AGYS Options History — October 2015

In October 2015, AGYS traded between $10.88 and $11.59. ATM implied volatility averaged 38.2%, placing in the 35.4% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 5.6% (HV 20d: 32.6%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.10.

Notable Days

  • 2015-10-07: Highest Volume — 274 contracts
  • 2015-10-14: Largest IV drop — 53.4% change
  • 2015-10-13: Highest IV Rank — 100.0%
  • 2015-10-02: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.31$10.88$11.59$10.88$11.41
Max Pain$12.05$7.50$12.50$7.50$12.50
ATM IV38.2%27.1%74.2%35.4%31.6%
Expected Move8.7%6.5%11.8%10.1%9.1%
HV 20d32.6%24.3%43.9%43.9%28.7%
HV 60d51.5%34.3%54.8%54.3%34.3%
IV Rank35.4%14.8%100.0%30.4%23.1%
IV Percentile65.4%23.0%100.0%75.0%56.3%
Term Structure-4.5%-10.5%3.1%-1.1%-7.5%
VWIV30.5%23.5%39.4%34.8%31.4%
Skew 25d2.1%-7.4%6.0%4.1%6.0%
Skew 10d0.4%-4.5%5.0%3.0%2.7%
Call IV 25d30.6%24.0%39.5%34.6%32.1%
Put IV 25d32.7%27.7%41.2%38.7%38.1%
Bid-Ask Spread %106.8360.71110.95103.08110.37
Gamma HHI0.670.570.810.590.68
Net GEX4.3K2.9K7.5K4.1K3.7K
Net DEX-67.2K-94.4K-44.8K-67.9K-57.0K
Net VEX-267-333-211-275-211
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.100.080.100.080.10
Total Volume189.4550274272116
Total OI225.273160282270160

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-10-01$10.88$7.5035.4%10.1%43.9%30.4%34.8%4.1%-1.1%4.1K-67.9K-2750.08103.08N/AN/A2512125911
2015-10-02$10.94$7.5041.2%11.8%43.4%41.1%36.5%4.0%-5.2%4.4K-63.8K-3060.08104.97N/AN/A2512125921
2015-10-05$11.24$12.5050.4%9.5%43.1%58.2%0.0%3.1%-6.2%5.4K-80.3K-3300.00107.82N/AN/A0025921
2015-10-06$11.13$12.5051.1%9.5%43.5%59.5%28.1%-0.8%-6.3%4.9K-74.7K-3120.08108.31N/AN/A2512125921
2015-10-07$11.56$12.5038.5%6.5%42.9%36.3%23.5%4.7%3.0%7.3K-91.4K-3270.09108.02N/AN/A2512325921
2015-10-08$11.59$12.5043.7%7.1%42.9%45.8%25.1%4.6%3.1%7.5K-94.4K-3330.09109.54N/AN/A2512325923
2015-10-09$11.47$12.5044.2%7.3%35.9%46.7%26.8%0.7%1.5%6.6K-84.5K-3220.09108.02N/AN/A2512325923
2015-10-12$11.37$12.5065.2%7.4%35.1%85.5%27.3%2.2%2.0%5.9K-80.6K-3010.09109.02N/AN/A2512325923
2015-10-13$11.45$12.5074.2%7.6%32.3%100.0%26.6%4.0%2.8%3.6K-73.9K-2740.09109.62N/AN/A2512325921
2015-10-14$11.33$12.5034.6%9.9%28.3%28.4%39.4%-7.4%-9.8%3.3K-74.9K-2900.0960.71N/AN/A2512325921
2015-10-15$11.34$12.5027.6%7.9%26.2%15.7%28.8%1.7%-7.2%3.6K-67.7K-2420.09110.11N/AN/A2512325921
2015-10-16$11.39$12.5028.3%8.1%25.5%17.1%28.5%3.1%-7.3%3.7K-69.3K-2380.09110.11N/AN/A2512325921
2015-10-19$11.21$12.5032.4%9.3%25.3%24.5%30.1%1.3%-7.0%3.4K-50.5K-2200.10110.16N/AN/A1051114911
2015-10-20$11.29$12.5027.1%7.8%24.3%14.8%29.5%1.7%-6.6%3.2K-59.5K-2710.10110.95N/AN/A1051114911
2015-10-21$11.06$12.5031.6%9.1%25.3%23.0%33.1%-1.0%-7.1%3.1K-44.8K-2120.10109.59N/AN/A1051114911
2015-10-22$11.41$12.5030.2%8.7%27.6%20.4%31.1%1.6%-10.5%3.7K-58.6K-2300.10110.20N/AN/A1051114911
2015-10-23$11.45$12.5028.8%8.3%27.5%18.0%28.8%4.0%-5.6%3.5K-62.2K-2650.10110.25N/AN/A1051114911
2015-10-26$11.34$12.5030.7%8.8%27.3%21.4%32.2%1.9%2.4%3.3K-59.8K-2600.10109.29N/AN/A1051114911
2015-10-27$11.03$12.5033.0%9.5%28.4%25.5%34.9%-1.9%-9.5%2.9K-47.2K-2270.10110.08N/AN/A1051114911
2015-10-28$11.40$12.5030.1%8.6%30.8%20.3%30.1%4.9%-6.6%3.7K-56.5K-2140.10109.97N/AN/A1051114911
2015-10-29$11.44$12.5031.2%8.9%28.7%22.2%32.7%3.8%-9.4%3.8K-58.3K-2130.10110.06N/AN/A1051114911
2015-10-30$11.41$12.5031.6%9.1%28.7%23.1%31.4%6.0%-7.5%3.7K-57.0K-2110.10110.37N/AN/A1051114911