Advantage Oil & Gas

AAV

3.00

0.00

0.0%

After Hours:

3.00

0.00

0.0%

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Stock Price
Open: 2.95
Prev. Close: 3.00
Low/Hi: 2.90 - 3.00
52-Week: 2.75 - 7.35
Volumes
Equity: 170,662
90-Day Avg: 260,670
Option: 431
90-Day Avg: 137
Volatility
Todays Stock Vol: 46.6
20-Day (HV): 59.0
52-Week (HV): 38.3
30-Day IV: 49.2 -5.8
IV Pct Rank: 96% Elevated
Fundamental
Div. Yield:
Earnings: 13-Apr (Est.)
P/E Ratio: 10.71
Market Cap: 557.9 M
Short Int Pct: 0.2%
Pct Held By Inst.: 81.1%
Stock Info
Type: Common
Sector: Basic Materials
Industry: Oil & Gas Drilling & Exploration

AAV Symbol Review Report

Report Date: 16-Feb-2018

Price Performance:

On the day, AAV has moved 0.0%, while SPY has moved 0.0%.

Over the last two weeks, AAV has moved -9.1%, and SPY has moved -0.9%.

Volume:

AAV's stock volume on the day is 170,662, which is 0.7x relative to the 90-day average of 260,670

SPY's relative volume on the day is 1.7x, trading 152,272,279 shares against an average of 90,431,949 for the last 90 days.

Volatility:

The current 1-Day OHLC Volatility for AAV is 46.6 for the day. The 20-day average is 57.8, and the 52-week average is 34.8.

The 1-Day OHLC Volatility for SPY is 15.3, while the average over the last 20 days is 13.8, and for the last 52 weeks is 6.9.

Implied Volatility:

The current 30-Day Implied Volatility (IV30) is 49.2, and has moved -10.6% from the previous day. Its IV % Rank is 0.96, which is considered Elevated.

As a comparison, the current IV30 for SPY is 14.3, down slightly -1.2% from the previous day. SPY's IV % Rank is Elevated at 0.96.

Over the last 52 weeks, the IV30 Range is 21.7 - 65.1.

Over the same span, SPY's IV30 Range is 6.4 - 27.6.

Based on the IV30, a synthetic put to protect downside risk would cost 5.5%, compared to a 52-week range of 2.4% - 7.3%.

At-the-Money Straddles:

ATM Straddle Expected Range
Expiration $ Premium % Premium Low High
16-Feb-18 0.02 0.5% 2.96 2.99
16-Mar-18 0.32 10.6% 2.66 3.29
18-May-18 0.69 23.2% 2.28 3.67
17-Aug-18 0.85 28.4% 2.13 3.82

Volatility Skew:

The current downside put implied volatility is trading 0.2% lower than the upside call volatility, which represents a neutral tone when compared to the past year. Over the last year, the downside put has traded on average 0.0% higher than the upside call.

Option Volume:

On the day, AAV traded 431 contracts, with 0.2% being put options. This represents a relative volume of 3.2x compared to the last 90 days, when the average volume was 137 and 10.9% puts.

Order Flow:

In the Money At the Money Out of the Money Total
Option Type Volume % Volume Total
Notional
Volume % Volume Total
Notional
Volume % Volume Total
Notional
Volume % Volume Total
Notional $
Call 50 11.6% 4,750 0 0.0% 0 380 88.2% 3,800 430 99.8% 8,550
Put 1 0.2% 110 0 0.0% 0 0 0.0% 0 1 0.2% 110
Total 431 8,660

Most Active Options:

Option Symbol Volume # Trades Last Price Low Price High Price Open Interest IV % IV Change
AAV 18May18 C 4 380 5 0.10 0.10 0.10 2,291 67.0 0.0%
AAV 16Mar18 C 2 50 1 0.95 0.95 0.95 50 61.4 -46.7%
AAV 18May18 P 4 1 1 1.10 1.10 1.10 97 58.8 +78.1%
AAV 16Feb18 C 5 0 0 0.00 194 200.0 0.0%
AAV 16Feb18 P 5 0 0 0.00 251 200.0 0.0%

Biggest Open Interest Increases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
AAV 17Aug18 C 4 79 78 +1 +1.3% 0

Biggest Open Interest Decreases:

Option Symbol Open Interest Previous
Open Interest
Change % Change Current Volume
AAV 18May18 C 4 2,291 2,791 -500 -17.9% 380

Upcoming Dividend:

The next dividend for AAV has not yet been announced. Its indicative dividend yield going forward is 0.00%.

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