AGYS Options History — December 2020

In December 2020, AGYS traded between $36.95 and $41.92. ATM implied volatility averaged 45.1%, placing in the 15.6% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 2.4% (HV 20d: 42.7%). Max pain ranged from $22.50 to $30.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.10.

Notable Days

  • 2020-12-23: Highest Volume — 124 contracts
  • 2020-12-09: Largest IV drop — 37.5% change
  • 2020-12-01: Highest IV Rank — 28.1%
  • 2020-12-01: Largest Expected Move — 19.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.48$36.95$41.92$37.09$38.45
Max Pain$23.75$22.50$30.00$30.00$30.00
ATM IV45.1%36.5%67.7%67.7%36.8%
Expected Move12.3%10.5%19.4%19.4%10.6%
HV 20d42.7%34.5%48.7%48.1%38.1%
HV 60d46.0%44.7%46.8%46.5%46.7%
IV Rank15.6%10.8%28.1%28.1%10.9%
IV Percentile26.1%9.9%64.7%64.7%11.1%
Term Structure4.8%-26.1%28.7%-26.1%28.7%
VWIV40.9%21.3%53.4%50.3%34.9%
Skew 25d-10.1%-26.8%8.4%3.1%8.4%
Skew 10d-11.1%-33.4%13.1%8.3%13.1%
Call IV 25d49.4%39.0%58.8%58.2%50.4%
Put IV 25d39.3%29.1%63.2%61.2%58.7%
Bid-Ask Spread %106.2898.26121.77120.27107.34
Gamma HHI0.520.440.610.560.46
Net GEX70.4K41.9K85.6K77.7K67.7K
Net DEX-4.5M-5.2M-3.6M-3.6M-4.4M
Net VEX-5.9K-7.7K-4.5K-7.7K-5.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.100.001.000.000.00
Total Volume19.1360124015
Total OI1,574.1821,4181,6651,5941,582

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2020-12-01$37.09$30.0067.7%19.4%48.1%28.1%0.0%3.1%-26.1%77.7K-3.6M-7.7K0.00120.27N/AN/A001,53163
2020-12-02$36.95$30.0061.6%17.7%48.2%24.7%0.0%4.8%-13.5%79.8K-3.6M-7.6K0.00121.77N/AN/A301,53163
2020-12-03$38.19$22.5059.9%13.6%48.7%23.8%50.3%-17.3%-4.2%78.0K-4.1M-7.2K0.00109.40N/AN/A2001,53463
2020-12-04$38.87$22.5051.7%12.9%45.0%19.2%0.0%-14.7%5.8%78.6K-4.3M-7.1K1.00111.38N/AN/A221,55463
2020-12-07$40.02$22.5063.2%14.6%45.3%25.7%51.0%-11.5%-3.6%78.8K-4.6M-6.7K0.00104.69N/AN/A1801,55664
2020-12-08$40.34$22.5063.6%12.3%44.7%25.8%39.8%-1.0%5.2%66.4K-4.9M-5.8K0.00104.51N/AN/A301,55164
2020-12-09$39.39$22.5039.8%11.4%46.0%12.6%0.0%-17.8%-5.3%75.6K-4.5M-6.7K0.00105.26N/AN/A501,55364
2020-12-10$39.87$22.5040.7%11.7%46.0%13.1%0.0%-18.5%7.6%70.8K-4.8M-5.8K0.00105.33N/AN/A001,54764
2020-12-11$39.65$22.5038.5%11.0%46.1%11.9%27.1%-9.5%5.6%68.6K-4.7M-5.6K0.00107.24N/AN/A201,54764
2020-12-14$38.35$22.5039.8%11.4%48.3%12.6%21.3%-12.0%6.1%75.0K-4.4M-5.5K0.00104.09N/AN/A2301,54664
2020-12-15$39.33$22.5039.1%11.2%48.5%12.2%39.5%-7.8%11.4%70.9K-4.7M-5.4K0.00100.81N/AN/A1301,53564
2020-12-16$38.86$22.5037.2%10.7%45.0%11.2%0.0%-15.6%7.7%75.7K-4.5M-5.6K0.00100.44N/AN/A201,54564
2020-12-17$40.34$22.5037.7%10.8%44.5%11.4%0.0%-19.1%-12.7%85.6K-4.8M-5.5K0.00104.25N/AN/A6601,54664
2020-12-18$40.59$22.5036.5%10.5%40.6%10.8%35.8%-10.0%14.3%52.8K-5.2M-4.7K0.00101.82N/AN/A1401,60164
2020-12-21$40.11$22.5038.8%11.1%38.9%12.0%48.3%-22.6%-1.7%67.4K-4.3M-5.5K0.00108.31N/AN/A1601,37445
2020-12-22$41.92$22.5038.6%11.1%34.5%11.9%43.1%-14.0%24.5%53.1K-4.9M-4.5K0.00107.31N/AN/A801,37345
2020-12-23$41.90$22.5041.4%11.9%34.5%13.5%34.9%-13.4%15.9%41.9K-4.9M-4.6K0.00104.51N/AN/A12401,37645
2020-12-24$41.06$22.5041.7%12.0%35.5%13.7%0.0%-26.8%0.3%67.4K-4.8M-6.0K0.00103.85N/AN/A1401,49545
2020-12-28$39.86$22.5040.5%11.6%37.4%13.0%52.2%-2.2%19.4%63.1K-4.7M-5.4K0.41107.77N/AN/A27111,50845
2020-12-29$38.59$25.0039.7%11.4%38.0%12.5%53.4%-2.2%7.1%82.9K-4.2M-5.7K0.5798.26N/AN/A21121,50356
2020-12-30$38.93$25.0038.5%11.0%37.8%11.8%0.0%-2.3%12.0%71.3K-4.4M-5.4K0.0099.48N/AN/A001,50368
2020-12-31$38.45$30.0036.8%10.6%38.1%10.9%34.9%8.4%28.7%67.7K-4.4M-5.1K0.00107.34N/AN/A1501,50379