AG Options History — June 2007

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

In June 2007, AG traded between $41.89 and $45.12. ATM implied volatility averaged 31.4%. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 0.2% (HV 20d: 31.6%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.26.

Notable Days

2007-06-18: Highest Volume — 1,579 contracts
2007-06-07: Largest IV spike — 25.8% change
2007-06-08: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.79	$41.89	$45.12	$43.33	$43.41
Max Pain	$44.52	$40.00	$45.00	$45.00	$45.00
ATM IV	31.4%	26.9%	37.3%	28.8%	29.8%
Expected Move	9.3%	8.3%	10.6%	8.3%	8.5%
HV 20d	31.6%	22.7%	36.0%	33.3%	22.8%
HV 60d	27.7%	27.2%	28.1%	27.6%	27.2%
Term Structure	3.4%	1.4%	5.4%	4.4%	5.4%
VWIV	32.8%	29.0%	36.6%	30.8%	33.1%
Skew 25d	3.3%	0.8%	7.7%	5.8%	7.7%
Skew 10d	6.9%	-1.8%	13.5%	13.5%	11.9%
Call IV 25d	31.5%	26.1%	34.4%	28.0%	26.1%
Put IV 25d	34.8%	32.2%	37.6%	33.8%	33.8%
Bid-Ask Spread %	14.51	8.91	21.45	12.42	9.73
Gamma HHI	0.41	0.25	0.83	0.51	0.27
Net GEX	475.0K	30.0K	2.7M	317.3K	267.6K
Net DEX	-19.6M	-24.2M	-5.1M	-18.7M	-19.8M
Net VEX	-97.1K	-104.1K	-52.8K	-100.9K	-102.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.26	0.03	8.36	0.87	8.36
Total Volume	403.81	66	1,579	629	468
Total OI	16,966.333	12,682	18,474	16,979	17,174

Daily Data (21 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
2007-06-01	$43.33	$45.00	28.8%	8.3%	33.3%	0.0%	30.8%	5.8%	4.4%	317.3K	-18.7M	-100.9K	0.87	12.42	336	293	9,042	7,937
2007-06-04	$43.73	$45.00	30.3%	9.7%	33.4%	0.0%	34.4%	3.6%	1.4%	392.6K	-20.2M	-100.1K	0.26	11.97	119	31	9,221	8,165
2007-06-05	$44.10	$45.00	30.3%	9.7%	32.9%	0.0%	31.9%	3.5%	1.5%	506.4K	-21.7M	-98.7K	0.33	18.88	469	154	9,277	8,176
2007-06-06	$43.15	$45.00	29.7%	9.7%	33.8%	0.0%	36.2%	3.6%	1.6%	350.6K	-18.4M	-100.7K	1.03	16.32	236	243	9,547	8,272
2007-06-07	$41.89	$40.00	37.3%	10.4%	34.8%	0.0%	36.6%	2.6%	1.6%	30.0K	-13.6M	-102.0K	2.95	18.61	66	195	9,571	8,414
2007-06-08	$42.42	$40.00	35.7%	10.6%	34.4%	0.0%	35.1%	4.9%	1.7%	154.7K	-15.4M	-99.6K	1.84	16.00	82	151	9,558	8,376
2007-06-11	$43.03	$45.00	34.1%	9.8%	34.7%	0.0%	34.3%	2.7%	1.6%	226.3K	-5.1M	-52.8K	0.20	18.33	123	25	5,475	7,207
2007-06-12	$42.66	$45.00	26.9%	9.9%	34.5%	0.0%	31.1%	2.5%	1.6%	194.0K	-15.9M	-96.3K	0.32	13.98	50	16	9,585	8,396
2007-06-13	$43.94	$45.00	30.8%	9.7%	36.0%	0.0%	29.0%	3.5%	2.3%	804.0K	-20.4M	-92.6K	0.14	9.38	91	13	9,599	8,389
2007-06-14	$44.64	$45.00	33.5%	9.6%	35.5%	0.0%	33.5%	3.7%	2.5%	1.5M	-22.7M	-90.7K	0.55	9.78	581	320	9,675	8,393
2007-06-15	$44.70	$45.00	32.9%	9.4%	35.4%	0.0%	32.9%	3.9%	3.4%	2.7M	-21.9M	-90.5K	1.00	11.23	285	285	9,975	8,499
2007-06-18	$45.12	$45.00	33.1%	9.5%	34.1%	0.0%	32.8%	2.7%	2.8%	196.1K	-21.7M	-87.2K	0.03	8.91	1,539	40	7,985	6,757
2007-06-19	$45.03	$45.00	31.3%	9.0%	33.9%	0.0%	32.1%	1.8%	4.8%	308.0K	-23.7M	-104.1K	1.08	13.50	181	196	9,415	6,787
2007-06-20	$44.56	$45.00	31.0%	8.9%	34.2%	0.0%	31.9%	1.2%	4.1%	302.7K	-23.2M	-103.5K	1.49	14.26	99	148	9,533	6,904
2007-06-21	$45.00	$45.00	30.5%	8.8%	28.2%	0.0%	31.3%	3.1%	4.9%	325.1K	-24.2M	-102.0K	0.42	13.52	226	94	9,591	6,943
2007-06-22	$44.22	$45.00	30.4%	8.7%	29.2%	0.0%	32.1%	0.8%	4.9%	299.8K	-22.2M	-104.1K	0.26	15.58	319	83	9,691	6,971
2007-06-25	$44.16	$45.00	30.4%	8.7%	28.3%	0.0%	32.2%	2.1%	5.1%	314.0K	-22.4M	-102.3K	1.24	17.71	124	154	9,754	7,046
2007-06-26	$43.68	$45.00	30.5%	8.7%	27.8%	0.0%	32.8%	1.9%	5.4%	253.2K	-20.2M	-103.9K	1.59	21.45	34	54	9,744	7,273
2007-06-27	$43.65	$45.00	30.9%	8.9%	23.1%	0.0%	34.4%	2.6%	5.1%	258.7K	-20.4M	-103.2K	1.81	20.77	63	114	9,765	7,212
2007-06-28	$43.22	$45.00	30.1%	8.6%	22.7%	0.0%	29.4%	5.8%	5.2%	249.3K	-19.4M	-100.7K	0.71	12.48	222	158	9,770	7,229
2007-06-29	$43.41	$45.00	29.8%	8.5%	22.8%	0.0%	33.1%	7.7%	5.4%	267.6K	-19.8M	-102.5K	8.36	9.73	50	418	9,876	7,298