AG Options History — April 2007 In April 2007, AG traded between $35.96 and $42.84. ATM implied volatility averaged 35.1%. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 12.8% (HV 20d: 22.3%). Max pain ranged from $35.00 to $35.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 4.05.
Notable Days 2007-04-02 : Highest Volume — 3,620 contracts2007-04-12 : Largest IV spike — 23.7% change2007-04-30 : Largest Expected Move — 11.7%Monthly Statistics Metric Avg Min Max Open Close Price $38.48 $35.96 $42.84 $36.13 $41.73 Max Pain $35.00 $35.00 $35.00 $35.00 $35.00 ATM IV 35.1% 29.5% 40.9% 31.5% 40.9% Expected Move 10.3% 8.5% 11.7% 9.0% 11.7% HV 20d 22.3% 19.0% 26.5% 24.2% 26.5% HV 60d 28.5% 26.4% 30.5% 30.5% 27.9% Term Structure -0.7% -6.0% 7.5% 4.6% -6.0% VWIV 35.5% 28.6% 38.8% 31.2% 38.8% Skew 25d 2.2% -3.6% 6.1% -3.6% 3.5% Skew 10d 5.0% -8.6% 10.0% -8.6% 8.0% Call IV 25d 35.2% 29.4% 39.0% 33.6% 39.0% Put IV 25d 37.4% 29.1% 42.5% 30.0% 42.5% Bid-Ask Spread % 13.90 5.85 21.24 13.89 16.14 Gamma HHI 0.49 0.33 0.64 0.41 0.35 Net GEX -139.0K -512.7K 363.3K -128.8K 281.2K Net DEX -13.1M -25.6M -4.0M -8.7M -21.9M Net VEX -88.9K -102.5K -71.2K -71.2K -88.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 4.05 0.13 31.06 3.12 2.12 Total Volume 791.6 75 3,620 3,620 237 Total OI 17,262.55 12,337 19,190 12,337 19,190
Daily Data (20 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 2007-04-02 $36.13 $35.00 31.5% 9.0% 24.2% 0.0% 31.2% -3.6% 4.6% -128.8K -8.7M -71.2K 3.12 13.89 878 2,742 6,457 5,880 2007-04-03 $36.45 $35.00 31.6% 9.1% 24.4% 0.0% 31.6% 2.2% 4.7% -281.6K -8.8M -81.3K 0.21 20.50 169 36 7,094 7,931 2007-04-04 $36.11 $35.00 31.4% 9.0% 24.2% 0.0% 31.2% -2.6% 5.2% -309.2K -7.5M -81.9K 7.19 20.26 26 187 7,167 7,940 2007-04-05 $36.15 $35.00 29.5% 8.5% 23.1% 0.0% 28.6% -3.1% 7.5% -305.7K -7.9M -81.0K 26.32 21.24 82 2,158 7,178 7,868 2007-04-09 $36.07 $35.00 32.6% 10.9% 22.3% 0.0% 35.5% 4.1% -1.0% -446.4K -5.1M -94.8K 31.06 10.63 48 1,491 7,192 9,801 2007-04-10 $35.96 $35.00 33.3% 10.9% 22.3% 0.0% 34.7% 4.8% -0.2% -512.7K -4.0M -102.5K 4.26 11.14 39 166 7,228 10,686 2007-04-11 $36.24 $35.00 30.2% 11.0% 19.4% 0.0% 35.7% 6.1% -1.3% -498.5K -5.3M -101.7K 0.27 11.20 146 40 7,249 10,573 2007-04-12 $36.60 $35.00 37.4% 10.7% 19.1% 0.0% 37.5% 4.1% -0.5% -454.2K -6.9M -100.0K 0.63 13.10 46 29 7,321 10,592 2007-04-13 $37.11 $35.00 37.5% 10.7% 19.5% 0.0% 35.4% 3.3% -1.4% -381.0K -9.0M -98.1K 0.29 16.31 189 55 7,364 10,590 2007-04-16 $37.74 $35.00 36.3% 10.4% 19.7% 0.0% 36.9% 3.1% -1.4% -221.5K -11.2M -92.6K 0.19 9.80 243 45 7,360 10,555 2007-04-17 $38.31 $35.00 36.2% 10.4% 19.3% 0.0% 36.4% 2.6% -0.9% -185.6K -13.2M -90.5K 0.39 16.93 154 60 7,510 10,535 2007-04-18 $38.58 $35.00 36.0% 10.3% 19.3% 0.0% 36.5% 1.8% -0.6% -140.2K -14.0M -88.9K 0.60 5.85 89 53 7,584 10,512 2007-04-19 $38.50 $35.00 35.7% 10.2% 19.0% 0.0% 37.6% 1.8% -1.0% -135.0K -13.8M -89.1K 0.36 6.67 56 20 7,599 10,547 2007-04-20 $39.15 $35.00 36.7% 10.5% 19.7% 0.0% 38.2% 2.7% -1.7% -80.1K -15.1M -86.9K 2.17 17.59 216 469 7,614 10,567 2007-04-23 $41.05 $35.00 37.5% 10.8% 24.8% 0.0% 38.7% 3.2% -3.7% -31.8K -18.3M -77.9K 0.46 9.24 1,901 883 6,918 8,916 2007-04-24 $40.63 $35.00 37.6% 10.8% 25.4% 0.0% 37.4% 2.2% -4.9% 119.9K -18.7M -89.3K 0.13 11.03 1,097 140 8,562 9,186 2007-04-25 $41.88 $35.00 37.7% 10.8% 24.3% 0.0% 36.1% 4.0% -4.1% 261.6K -22.2M -87.5K 0.46 17.35 204 94 9,054 9,306 2007-04-26 $42.84 $35.00 35.7% 10.2% 24.8% 0.0% 36.4% 1.8% -5.5% 363.3K -25.6M -86.4K 0.57 14.54 449 257 9,488 9,322 2007-04-27 $42.36 $35.00 37.5% 10.8% 25.3% 0.0% 36.1% 2.5% -2.0% 306.1K -23.9M -86.9K 0.25 14.53 509 129 9,320 9,495 2007-04-30 $41.73 $35.00 40.9% 11.7% 26.5% 0.0% 38.8% 3.5% -6.0% 281.2K -21.9M -88.7K 2.12 16.14 76 161 9,636 9,554
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