AGYS Options History — March 2008

In March 2008, AGYS traded between $11.13 and $12.33. ATM implied volatility averaged 60.7%, placing in the 25.6% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 20.9% (HV 20d: 39.9%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.47.

Notable Days

  • 2008-03-05: Highest Volume — 656 contracts
  • 2008-03-19: Largest IV spike — 287.0% change
  • 2008-03-19: Highest IV Rank — 100.0%
  • 2008-03-19: Largest Expected Move — 59.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.71$11.13$12.33$12.33$11.60
Max Pain$14.00$12.50$15.00$15.00$12.50
ATM IV60.7%43.2%207.1%55.0%60.8%
Expected Move17.4%12.4%59.4%15.8%17.4%
HV 20d39.9%36.0%50.9%50.9%40.2%
HV 60d55.5%53.0%59.5%59.3%54.1%
IV Rank25.6%16.1%100.0%25.0%22.7%
IV Percentile76.8%50.8%100.0%84.9%90.5%
Term Structure-3.8%-144.4%89.9%0.6%-9.4%
VWIV55.7%40.6%67.5%49.4%63.7%
Skew 25d9.9%-7.8%16.7%1.1%4.0%
Skew 10d19.8%-13.2%61.5%1.3%12.9%
Call IV 25d52.5%42.6%109.0%47.9%61.3%
Put IV 25d62.4%42.1%125.2%49.0%65.3%
Bid-Ask Spread %83.8035.73122.3597.9771.87
Gamma HHI0.920.810.960.870.93
Net GEX15.1K10.7K19.5K19.5K13.3K
Net DEX-438.5K-691.1K-314.4K-691.1K-318.0K
Net VEX-3.2K-4.4K-2.9K-4.4K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.002.000.000.00
Total Volume460656010
Total OI1,508.051,4061,7881,7881,521

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$12.33$15.0055.0%15.8%50.9%25.0%0.0%1.1%0.6%19.5K-691.1K-4.4K0.0097.97N/AN/A001,538250
2008-03-04$12.03$15.0056.4%16.2%46.5%26.0%0.0%-0.8%-4.4%19.1K-610.8K-4.2K0.00102.78N/AN/A401,538250
2008-03-05$11.88$15.0043.2%12.4%44.0%17.1%0.0%13.4%1.5%19.1K-600.4K-4.2K0.0093.52N/AN/A65331,542240
2008-03-06$11.64$15.0046.1%13.2%40.1%19.0%49.4%-7.8%7.8%13.7K-338.3K-3.1K0.00110.27N/AN/A1101,214241
2008-03-07$11.78$15.0051.5%16.0%36.0%22.7%0.0%14.0%-6.7%14.3K-357.9K-3.2K1.0095.04N/AN/A661,225241
2008-03-10$11.44$15.0050.6%13.1%37.4%22.1%50.0%5.0%-1.5%13.9K-426.9K-3.1K2.0095.84N/AN/A361,231175
2008-03-11$11.58$15.0052.1%14.1%37.5%23.1%0.0%14.0%2.7%14.2K-400.9K-3.0K0.0073.06N/AN/A001,234181
2008-03-12$11.74$15.0051.3%15.6%37.5%22.6%0.0%13.8%-3.3%14.8K-394.2K-3.0K0.1096.90N/AN/A2021,234181
2008-03-13$12.23$15.0052.5%15.0%38.9%23.3%0.0%16.7%1.0%17.0K-493.8K-3.2K0.0075.36N/AN/A401,254181
2008-03-14$11.81$15.0052.6%15.1%39.1%23.4%0.0%14.9%-0.4%15.8K-442.9K-3.1K0.0087.17N/AN/A2501,254181
2008-03-17$11.46$15.0052.9%15.2%40.4%23.6%0.0%8.2%-4.9%15.2K-335.2K-2.9K0.0093.42N/AN/A2301,279181
2008-03-18$11.47$15.0053.5%15.3%38.3%24.0%60.9%10.4%-0.5%14.7K-356.3K-3.0K0.5072.58N/AN/A20101,266181
2008-03-19$11.43$12.50207.1%59.4%38.3%100.0%0.0%16.2%-144.4%10.7K-595.2K-3.3K0.00122.35N/AN/A011,286191
2008-03-20$11.42$12.5053.6%15.4%38.2%18.9%40.6%9.6%-4.1%14.8K-357.5K-2.9K2.0035.73N/AN/A10201,286185
2008-03-24$11.88$12.5055.8%16.0%41.1%20.1%0.0%12.9%89.9%15.0K-433.0K-3.1K0.0075.34N/AN/A001,253205
2008-03-25$11.99$12.5051.4%14.7%41.3%17.8%0.0%15.6%-0.2%16.0K-443.1K-3.0K0.0063.41N/AN/A001,253205
2008-03-26$11.86$12.5058.0%16.6%37.2%21.2%57.9%11.4%-2.6%15.5K-449.3K-3.0K0.0057.98N/AN/A0651,253205
2008-03-27$11.47$12.5048.3%13.8%38.0%16.1%0.0%15.6%1.7%12.9K-410.4K-2.9K0.0076.21N/AN/A001,253260
2008-03-28$11.13$12.5062.3%17.9%36.7%23.5%67.5%10.4%1.8%12.4K-314.4K-2.9K0.0079.31N/AN/A0181,253260
2008-03-31$11.60$12.5060.8%17.4%40.2%22.7%63.7%4.0%-9.4%13.3K-318.0K-2.9K0.0071.87N/AN/A1001,253268