AGYS Options History — January 2016 In January 2016, AGYS traded between $8.80 and $10.03. ATM implied volatility averaged 44.0%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 5.3% (HV 20d: 38.7%). Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.07.
Notable Days 2016-01-04 : Highest Volume — 106 contracts2016-01-13 : Largest IV drop — 62.1% change2016-01-11 : Highest IV Rank — 100.0%2016-01-28 : Largest Expected Move — 11.3%Monthly Statistics Metric Avg Min Max Open Close Price $9.39 $8.80 $10.03 $9.75 $9.49 ATM IV 44.0% 31.1% 103.5% 37.0% 34.4% Expected Move 9.8% 7.6% 11.3% 10.8% 9.9% HV 20d 38.7% 33.3% 44.8% 33.9% 44.8% HV 60d 36.5% 33.5% 39.3% 33.5% 39.3% IV Rank 32.3% 12.2% 100.0% 30.0% 16.1% IV Percentile 75.1% 46.4% 100.0% 81.3% 70.2% Term Structure -4.2% -10.5% 3.4% -5.1% -5.5% Skew 25d 3.3% -6.8% 15.1% 3.0% 8.2% Skew 10d 3.5% -11.8% 27.0% 4.7% 9.0% Call IV 25d 38.2% 30.4% 43.0% 36.9% 39.8% Put IV 25d 41.5% 29.9% 49.5% 39.8% 48.0% Bid-Ask Spread % 100.19 50.72 109.98 103.95 50.72 Gamma HHI 0.89 0.56 1.00 0.62 1.00 Net GEX 903 277 3.2K 3.0K 375 Net DEX -916 -12.3K 7.8K -12.3K -1.8K Net VEX -51 -106 -27 -106 -33 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.07 0.02 0.12 0.12 0.02 Total Volume 84.684 61 106 106 61 Total OI 156.158 83 222 222 83
Daily Data (19 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2016-01-04 $9.75 $0.00 37.0% 10.8% 33.9% 30.0% 0.0% 3.0% -5.1% 3.0K -12.3K -106 0.12 103.95 N/A N/A 95 11 211 11 2016-01-05 $9.75 $0.00 34.9% 10.4% 33.3% 26.0% 0.0% 2.5% -4.0% 3.2K -11.5K -103 0.12 96.83 N/A N/A 95 11 211 11 2016-01-06 $9.42 $0.00 43.1% 9.9% 33.9% 41.5% 0.0% 0.4% -3.3% 2.1K -2.3K -77 0.12 106.20 N/A N/A 95 11 211 11 2016-01-07 $9.21 $0.00 44.4% 9.7% 34.2% 44.0% 0.0% -2.0% -4.7% 1.5K 1.5K -62 0.12 91.53 N/A N/A 95 11 211 11 2016-01-08 $8.80 $0.00 71.7% 10.1% 36.7% 95.3% 0.0% 7.2% -8.6% 1.1K 1.2K -47 0.12 101.20 N/A N/A 95 11 211 11 2016-01-11 $8.80 $0.00 103.5% 7.6% 36.8% 100.0% 0.0% 15.1% 3.4% 313 6.8K -34 0.12 91.85 N/A N/A 95 11 211 11 2016-01-12 $9.12 $0.00 93.1% 9.5% 40.2% 87.4% 0.0% 12.4% -4.0% 370 6.8K -39 0.12 94.40 N/A N/A 95 11 211 11 2016-01-13 $9.06 $0.00 35.2% 10.1% 40.1% 17.2% 0.0% -6.1% -9.7% 277 7.8K -27 0.12 102.52 N/A N/A 95 11 211 11 2016-01-14 $9.41 $0.00 32.0% 9.2% 40.7% 13.2% 0.0% 1.5% -2.4% 480 6.1K -46 0.12 108.57 N/A N/A 95 11 211 11 2016-01-15 $9.32 $0.00 32.4% 9.3% 38.8% 13.7% 0.0% 1.3% -4.1% 401 6.9K -40 0.12 107.28 N/A N/A 95 11 211 11 2016-01-19 $9.42 $0.00 32.2% 9.2% 37.6% 13.4% 0.0% 3.4% -3.8% 512 -3.4K -45 0.02 98.81 N/A N/A 60 1 82 1 2016-01-20 $9.56 $0.00 31.1% 8.9% 36.2% 12.2% 0.0% -1.5% 0.3% 592 -4.5K -56 0.02 106.66 N/A N/A 60 1 82 1 2016-01-21 $9.66 $0.00 35.8% 10.3% 35.6% 17.8% 0.0% 3.3% -3.5% 585 -4.0K -48 0.02 107.71 N/A N/A 60 1 82 1 2016-01-22 $10.03 $0.00 37.3% 10.7% 37.7% 19.6% 0.0% 5.7% -4.6% 769 -5.7K -62 0.02 108.66 N/A N/A 60 1 82 1 2016-01-25 $9.44 $0.00 33.0% 9.4% 43.0% 14.4% 0.0% 6.1% -1.9% 470 -2.9K -40 0.02 108.42 N/A N/A 60 1 82 1 2016-01-26 $9.58 $0.00 32.2% 9.2% 43.5% 13.5% 0.0% -6.8% -1.4% 468 -2.7K -39 0.02 101.54 N/A N/A 60 1 82 1 2016-01-27 $9.30 $0.00 34.3% 9.8% 44.4% 16.0% 0.0% 4.9% -6.3% 356 -1.8K -29 0.02 109.98 N/A N/A 60 1 82 1 2016-01-28 $9.23 $0.00 39.4% 11.3% 43.9% 22.2% 0.0% 4.6% -10.5% 338 -1.7K -31 0.02 106.84 N/A N/A 60 1 82 1 2016-01-29 $9.49 $0.00 34.4% 9.9% 44.8% 16.1% 0.0% 8.2% -5.5% 375 -1.8K -33 0.02 50.72 N/A N/A 60 1 82 1
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