.0040.1%11.5%55.8%22.7%29.2%13.0%6.0%30.9K-228.4K-2.3K0.0045.06N/AN/A502,110319
2007-12-19$13.86$15.0038.1%10.9%55.2%20.7%0.0%13.4%6.9%31.4K-220.8K-2.2K0.0039.01N/AN/A002,110319
2007-12-20$14.51$15.0047.4%13.6%57.4%30.1%46.1%13.3%5.4%33.1K-274.2K-2.3K0.0040.18N/AN/A0602,110319
2007-12-21$14.97$15.0048.2%13.8%58.1%30.9%0.0%4.8%4.1%33.2K-487.3K-2.7K0.0050.90N/AN/A002,110344
2007-12-24$15.70$15.0049.7%14.2%57.5%32.4%0.0%-2.4%-11.2%41.2K-716.8K-2.7K0.0060.21N/AN/A002,075301
2007-12-26$14.92$15.00166.5%47.7%61.3%100.0%45.0%-11.2%-56.8%22.6K-1.1M-3.9K0.00116.20N/AN/A83202,075301
2007-12-27$14.97$15.0054.6%15.7%60.7%24.8%0.0%-8.2%1.9%42.6K-1.0M-4.0K1.0053.88N/AN/A1001002,496301
2007-12-28$15.16$15.0052.5%15.1%60.8%23.4%0.0%-1.8%4.5%43.6K-1.1M-4.4K0.0074.47N/AN/A3002,293391
2007-12-31$15.12$15.0053.7%15.4%60.6%24.1%0.0%9.3%3.4%46.0K-949.3K-4.2K0.0088.52N/AN/A1002,302391