AG Options History — September 2007

In September 2007, AG traded between $43.23 and $50.77. ATM implied volatility averaged 38.1%, placing in the 40.1% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 1.1% (HV 20d: 37.0%). Max pain ranged from $40.00 to $45.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.11.

Notable Days

2007-09-27: Highest Volume — 1,109 contracts
2007-09-18: Largest IV drop — 10.5% change
2007-09-20: Highest IV Rank — 48.7%
2007-09-11: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.26	$43.23	$50.77	$43.96	$50.77
Max Pain	$44.21	$40.00	$45.00	$40.00	$45.00
ATM IV	38.1%	34.2%	40.9%	35.4%	35.6%
Expected Move	11.1%	9.8%	12.0%	10.2%	10.2%
HV 20d	37.0%	28.2%	51.7%	51.7%	28.3%
HV 60d	41.8%	40.9%	42.6%	41.0%	42.5%
IV Rank	40.1%	28.3%	48.7%	31.9%	32.4%
IV Percentile	71.5%	49.4%	85.6%	57.7%	53.8%
Term Structure	3.0%	0.5%	4.6%	2.4%	4.3%
VWIV	39.0%	32.3%	42.2%	37.8%	35.5%
Skew 25d	3.6%	1.5%	5.4%	2.5%	1.5%
Skew 10d	5.8%	-3.5%	9.9%	0.2%	2.6%
Call IV 25d	37.9%	33.2%	40.8%	35.8%	35.2%
Put IV 25d	41.5%	36.8%	45.0%	38.3%	36.8%
Bid-Ask Spread %	15.02	10.29	25.39	22.69	11.88
Gamma HHI	0.29	0.23	0.37	0.23	0.37
Net GEX	383.9K	327.3K	457.7K	399.2K	408.3K
Net DEX	-30.6M	-40.8M	-22.9M	-25.7M	-40.8M
Net VEX	-100.4K	-115.7K	-81.0K	-113.1K	-81.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.11	0.06	2.92	1.71	0.29
Total Volume	458.421	35	1,109	676	337
Total OI	19,546.579	18,639	20,570	19,283	19,466

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
2007-09-04	$43.96	$40.00	35.4%	10.2%	51.7%	31.9%	37.8%	2.5%	2.4%	399.2K	-25.7M	-113.1K	1.71	22.69	249	427	12,009	7,274
2007-09-05	$44.09	$40.00	35.7%	10.2%	50.3%	32.7%	35.7%	3.3%	2.7%	377.3K	-25.5M	-115.7K	0.58	23.29	86	50	12,026	7,550
2007-09-06	$45.12	$40.00	34.2%	9.8%	47.4%	28.3%	32.3%	5.3%	3.5%	429.0K	-29.0M	-113.5K	0.44	25.39	165	72	12,048	7,540
2007-09-07	$43.93	$45.00	36.3%	11.4%	42.1%	34.6%	41.8%	5.1%	0.5%	388.3K	-25.2M	-114.6K	2.20	11.61	124	273	12,054	7,589
2007-09-10	$43.23	$45.00	40.1%	11.7%	40.3%	46.1%	41.2%	3.9%	2.5%	344.8K	-22.9M	-112.8K	0.11	11.13	976	110	12,166	7,579
2007-09-11	$44.27	$45.00	38.1%	12.0%	40.9%	40.3%	0.0%	4.6%	2.3%	415.4K	-26.7M	-114.9K	0.89	12.82	167	148	12,375	7,593
2007-09-12	$43.96	$45.00	38.2%	11.8%	41.0%	40.5%	42.2%	3.6%	2.0%	327.3K	-24.1M	-107.3K	2.92	11.99	161	470	11,586	7,661
2007-09-13	$44.39	$45.00	40.8%	11.7%	38.3%	48.4%	40.8%	4.5%	3.1%	334.8K	-25.1M	-106.3K	0.00	12.45	0	35	11,602	7,977
2007-09-14	$45.19	$45.00	40.6%	11.7%	31.5%	47.9%	40.5%	3.7%	3.3%	376.6K	-27.4M	-105.8K	0.06	16.00	117	7	11,602	7,997
2007-09-17	$45.39	$45.00	40.5%	11.6%	30.9%	47.5%	40.9%	3.9%	3.0%	415.8K	-28.5M	-100.1K	1.07	16.28	76	81	11,629	8,004
2007-09-18	$47.71	$45.00	36.3%	10.4%	34.0%	34.5%	40.4%	5.4%	4.1%	457.7K	-35.7M	-92.9K	1.06	10.96	527	558	11,654	8,062
2007-09-19	$47.69	$45.00	38.5%	11.0%	33.8%	41.3%	38.9%	3.9%	3.5%	409.9K	-35.7M	-92.7K	1.06	10.29	262	277	11,711	8,459
2007-09-20	$46.91	$45.00	40.9%	11.7%	34.6%	48.7%	40.6%	1.9%	3.0%	336.2K	-33.3M	-95.7K	1.38	14.91	181	250	11,815	8,515
2007-09-21	$47.40	$45.00	40.9%	11.7%	34.6%	48.6%	39.5%	3.4%	3.1%	328.7K	-34.2M	-94.9K	0.11	14.69	430	46	11,877	8,693
2007-09-24	$47.96	$45.00	39.1%	11.2%	33.4%	43.0%	40.6%	3.3%	2.7%	344.9K	-32.7M	-90.2K	0.35	17.28	249	88	10,864	7,775
2007-09-25	$48.19	$45.00	39.4%	11.3%	32.9%	43.9%	40.0%	3.5%	2.5%	368.9K	-33.9M	-88.9K	1.41	20.03	76	107	10,968	7,848
2007-09-26	$49.11	$45.00	37.2%	10.7%	28.4%	37.4%	37.4%	3.2%	4.3%	406.3K	-36.7M	-84.4K	1.51	11.41	167	252	10,996	7,805
2007-09-27	$49.67	$45.00	36.0%	10.3%	28.2%	33.7%	36.3%	2.1%	4.6%	425.5K	-38.1M	-82.5K	2.92	10.31	283	826	11,082	7,934
2007-09-28	$50.77	$45.00	35.6%	10.2%	28.3%	32.4%	35.5%	1.5%	4.3%	408.3K	-40.8M	-81.0K	0.29	11.88	262	75	11,164	8,302