AGYS Options History — June 2008

In June 2008, AGYS traded between $10.29 and $12.64. ATM implied volatility averaged 47.3%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 6.8% (HV 20d: 54.1%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 1.17.

Notable Days

  • 2008-06-06: Highest Volume — 564 contracts
  • 2008-06-24: Largest IV drop — 23.0% change
  • 2008-06-03: Highest IV Rank — 19.8%
  • 2008-06-03: Largest Expected Move — 15.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.83$10.29$12.64$10.29$11.34
Max Pain$12.02$10.00$12.50$10.00$12.50
ATM IV47.3%39.9%55.3%52.9%42.4%
Expected Move13.5%11.4%15.8%15.2%12.2%
HV 20d54.1%36.2%60.9%36.2%60.9%
HV 60d48.5%42.9%50.1%42.9%48.0%
IV Rank15.6%11.7%19.8%18.5%13.0%
IV Percentile40.0%17.1%71.0%59.1%19.8%
Term Structure7.8%-1.7%97.1%3.1%9.9%
VWIV49.0%43.8%53.9%53.9%44.6%
Skew 25d10.9%-10.5%64.0%28.4%16.8%
Skew 10d19.0%-8.0%93.9%50.4%21.8%
Call IV 25d41.4%33.7%51.9%44.9%41.3%
Put IV 25d52.3%35.4%98.4%73.2%58.1%
Bid-Ask Spread %53.1230.9475.6138.7073.99
Gamma HHI0.930.710.990.710.97
Net GEX28.3K9.6K46.8K9.6K30.7K
Net DEX-370.5K-773.3K-19.1K-19.1K-178.1K
Net VEX-1.6K-2.7K-1.1K-1.2K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.170.006.866.860.00
Total Volume47.38105642281
Total OI1,458.2381,1462,1421,5261,201

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$10.29$10.0052.9%15.2%36.2%18.5%53.9%28.4%3.1%9.6K-19.1K-1.2K6.8638.70N/AN/A291991,153373
2008-06-03$11.25$10.0055.3%15.8%48.0%19.8%52.1%11.0%-1.5%15.8K-180.2K-1.5K0.5075.61N/AN/A841,174402
2008-06-04$11.73$10.0048.6%13.9%50.3%16.3%51.7%-9.7%-1.7%22.3K-311.1K-1.7K0.0068.70N/AN/A1001,173398
2008-06-05$12.64$10.0043.6%12.5%56.2%13.6%53.7%64.0%11.0%36.7K-594.1K-1.9K0.1759.56N/AN/A611,183398
2008-06-06$12.15$12.5043.4%12.5%58.1%13.5%43.8%16.4%4.3%30.5K-565.9K-1.9K0.0065.89N/AN/A56311,189399
2008-06-09$12.02$12.5044.7%12.8%58.3%14.2%44.8%15.1%5.2%46.8K-773.3K-2.7K0.0052.32N/AN/A1901,743399
2008-06-10$11.91$12.5048.5%13.4%58.4%16.2%52.5%13.1%2.2%24.8K-390.8K-1.7K1.0030.94N/AN/A16161,103399
2008-06-11$11.69$12.5047.9%13.6%53.2%15.9%0.0%9.8%2.7%23.0K-309.2K-1.6K0.0037.54N/AN/A101,096409
2008-06-12$11.67$12.5048.0%13.8%53.0%16.0%0.0%5.9%1.4%23.3K-301.8K-1.5K0.0043.76N/AN/A001,096409
2008-06-13$11.80$12.5046.8%13.4%52.8%15.3%0.0%9.8%3.1%25.4K-333.9K-1.5K0.0038.66N/AN/A001,096409
2008-06-16$12.49$12.5047.5%13.6%55.8%15.7%47.5%4.8%2.5%29.8K-583.6K-1.6K0.0047.17N/AN/A4901,096409
2008-06-17$12.19$12.5049.9%14.3%56.5%16.9%0.0%6.1%-0.8%29.3K-540.3K-1.6K0.0056.41N/AN/A001,111409
2008-06-18$12.21$12.5048.4%13.9%54.8%16.2%0.0%0.2%0.9%30.5K-450.5K-1.6K0.0054.93N/AN/A011,111409
2008-06-19$12.23$12.5050.3%14.4%52.4%17.2%0.0%0.7%-1.3%29.9K-465.2K-1.5K0.0055.96N/AN/A001,111408
2008-06-20$11.95$12.5049.3%14.1%53.8%16.6%49.4%13.3%-0.8%29.2K-411.2K-1.5K0.0051.38N/AN/A501,111408
2008-06-23$11.84$12.5051.7%14.8%53.5%17.9%0.0%-6.2%97.1%27.1K-310.9K-1.3K0.0057.67N/AN/A100978168
2008-06-24$11.45$12.5039.9%11.4%55.2%11.7%0.0%14.7%9.7%33.5K-307.9K-1.3K0.0064.80N/AN/A00987168
2008-06-25$11.83$12.5045.0%12.9%55.9%14.4%45.0%17.9%6.3%31.7K-281.5K-1.2K6.6733.55N/AN/A640987168
2008-06-26$11.65$12.5044.4%12.7%56.5%14.1%0.0%-10.5%4.8%29.2K-269.7K-1.4K0.0047.49N/AN/A010993198
2008-06-27$12.00$12.5045.3%13.0%57.0%14.5%0.0%7.2%6.6%34.2K-202.4K-1.2K0.0060.38N/AN/A00993198
2008-06-30$11.34$12.5042.4%12.2%60.9%13.0%44.6%16.8%9.9%30.7K-178.1K-1.1K0.0073.99N/AN/A10993208