AGYS Options History — December 2015

In December 2015, AGYS traded between $10.08 and $11.39. ATM implied volatility averaged 33.6%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 1.0% (HV 20d: 32.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.14.

Notable Days

  • 2015-12-22: Highest Volume — 106 contracts
  • 2015-12-09: Largest IV drop — 29.9% change
  • 2015-12-04: Highest IV Rank — 41.1%
  • 2015-12-01: Largest Expected Move — 11.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.58$10.08$11.39$11.24$10.10
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV33.6%27.0%42.9%38.9%33.3%
Expected Move8.9%7.1%11.1%11.1%9.5%
HV 20d32.6%24.5%40.9%40.7%32.8%
HV 60d34.2%31.4%37.6%37.5%33.9%
IV Rank23.6%11.1%41.1%33.5%23.0%
IV Percentile60.8%17.1%92.1%85.7%67.9%
Term Structure1.2%-13.2%9.0%-11.0%2.1%
VWIV30.3%24.5%35.6%27.1%33.5%
Skew 25d5.7%-15.6%57.0%1.9%-15.6%
Skew 10d24.8%-22.9%107.4%3.5%-22.9%
Call IV 25d35.8%22.6%54.0%35.6%49.0%
Put IV 25d41.5%23.2%98.1%37.5%33.4%
Bid-Ask Spread %104.5761.39156.31110.45112.60
Gamma HHI0.550.500.720.640.58
Net GEX3.4K2.8K3.9K3.3K3.4K
Net DEX-36.4K-54.3K-21.4K-49.1K-23.1K
Net VEX-168-227-128-153-136
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.140.120.230.230.12
Total Volume8701060106
Total OI205.636162222162222

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-12-01$11.24$0.0038.9%11.1%40.7%33.5%0.0%1.9%-11.0%3.3K-49.1K-1530.00110.45N/AN/A0015111
2015-12-02$11.39$0.0034.5%9.9%40.9%25.2%0.0%6.2%-13.2%3.5K-54.3K-1600.23110.04N/AN/A471115111
2015-12-03$11.12$10.0040.1%9.3%31.9%35.8%27.1%9.2%-0.1%3.3K-49.0K-1800.23108.36N/AN/A471115111
2015-12-04$11.24$10.0042.9%7.1%31.6%41.1%24.5%2.5%5.8%3.2K-48.0K-1370.13112.85N/AN/A851115111
2015-12-07$10.92$10.0042.8%7.1%32.8%40.9%0.0%-3.5%3.7%3.7K-50.4K-2230.00113.63N/AN/A0020111
2015-12-08$10.75$10.0041.9%8.5%33.0%39.2%28.7%3.1%2.0%3.7K-47.5K-2270.13109.28N/AN/A851120111
2015-12-09$10.68$10.0029.4%8.4%32.9%15.6%28.9%-13.8%2.4%3.7K-41.2K-2030.13111.06N/AN/A851120111
2015-12-10$10.63$10.0029.9%8.6%32.9%16.7%29.6%3.1%1.0%3.6K-38.9K-1900.13111.64N/AN/A851120111
2015-12-11$10.52$10.0030.8%8.8%27.3%18.3%29.3%31.4%3.2%3.4K-36.5K-2000.13108.81N/AN/A851120111
2015-12-14$10.51$10.0032.3%9.3%24.5%21.1%30.6%2.4%1.9%3.4K-36.4K-1980.13108.60N/AN/A851120111
2015-12-15$10.87$10.0033.7%9.7%27.1%23.7%31.6%4.1%-1.6%3.9K-49.8K-2170.13108.78N/AN/A851120111
2015-12-16$10.44$10.0030.9%8.9%30.4%18.4%30.5%-1.5%1.2%3.3K-33.0K-1700.13112.08N/AN/A851120111
2015-12-17$10.08$10.0034.2%9.8%32.4%24.6%35.6%-5.7%-2.5%2.8K-21.8K-1390.13111.38N/AN/A851120111
2015-12-18$10.38$10.0029.5%8.5%33.9%15.9%29.3%-3.7%2.9%3.2K-28.8K-1540.13112.21N/AN/A851120111
2015-12-21$10.11$10.0033.0%9.5%33.2%22.4%34.2%57.0%0.7%2.9K-21.4K-1310.1362.53N/AN/A851120111
2015-12-22$10.29$10.0027.8%8.0%33.7%12.6%26.9%38.9%7.0%3.4K-24.9K-1320.1278.36N/AN/A951120111
2015-12-23$10.36$10.0027.6%7.9%33.5%12.3%26.8%24.3%8.7%3.4K-31.5K-1610.1263.80N/AN/A951121111
2015-12-24$10.36$10.0027.0%7.7%32.8%11.1%26.2%-5.3%9.0%3.3K-32.4K-1600.1261.39N/AN/A951121111
2015-12-28$10.24$10.0032.7%9.4%32.8%21.8%34.9%-3.4%-0.6%3.3K-27.3K-1430.12150.40N/AN/A951121111
2015-12-29$10.37$10.0033.5%9.6%33.1%23.5%34.0%-11.8%1.7%3.4K-31.3K-1510.1266.07N/AN/A951121111
2015-12-30$10.10$10.0032.6%9.3%33.5%21.7%33.1%5.6%2.1%3.3K-23.0K-1280.12156.31N/AN/A951121111
2015-12-31$10.10$10.0033.3%9.5%32.8%23.0%33.5%-15.6%2.1%3.4K-23.1K-1360.12112.60N/AN/A951121111