AG Options History — February 2009

In February 2009, AG traded between $16.17 and $25.04. ATM implied volatility averaged 81.1%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 23.4%. IV traded below realized volatility by 2.6% (HV 20d: 83.7%). Max pain ranged from $20.00 to $25.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.32.

Notable Days

2009-02-06: Highest Volume — 4,727 contracts
2009-02-17: Largest IV spike — 13.6% change
2009-02-02: Highest IV Rank — 46.2%
2009-02-02: Largest Expected Move — 27.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.12	$16.17	$25.04	$21.41	$17.14
Max Pain	$21.97	$20.00	$25.00	$25.00	$20.00
ATM IV	81.1%	70.3%	94.7%	94.7%	80.1%
Expected Move	23.4%	21.1%	27.2%	27.2%	23.0%
HV 20d	83.7%	76.9%	92.1%	92.1%	76.9%
HV 60d	99.6%	85.0%	106.8%	106.8%	85.0%
IV Rank	35.0%	26.2%	46.2%	46.2%	34.2%
IV Percentile	69.7%	63.5%	82.9%	82.9%	66.3%
Term Structure	-1.3%	-11.2%	4.0%	-11.2%	0.5%
VWIV	82.3%	72.2%	95.2%	95.2%	81.1%
Skew 25d	12.5%	8.8%	19.2%	19.2%	9.3%
Skew 10d	22.9%	15.6%	37.1%	37.1%	15.6%
Call IV 25d	76.0%	68.0%	88.3%	88.3%	77.6%
Put IV 25d	88.5%	78.5%	107.6%	107.6%	86.9%
Bid-Ask Spread %	14.77	7.88	21.82	9.85	18.40
Gamma HHI	0.23	0.15	0.38	0.21	0.15
Net GEX	-27.3K	-142.0K	42.6K	-106.9K	42.6K
Net DEX	3.9M	-5.1M	12.4M	5.6M	1.7M
Net VEX	-59.1K	-81.2K	-38.9K	-66.9K	-53.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.32	0.04	10.20	0.04	0.42
Total Volume	1,824.421	375	4,727	2,925	798
Total OI	29,192.579	21,393	35,383	27,929	24,506

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
2009-02-02	$21.41	$25.00	94.7%	27.2%	92.1%	46.2%	95.2%	19.2%	-11.2%	-106.9K	5.6M	-66.9K	0.04	9.85	2,805	120	15,811	12,118
2009-02-03	$21.69	$22.50	91.5%	26.2%	91.7%	43.5%	93.4%	18.5%	-8.2%	-16.6K	2.6M	-72.7K	0.60	7.88	490	292	18,037	12,080
2009-02-04	$22.94	$22.50	86.5%	24.8%	91.7%	39.4%	86.8%	13.8%	-4.4%	9.2K	-498.2K	-76.5K	0.08	12.84	2,468	209	18,170	12,142
2009-02-05	$24.10	$22.50	82.9%	23.8%	89.4%	36.5%	94.0%	8.8%	-5.6%	-1.4K	-2.4M	-77.7K	10.20	9.73	69	704	17,378	12,221
2009-02-06	$25.04	$22.50	81.0%	22.1%	90.1%	34.9%	81.0%	16.3%	-1.7%	21.6K	-5.1M	-81.2K	4.42	12.57	872	3,855	17,431	12,449
2009-02-09	$23.89	$22.50	73.3%	21.2%	90.5%	28.6%	78.2%	14.7%	-0.8%	33.8K	-2.8M	-73.1K	1.82	13.56	563	1,022	18,086	12,066
2009-02-10	$22.08	$22.50	72.1%	22.1%	83.5%	27.6%	81.3%	13.7%	-0.3%	-50.8K	3.1M	-67.6K	0.98	14.45	717	704	18,128	12,458
2009-02-11	$21.92	$22.50	70.3%	22.0%	83.0%	26.2%	73.6%	13.4%	-0.9%	-61.0K	3.8M	-65.1K	0.20	15.19	2,522	507	18,083	12,486
2009-02-12	$21.37	$22.50	73.5%	21.1%	77.2%	28.7%	77.8%	12.2%	2.8%	-45.7K	4.6M	-63.1K	1.15	21.82	760	877	19,524	12,181
2009-02-13	$20.47	$22.50	74.2%	21.3%	78.6%	29.4%	72.2%	10.0%	4.0%	-128.6K	7.6M	-58.9K	1.01	16.42	425	430	19,251	12,596
2009-02-17	$18.52	$22.50	84.4%	24.2%	86.0%	37.7%	79.2%	10.5%	-0.1%	-142.0K	11.9M	-45.7K	0.13	15.91	2,102	280	19,380	12,594
2009-02-18	$18.94	$22.50	77.4%	22.2%	83.5%	32.0%	77.1%	11.5%	2.8%	-50.2K	10.0M	-49.1K	0.72	15.54	2,039	1,478	21,252	12,490
2009-02-19	$18.23	$22.50	83.3%	23.9%	77.0%	36.8%	81.1%	8.8%	1.1%	-49.4K	11.4M	-46.7K	0.34	19.16	279	96	22,044	13,124
2009-02-20	$16.95	$22.50	81.9%	23.5%	77.1%	35.7%	79.6%	13.4%	2.5%	-84.2K	12.4M	-40.6K	0.32	15.31	1,596	503	22,275	13,108
2009-02-23	$16.17	$20.00	91.4%	26.2%	78.3%	43.4%	85.6%	12.5%	-3.4%	11.6K	3.5M	-38.9K	0.56	15.35	1,521	849	15,209	6,184
2009-02-24	$17.43	$20.00	81.7%	23.4%	83.2%	35.5%	82.4%	10.3%	-0.8%	33.4K	2.0M	-47.1K	0.45	12.34	645	289	16,180	6,467
2009-02-25	$16.70	$20.00	80.3%	23.0%	82.0%	34.4%	85.4%	10.6%	-1.0%	29.3K	2.7M	-45.9K	1.35	18.35	312	422	16,679	6,623
2009-02-26	$17.36	$20.00	80.2%	23.0%	77.7%	34.3%	78.5%	9.0%	-0.5%	36.3K	1.9M	-52.2K	0.34	16.03	782	262	16,884	6,964
2009-02-27	$17.14	$20.00	80.1%	23.0%	76.9%	34.2%	81.1%	9.3%	0.5%	42.6K	1.7M	-53.8K	0.42	18.40	561	237	17,445	7,061