AGYS Options History — April 2008

In April 2008, AGYS traded between $9.65 and $12.15. ATM implied volatility averaged 61.2%, placing in the 22.9% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 13.2% (HV 20d: 47.9%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.17.

Notable Days

  • 2008-04-02: Highest Volume — 50 contracts
  • 2008-04-18: Largest IV spike — 67.3% change
  • 2008-04-18: Highest IV Rank — 42.6%
  • 2008-04-18: Largest Expected Move — 28.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.60$9.65$12.15$12.15$10.96
Max Pain$11.25$10.00$12.50$12.50$10.00
ATM IV61.2%44.9%98.4%53.2%44.9%
Expected Move17.4%12.9%28.2%15.3%12.9%
HV 20d47.9%43.0%54.5%43.0%46.0%
HV 60d52.9%45.7%56.6%55.0%45.7%
IV Rank22.9%14.3%42.6%18.7%14.3%
IV Percentile80.4%40.5%98.4%74.2%40.5%
Term Structure-0.7%-25.2%18.6%0.9%11.7%
VWIV61.7%49.1%86.9%51.5%59.2%
Skew 25d9.8%-34.6%44.9%-1.1%8.9%
Skew 10d11.5%-37.5%25.0%-1.9%14.8%
Call IV 25d50.5%36.1%104.1%50.5%36.1%
Put IV 25d60.3%45.0%112.6%49.3%45.0%
Bid-Ask Spread %76.1431.82142.8891.3337.67
Gamma HHI0.890.740.940.930.86
Net GEX12.1K8.6K15.5K15.5K15.3K
Net DEX-197.7K-489.6K-37.7K-363.1K-199.1K
Net VEX-2.2K-2.9K-1.7K-2.9K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.170.000.670.000.00
Total Volume4.40905030
Total OI1,403.7271,1321,5631,5311,166

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$12.15$12.5053.2%15.3%43.0%18.7%51.5%-1.1%0.9%15.5K-363.1K-2.9K0.0091.33N/AN/A301,263268
2008-04-02$11.50$12.5054.0%15.5%46.5%19.1%86.9%8.1%4.3%9.3K-489.6K-2.9K0.6797.03N/AN/A30201,263268
2008-04-03$11.00$12.5065.8%18.9%48.7%25.4%0.0%9.0%2.0%12.7K-249.9K-2.7K0.0086.68N/AN/A001,273288
2008-04-04$11.03$0.0059.5%17.0%48.4%22.0%0.0%7.8%-15.6%14.6K-250.7K-2.7K0.0058.41N/AN/A071,273288
2008-04-07$11.14$0.0058.8%17.2%48.3%21.7%0.0%6.5%-2.3%13.0K-218.3K-2.6K0.0078.41N/AN/A001,273290
2008-04-08$11.09$0.0051.9%18.2%47.3%18.0%0.0%16.2%-7.1%13.5K-215.0K-2.5K0.0032.30N/AN/A001,273290
2008-04-09$10.80$0.0071.7%15.2%47.8%28.5%0.0%13.5%15.1%13.1K-222.4K-2.5K0.0092.60N/AN/A001,273290
2008-04-10$10.86$0.0060.9%17.5%47.5%22.8%0.0%5.9%-3.1%13.2K-166.2K-2.4K0.0087.44N/AN/A001,273290
2008-04-11$10.21$0.0065.7%18.8%48.6%25.3%0.0%0.3%-25.2%13.5K-165.8K-2.3K0.00111.02N/AN/A001,273290
2008-04-14$10.13$0.0062.0%17.8%47.6%23.4%0.0%11.7%-7.4%11.3K-83.4K-2.0K0.0097.19N/AN/A001,273264
2008-04-15$10.00$0.0059.2%17.0%47.0%21.9%0.0%11.5%-2.8%10.7K-67.9K-2.0K0.0098.98N/AN/A001,273264
2008-04-16$10.09$0.0060.9%17.5%47.2%22.8%0.0%12.4%-4.5%11.8K-37.7K-1.8K0.0096.56N/AN/A001,273264
2008-04-17$10.04$0.0058.8%16.9%47.2%21.7%0.0%10.7%-2.2%11.4K-62.9K-1.9K0.0098.02N/AN/A001,273264
2008-04-18$10.21$0.0098.4%28.2%47.9%42.6%0.0%44.9%18.6%8.6K-273.4K-2.3K0.00128.03N/AN/A031,273264
2008-04-21$10.30$0.0094.7%27.2%45.2%40.6%0.0%-34.6%-25.1%8.9K-317.1K-2.2K0.00142.88N/AN/A150988144
2008-04-22$10.00$0.0058.5%16.8%45.5%21.5%0.0%7.2%-4.2%10.7K-148.8K-1.8K0.0035.53N/AN/A10988144
2008-04-23$9.65$0.0060.3%17.3%46.4%22.5%0.0%8.0%-3.5%10.0K-132.1K-1.7K0.0043.01N/AN/A001,004144
2008-04-24$10.40$0.0048.1%13.8%54.5%16.0%0.0%15.1%13.4%11.1K-135.4K-1.7K0.0051.45N/AN/A001,004144
2008-04-25$10.47$0.0047.8%13.7%53.8%15.8%49.1%13.5%8.1%12.0K-170.7K-1.9K0.0031.82N/AN/A0101,004144
2008-04-28$10.58$10.0058.7%16.8%51.5%21.6%59.2%18.5%1.9%12.7K-184.7K-2.0K0.0032.73N/AN/A081,004154
2008-04-29$10.66$10.0051.7%14.8%48.1%17.9%0.0%20.8%12.6%13.1K-195.1K-2.0K0.0046.07N/AN/A001,004162
2008-04-30$10.96$10.0044.9%12.9%46.0%14.3%0.0%8.9%11.7%15.3K-199.1K-2.0K0.0037.67N/AN/A001,004162