AG Options History — March 2008

In March 2008, AG traded between $54.35 and $66.68. ATM implied volatility averaged 51.7%, placing in the 48.0% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded below realized volatility by 2.6% (HV 20d: 54.3%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.02.

Notable Days

2008-03-20: Highest Volume — 2,065 contracts
2008-03-10: Largest IV spike — 9.5% change
2008-03-20: Highest IV Rank — 60.6%
2008-03-20: Largest Expected Move — 16.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.81	$54.35	$66.68	$66.68	$59.88
Max Pain	$64.00	$60.00	$65.00	$60.00	$65.00
ATM IV	51.7%	45.8%	58.7%	47.0%	53.3%
Expected Move	14.9%	13.1%	16.8%	13.5%	15.3%
HV 20d	54.3%	39.7%	68.3%	48.6%	68.3%
HV 60d	54.8%	50.9%	60.0%	50.9%	59.9%
IV Rank	48.0%	38.4%	60.6%	40.6%	50.4%
IV Percentile	85.5%	73.0%	93.3%	77.8%	88.1%
Term Structure	2.9%	0.6%	4.8%	0.6%	3.3%
VWIV	51.2%	45.0%	58.5%	45.4%	52.7%
Skew 25d	5.4%	2.0%	7.5%	7.2%	5.9%
Skew 10d	9.2%	-2.1%	16.8%	13.9%	13.8%
Call IV 25d	49.4%	41.7%	57.3%	42.2%	50.7%
Put IV 25d	54.8%	49.2%	60.5%	49.5%	56.6%
Bid-Ask Spread %	19.62	4.74	42.83	15.46	42.83
Gamma HHI	0.18	0.14	0.24	0.23	0.16
Net GEX	8.2K	-404.0K	460.6K	460.6K	73.7K
Net DEX	2.2M	-14.8M	21.5M	-14.8M	2.9M
Net VEX	-187.7K	-218.1K	-152.4K	-212.1K	-179.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.10	2.71	2.58	1.46
Total Volume	622.25	122	2,065	977	347
Total OI	18,805.25	15,618	20,202	18,615	17,909

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
2008-03-03	$66.68	$60.00	47.0%	13.5%	48.6%	40.6%	45.4%	7.2%	0.6%	460.6K	-14.8M	-212.1K	2.58	15.46	273	704	10,042	8,573
2008-03-04	$64.54	$60.00	46.1%	13.2%	49.2%	38.8%	45.7%	6.3%	2.0%	244.9K	-6.7M	-213.4K	1.03	18.97	147	152	9,982	9,190
2008-03-05	$66.27	$60.00	45.8%	13.1%	45.5%	38.4%	45.0%	7.5%	2.2%	401.3K	-12.3M	-218.1K	0.64	14.87	207	132	10,006	9,162
2008-03-06	$64.92	$60.00	46.3%	13.3%	46.5%	39.2%	45.3%	5.3%	1.8%	293.4K	-8.3M	-212.4K	0.52	15.01	162	84	10,106	9,184
2008-03-07	$62.48	$65.00	49.8%	15.0%	46.3%	45.6%	51.5%	6.1%	2.5%	105.9K	-1.8M	-204.2K	1.13	8.72	229	259	10,249	9,196
2008-03-10	$59.03	$65.00	54.5%	15.5%	51.0%	54.3%	53.4%	5.7%	3.6%	-125.7K	7.1M	-187.6K	0.89	11.67	375	333	10,298	9,319
2008-03-11	$61.15	$65.00	51.7%	14.9%	50.2%	47.3%	50.9%	6.2%	3.3%	-23.7K	2.4M	-192.2K	0.58	10.79	353	204	10,282	9,215
2008-03-12	$60.03	$65.00	49.9%	14.7%	45.0%	43.9%	50.8%	4.3%	3.9%	-55.4K	3.8M	-189.6K	1.00	4.74	61	61	10,490	9,243
2008-03-13	$60.14	$65.00	50.8%	14.6%	41.0%	45.7%	50.4%	3.5%	3.7%	-111.9K	4.9M	-185.8K	0.46	10.75	163	75	10,492	9,229
2008-03-14	$59.63	$65.00	54.4%	15.6%	39.7%	52.4%	53.5%	4.6%	2.8%	-88.6K	4.8M	-185.4K	2.03	11.85	107	217	10,542	9,247
2008-03-17	$57.37	$65.00	57.2%	16.4%	41.4%	57.7%	56.7%	4.7%	3.0%	-242.8K	11.3M	-171.7K	2.32	14.44	259	601	10,569	9,280
2008-03-18	$62.24	$65.00	52.9%	15.2%	51.6%	49.5%	54.4%	5.1%	3.0%	-87.0K	-337.8K	-186.1K	0.58	14.35	373	218	10,649	9,308
2008-03-19	$56.48	$65.00	57.5%	16.5%	61.2%	58.3%	57.3%	2.0%	1.3%	-287.0K	12.8M	-164.2K	2.71	15.91	254	689	10,632	9,393
2008-03-20	$54.35	$65.00	58.7%	16.8%	61.9%	60.6%	58.5%	3.2%	0.8%	-404.0K	21.5M	-152.4K	1.28	28.30	905	1,160	10,690	9,512
2008-03-24	$57.37	$65.00	54.8%	15.7%	65.8%	53.2%	53.0%	5.1%	2.7%	-156.0K	9.8M	-162.4K	0.26	29.19	347	91	7,772	7,846
2008-03-25	$60.68	$65.00	50.9%	14.6%	67.4%	45.7%	49.8%	6.7%	4.8%	-92.7K	3.7M	-175.3K	0.12	27.76	1,701	197	7,909	7,853
2008-03-26	$62.04	$65.00	50.8%	14.6%	68.1%	45.6%	47.9%	7.3%	4.5%	77.3K	-458.4K	-190.4K	0.10	27.21	581	58	9,324	7,924
2008-03-27	$60.67	$65.00	51.6%	14.8%	68.3%	47.2%	50.7%	5.3%	3.5%	98.0K	1.1M	-186.9K	0.42	29.17	148	62	9,700	7,971
2008-03-28	$60.28	$65.00	50.6%	14.5%	68.3%	45.3%	50.3%	5.6%	3.9%	84.3K	2.2M	-184.9K	0.25	40.37	125	31	9,817	8,000
2008-03-31	$59.88	$65.00	53.3%	15.3%	68.3%	50.4%	52.7%	5.9%	3.3%	73.7K	2.9M	-179.4K	1.46	42.83	141	206	9,889	8,020