AGYS Options History — September 2015

In September 2015, AGYS traded between $9.32 and $12.00. ATM implied volatility averaged 32.3%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 8.5% (HV 20d: 40.8%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.05.

Notable Days

  • 2015-09-22: Highest Volume — 262 contracts
  • 2015-09-21: Largest IV spike — 32.3% change
  • 2015-09-03: Highest IV Rank — 40.6%
  • 2015-09-30: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.76$9.32$12.00$10.01$11.20
Max Pain$7.75$7.50$12.50$12.50$7.50
ATM IV32.3%23.8%40.9%34.5%40.8%
Expected Move9.0%6.8%11.7%9.9%11.7%
HV 20d40.8%28.6%71.3%71.3%42.8%
HV 60d53.2%51.7%54.4%51.7%53.9%
IV Rank24.7%9.1%40.6%28.8%40.5%
IV Percentile54.5%4.0%86.9%74.6%85.3%
Term Structure0.3%-14.0%7.9%-1.5%-11.3%
VWIV35.8%22.9%69.4%69.4%39.6%
Skew 25d9.6%-10.2%73.4%6.3%1.0%
Skew 10d15.3%-18.7%107.0%13.1%2.5%
Call IV 25d34.3%24.9%45.9%45.3%39.6%
Put IV 25d44.0%29.4%107.8%51.6%40.5%
Bid-Ask Spread %109.03103.02115.95115.95110.77
Gamma HHI0.700.500.840.530.71
Net GEX3.9K1.2K7.4K1.7K5.8K
Net DEX-59.7K-108.2K-18.2K-30.5K-84.0K
Net VEX-202-386-107-135-318
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.050.000.070.070.04
Total Volume191.3330262177262
Total OI194.429160270160270

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-09-01$10.01$0.0034.5%9.9%71.3%28.8%69.4%6.3%-1.5%1.7K-30.5K-1350.07115.95N/AN/A1661115010
2015-09-02$9.85$12.5035.9%10.3%29.3%31.4%62.0%-10.2%-2.9%1.5K-25.7K-1270.07110.23N/AN/A1661115011
2015-09-03$9.72$7.5040.9%8.8%29.5%40.6%35.4%73.4%1.7%1.3K-21.2K-1120.07106.92N/AN/A1661115011
2015-09-04$9.56$7.5034.1%9.2%28.6%28.0%37.0%2.3%1.6%1.2K-20.5K-1110.07107.52N/AN/A1661115011
2015-09-08$9.56$7.5038.2%9.3%28.6%35.7%0.0%2.5%-0.2%1.3K-19.8K-1070.00108.75N/AN/A0015011
2015-09-09$9.32$7.5034.3%9.8%29.5%28.5%42.0%-5.4%-6.6%1.2K-18.2K-1090.07103.02N/AN/A1661115011
2015-09-10$9.49$7.5031.7%9.1%30.3%23.7%38.7%3.4%-2.6%1.3K-19.6K-1070.07110.26N/AN/A1661115011
2015-09-11$10.23$7.5030.6%8.8%39.6%21.7%33.9%52.0%1.9%1.7K-31.0K-1180.07106.82N/AN/A1661115011
2015-09-14$10.54$7.5037.0%10.6%40.6%33.5%37.4%29.9%-5.3%2.3K-39.3K-1370.07103.51N/AN/A1661115011
2015-09-15$10.98$7.5027.1%7.8%42.4%15.2%23.9%0.8%7.7%2.6K-45.6K-1250.00110.59N/AN/A10015011
2015-09-16$11.48$7.5026.0%7.4%44.4%13.1%25.5%6.1%6.7%4.2K-63.6K-1560.07110.54N/AN/A1661115011
2015-09-17$11.81$7.5024.5%7.0%44.2%10.3%25.4%8.1%4.5%5.6K-77.3K-1660.07111.53N/AN/A1661215011
2015-09-18$12.00$7.5023.8%6.8%44.2%9.1%22.9%4.5%6.7%6.6K-85.8K-1710.06106.28N/AN/A1901215012
2015-09-21$11.79$7.5031.5%9.0%45.3%23.3%35.6%0.1%-2.1%5.8K-98.8K-2370.06107.93N/AN/A1901117411
2015-09-22$11.52$7.5028.1%8.1%44.6%17.0%30.2%4.5%7.9%4.9K-76.7K-2050.04111.17N/AN/A2511117411
2015-09-23$11.45$7.5028.1%8.1%44.8%17.0%29.6%5.5%4.5%6.8K-103.8K-3820.04110.35N/AN/A2511125911
2015-09-24$11.57$7.5028.6%8.2%44.8%17.9%28.4%8.5%5.3%7.4K-108.2K-3860.04111.18N/AN/A2511125911
2015-09-25$11.49$7.5029.9%8.6%44.8%20.2%30.2%7.3%2.9%7.1K-104.7K-3700.04111.04N/AN/A2511125911
2015-09-28$11.34$7.5033.3%9.6%43.3%26.6%35.2%-4.3%1.1%6.1K-95.9K-3510.04104.79N/AN/A2511125911
2015-09-29$11.15$7.5038.8%11.1%44.1%36.8%33.2%5.8%-14.0%5.6K-83.6K-3200.04110.54N/AN/A2511125911
2015-09-30$11.20$7.5040.8%11.7%42.8%40.5%39.6%1.0%-11.3%5.8K-84.0K-3180.04110.77N/AN/A2511125911