AGYS Options History — November 2020

In November 2020, AGYS traded between $27.28 and $40.98. ATM implied volatility averaged 43.8%, placing in the 14.8% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 4.0% (HV 20d: 47.8%). Max pain ranged from $15.00 to $30.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.06.

Notable Days

  • 2020-11-03: Highest Volume — 251 contracts
  • 2020-11-09: Largest IV spike — 49.1% change
  • 2020-11-30: Highest IV Rank — 30.4%
  • 2020-11-30: Largest Expected Move — 20.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.30$27.28$40.98$27.28$37.50
Max Pain$27.75$15.00$30.00$15.00$30.00
ATM IV43.8%28.1%71.8%56.1%71.8%
Expected Move13.1%8.6%20.6%16.1%20.6%
HV 20d47.8%42.7%57.2%52.3%47.2%
HV 60d43.2%39.3%47.2%39.3%46.9%
IV Rank14.8%6.1%30.4%21.7%30.4%
IV Percentile27.0%3.6%67.1%50.4%67.1%
Term Structure-5.4%-18.8%11.7%-13.0%-18.8%
VWIV47.8%33.5%61.1%61.1%45.0%
Skew 25d6.0%-11.8%14.6%2.9%5.9%
Skew 10d12.2%-17.8%26.8%8.3%20.7%
Call IV 25d46.9%27.1%69.8%48.7%69.8%
Put IV 25d52.9%37.6%75.7%51.6%75.7%
Bid-Ask Spread %122.94106.30134.12119.26123.47
Gamma HHI0.550.380.720.380.54
Net GEX77.4K45.2K98.6K45.2K76.2K
Net DEX-3.0M-5.1M-1.1M-1.1M-3.8M
Net VEX-6.9K-7.9K-4.8K-4.8K-7.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.060.000.300.000.14
Total Volume62.854251538
Total OI1,467.61,3141,6131,3141,594

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-11-02$27.28$15.0056.1%16.1%52.3%21.7%61.1%2.9%-13.0%45.2K-1.1M-4.8K0.00119.26N/AN/A5301,30311
2020-11-03$28.16$15.0046.0%13.2%53.2%16.0%43.7%13.9%-3.3%52.3K-1.4M-5.1K0.00117.11N/AN/A25101,30311
2020-11-04$28.61$15.0032.8%9.4%53.3%8.7%0.0%6.3%5.3%66.2K-1.4M-5.7K0.00119.73N/AN/A1101,42511
2020-11-05$30.52$30.0030.8%12.3%57.2%7.6%42.9%9.6%-9.0%82.5K-1.9M-6.7K0.01129.76N/AN/A10511,42511
2020-11-06$30.79$30.0028.1%12.3%50.4%6.1%0.0%4.5%-14.9%90.0K-1.9M-6.9K0.00131.44N/AN/A4001,44312
2020-11-09$31.84$30.0041.9%14.1%45.6%13.8%0.0%5.4%-12.9%86.0K-2.2M-7.5K0.00129.13N/AN/A5701,42312
2020-11-10$31.60$30.0044.0%13.8%45.7%14.9%0.0%7.6%-4.2%82.7K-2.1M-7.4K0.00133.69N/AN/A601,40612
2020-11-11$31.83$30.0041.7%12.0%45.4%13.6%0.0%8.4%10.8%85.7K-2.2M-7.3K0.00134.12N/AN/A2001,40612
2020-11-12$32.59$30.0033.2%9.5%45.7%8.9%33.5%12.2%2.4%98.6K-2.5M-7.3K0.00123.87N/AN/A2101,40612
2020-11-13$33.34$30.0045.0%12.9%45.2%15.5%50.6%9.3%-3.8%98.4K-2.8M-7.6K0.01126.64N/AN/A7211,42012
2020-11-16$33.99$30.0046.0%13.2%44.9%16.0%0.0%1.1%-2.7%97.9K-3.1M-7.3K0.00121.95N/AN/A1601,41513
2020-11-17$36.04$30.0030.2%8.6%47.7%7.2%48.5%14.6%11.7%88.7K-3.7M-7.3K0.27129.71N/AN/A41111,42513
2020-11-18$37.59$30.0041.0%11.8%42.7%13.3%52.2%1.7%-14.5%75.9K-4.1M-6.8K0.09115.66N/AN/A116101,41418
2020-11-19$39.61$30.0050.3%14.4%44.3%18.5%51.9%4.6%-6.4%69.9K-4.7M-6.7K0.20119.98N/AN/A4591,46928
2020-11-20$40.98$30.0050.5%14.5%44.5%18.6%56.2%2.6%10.0%53.8K-5.1M-6.3K0.30106.30N/AN/A186561,47029
2020-11-23$38.45$30.0040.2%11.5%49.4%12.8%40.1%4.3%-4.0%72.3K-4.3M-7.1K0.18114.14N/AN/A68121,50773
2020-11-24$38.45$30.0046.8%13.4%48.7%16.5%0.0%13.7%-15.8%76.5K-4.3M-7.3K0.00111.62N/AN/A2601,51968
2020-11-25$38.41$30.0041.9%12.0%46.0%13.8%45.0%-11.8%-9.5%74.0K-4.1M-7.7K0.00122.81N/AN/A0111,54568
2020-11-27$38.51$30.0058.0%16.6%46.2%22.7%0.0%4.0%-14.8%74.9K-4.3M-7.4K0.00128.44N/AN/A401,54563
2020-11-30$37.50$30.0071.8%20.6%47.2%30.4%0.0%5.9%-18.8%76.2K-3.8M-7.9K0.14123.47N/AN/A711,53163