AGYS Options History — January 2008

In January 2008, AGYS traded between $13.45 and $15.30. ATM implied volatility averaged 66.0%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 18.8%. IV traded above realized volatility by 12.1% (HV 20d: 53.9%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 3.18.

Notable Days

  • 2008-01-22: Highest Volume — 796 contracts
  • 2008-01-08: Largest IV spike — 95.4% change
  • 2008-01-28: Highest IV Rank — 65.5%
  • 2008-01-28: Largest Expected Move — 33.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.65$13.45$15.30$14.65$15.22
Max Pain$15.00$15.00$15.00$15.00$15.00
ATM IV66.0%39.9%115.2%55.9%62.2%
Expected Move18.8%13.5%33.0%16.0%17.8%
HV 20d53.9%48.1%60.6%58.6%48.1%
HV 60d55.5%52.9%57.3%53.1%54.9%
IV Rank32.4%14.9%65.5%25.6%29.8%
IV Percentile90.8%47.6%99.2%94.4%94.0%
Term Structure-13.4%-94.4%15.8%-2.4%-8.4%
VWIV71.5%53.4%110.7%54.2%53.4%
Skew 25d-2.7%-50.3%40.7%-1.2%-48.0%
Skew 10d5.3%-74.8%92.8%1.3%-35.2%
Call IV 25d65.5%36.6%126.4%47.3%105.0%
Put IV 25d62.8%42.2%131.2%46.2%56.9%
Bid-Ask Spread %93.0645.79140.1890.20104.00
Gamma HHI0.750.470.860.730.74
Net GEX41.1K4.6K98.0K43.4K14.5K
Net DEX-872.4K-1.5M-309.0K-782.7K-1.4M
Net VEX-4.0K-5.5K-2.6K-4.0K-5.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.180.0020.000.0011.00
Total Volume51.9050796212
Total OI2,320.5249172,7362,7031,874

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$14.65$15.0055.9%16.0%58.6%25.6%0.0%-1.2%-2.4%43.4K-782.7K-4.0K0.0090.20N/AN/A022,312391
2008-01-03$14.51$15.0047.2%13.5%56.4%19.8%0.0%-0.4%5.6%50.1K-748.3K-3.9K0.0045.79N/AN/A002,312393
2008-01-04$14.24$15.0039.9%14.9%57.1%14.9%0.0%2.9%0.7%48.7K-529.2K-3.6K0.0075.79N/AN/A502,312393
2008-01-07$14.23$15.0042.5%15.2%51.2%16.6%0.0%6.9%0.6%47.9K-455.3K-3.4K0.0076.82N/AN/A002,317393
2008-01-08$13.45$15.0083.1%15.3%54.7%43.9%0.0%21.9%15.8%25.0K-615.2K-3.5K0.0089.93N/AN/A002,317393
2008-01-09$13.89$15.0056.2%16.4%55.9%25.8%0.0%-0.6%-1.9%35.2K-309.0K-3.1K0.0061.17N/AN/A042,317393
2008-01-10$14.99$15.0058.1%16.7%60.6%27.1%0.0%1.4%-0.7%61.6K-768.1K-3.5K0.0072.55N/AN/A1002,317395
2008-01-11$14.57$15.0054.5%15.6%55.9%24.7%54.2%5.5%-0.4%51.7K-823.5K-3.5K0.0057.95N/AN/A1102,327395
2008-01-14$15.07$15.0055.8%16.0%56.0%25.5%0.0%5.3%-1.1%63.7K-983.2K-3.3K2.5084.17N/AN/A252,334395
2008-01-15$14.99$15.0055.0%15.8%53.9%25.0%0.0%5.3%-1.2%96.2K-870.6K-3.3K0.0083.55N/AN/A102,336400
2008-01-16$14.90$15.0054.6%15.7%53.8%24.8%0.0%2.2%-0.4%98.0K-845.0K-3.2K0.0091.78N/AN/A002,336400
2008-01-17$14.27$15.0058.9%16.9%55.8%27.6%0.0%19.7%-5.8%60.5K-413.4K-2.9K20.00106.69N/AN/A1202,336400
2008-01-18$14.37$15.0090.5%26.0%55.8%48.9%73.5%40.7%-53.7%68.3K-359.2K-2.8K0.00124.46N/AN/A052,336400
2008-01-22$14.12$15.0082.9%23.8%53.6%43.8%73.1%-44.6%8.3%4.6K-396.4K-2.6K0.00102.64N/AN/A7951674243
2008-01-23$14.79$15.0069.0%19.8%55.1%34.4%0.0%7.8%-12.2%17.4K-1.2M-5.1K0.00132.84N/AN/A001,469243
2008-01-24$14.89$15.0089.7%25.7%52.2%48.3%0.0%-50.3%-61.8%15.5K-1.3M-5.3K0.00116.91N/AN/A6501,469243
2008-01-25$15.00$15.0087.7%25.1%49.0%47.0%0.0%-48.3%-43.8%16.3K-1.4M-5.3K0.00113.55N/AN/A001,523243
2008-01-28$15.11$15.00115.2%33.0%49.1%65.5%110.7%7.7%-94.4%13.9K-1.3M-5.5K0.00140.18N/AN/A0801,523243
2008-01-29$14.99$15.0061.2%17.5%48.9%29.2%63.8%0.9%-10.0%14.2K-1.4M-5.2K0.2581.63N/AN/A411,523293
2008-01-30$15.30$15.0065.1%18.7%49.5%31.8%0.0%9.0%-13.7%15.8K-1.5M-5.2K1.20101.56N/AN/A30361,524294
2008-01-31$15.22$15.0062.2%17.8%48.1%29.8%53.4%-48.0%-8.4%14.5K-1.4M-5.2K11.00104.00N/AN/A1111,544330