AG Options History — February 2007

Name: AG Options Analytics - February 2007
Creator: Options Analysis Suite

In February 2007, AG traded between $34.91 and $39.19. ATM implied volatility averaged 36.3%. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 3.9% (HV 20d: 32.4%). Max pain ranged from $30.00 to $35.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 2.42.

Notable Days

2007-02-09: Highest Volume — 3,978 contracts
2007-02-08: Largest IV drop — 25.7% change
2007-02-07: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.62	$34.91	$39.19	$34.91	$36.25
Max Pain	$34.47	$30.00	$35.00	$30.00	$35.00
ATM IV	36.3%	29.6%	57.8%	35.9%	33.7%
Expected Move	9.9%	8.5%	12.4%	10.3%	9.7%
HV 20d	32.4%	28.2%	37.4%	33.7%	34.4%
Term Structure	0.6%	-3.2%	3.2%	-0.1%	1.2%
VWIV	34.4%	29.8%	43.1%	32.7%	29.8%
Skew 25d	2.7%	-6.1%	4.9%	-6.1%	-0.6%
Skew 10d	1.8%	-9.8%	8.8%	-9.8%	-4.9%
Call IV 25d	33.1%	29.7%	40.2%	35.9%	32.6%
Put IV 25d	35.8%	29.8%	44.3%	29.8%	32.0%
Bid-Ask Spread %	11.94	5.33	22.44	5.33	21.47
Gamma HHI	0.44	0.28	0.75	0.42	0.39
Net GEX	-32.7K	-337.4K	109.7K	109.7K	-96.2K
Net DEX	-13.6M	-21.7M	-6.8M	-14.3M	-7.8M
Net VEX	-37.8K	-44.5K	-32.2K	-32.2K	-44.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.42	0.36	17.20	0.36	0.61
Total Volume	960.947	284	3,978	284	584
Total OI	11,181.842	7,657	14,432	9,642	9,947

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 Vol	Put Vol	Call OI	Put OI
2007-02-01	$34.91	$30.00	35.9%	10.3%	33.7%	0.0%	32.7%	-6.1%	-0.1%	109.7K	-14.3M	-32.2K	0.36	5.33	209	75	5,787	3,855
2007-02-02	$35.07	$30.00	40.6%	11.1%	31.9%	0.0%	38.6%	4.6%	-0.7%	101.4K	-13.9M	-32.7K	1.94	13.02	483	939	5,670	3,877
2007-02-05	$35.07	$35.00	47.3%	11.6%	31.3%	0.0%	39.5%	4.1%	-2.3%	61.2K	-13.0M	-37.3K	1.68	11.35	367	615	5,993	4,512
2007-02-06	$35.11	$35.00	50.3%	11.6%	31.0%	0.0%	39.5%	4.6%	-1.5%	22.5K	-13.1M	-38.7K	1.18	11.28	261	307	6,214	4,919
2007-02-07	$36.46	$35.00	57.8%	12.4%	32.5%	0.0%	41.2%	4.1%	-2.9%	7.8K	-15.4M	-37.6K	5.62	11.71	294	1,653	6,394	5,205
2007-02-08	$36.47	$35.00	42.9%	12.3%	32.7%	0.0%	43.1%	4.9%	-3.2%	-140.8K	-14.0M	-40.8K	1.96	12.68	143	280	6,521	6,433
2007-02-09	$34.99	$35.00	33.1%	9.5%	37.4%	0.0%	32.3%	3.5%	2.3%	-319.0K	-10.5M	-40.6K	1.14	19.91	1,856	2,122	6,617	6,620
2007-02-12	$35.63	$35.00	32.3%	9.2%	32.5%	0.0%	32.5%	2.3%	2.8%	-337.4K	-14.4M	-43.7K	1.42	12.40	429	608	7,402	7,030
2007-02-13	$35.95	$35.00	32.1%	9.2%	32.5%	0.0%	31.9%	3.7%	3.2%	-248.2K	-16.3M	-40.6K	1.06	12.18	190	201	7,350	6,624
2007-02-14	$37.00	$35.00	32.3%	9.3%	33.4%	0.0%	31.6%	1.7%	2.8%	48.0K	-20.2M	-35.7K	2.38	7.29	239	570	7,377	6,763
2007-02-15	$37.38	$35.00	32.9%	9.4%	33.3%	0.0%	32.6%	3.0%	1.5%	74.0K	-21.1M	-35.2K	0.43	5.41	280	121	7,420	6,718
2007-02-16	$37.88	$35.00	29.6%	8.5%	33.1%	0.0%	33.6%	3.8%	3.1%	81.1K	-21.7M	-34.0K	1.40	7.27	271	379	7,364	6,727
2007-02-20	$37.95	$35.00	31.8%	9.1%	32.5%	0.0%	32.4%	4.6%	0.2%	57.2K	-11.3M	-33.3K	2.35	9.55	366	860	4,450	3,207
2007-02-21	$39.19	$35.00	31.2%	8.9%	29.9%	0.0%	33.0%	3.1%	0.8%	36.7K	-12.4M	-34.8K	17.20	9.35	30	516	4,714	3,943
2007-02-22	$38.68	$35.00	31.1%	8.9%	30.8%	0.0%	31.1%	0.8%	0.6%	-9.3K	-11.1M	-37.6K	1.40	14.10	399	559	4,722	4,341
2007-02-23	$38.37	$35.00	29.7%	8.5%	28.2%	0.0%	32.0%	4.5%	2.2%	24.4K	-11.2M	-36.9K	0.95	8.16	189	180	4,819	4,215
2007-02-26	$37.54	$35.00	30.2%	8.6%	29.7%	0.0%	31.6%	4.0%	1.3%	-10.5K	-10.1M	-39.6K	1.38	12.01	124	171	4,995	4,287
2007-02-27	$35.95	$35.00	35.1%	10.1%	34.4%	0.0%	34.5%	-0.3%	-0.2%	-83.2K	-6.8M	-42.6K	1.58	22.44	539	849	5,027	4,396
2007-02-28	$36.25	$35.00	33.7%	9.7%	34.4%	0.0%	29.8%	-0.6%	1.2%	-96.2K	-7.8M	-44.5K	0.61	21.47	362	222	5,322	4,625