AG Options History — March 2011

In March 2011, AG traded between $15.02 and $21.24. ATM implied volatility averaged 59.7%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded below realized volatility by 86.3% (HV 20d: 146.0%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.70.

Notable Days

2011-03-30: Highest Volume — 2,070 contracts
2011-03-10: Largest IV spike — 33.4% change
2011-03-16: Highest IV Rank — 28.5%
2011-03-16: Largest Expected Move — 21.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.08	$15.02	$21.24	$18.08	$21.24
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	59.7%	42.0%	73.2%	53.5%	55.5%
Expected Move	17.4%	13.0%	21.0%	17.4%	15.9%
HV 20d	146.0%	141.1%	150.9%	142.3%	147.9%
HV 60d	108.6%	106.2%	110.3%	108.2%	106.3%
IV Rank	17.5%	2.9%	28.5%	12.4%	14.0%
IV Percentile	30.7%	1.6%	48.8%	27.8%	25.4%
Term Structure	2.1%	-8.9%	20.9%	3.1%	2.2%
VWIV	60.5%	50.1%	72.8%	55.0%	54.8%
Skew 25d	6.1%	1.6%	10.3%	5.7%	10.3%
Skew 10d	15.2%	0.9%	28.7%	14.9%	28.7%
Call IV 25d	53.9%	47.1%	59.1%	59.1%	47.1%
Put IV 25d	60.0%	53.4%	64.8%	64.8%	57.4%
Bid-Ask Spread %	44.96	13.40	107.98	62.42	33.19
Gamma HHI	0.52	0.34	0.95	0.56	0.48
Net GEX	34.6K	0	132.1K	0	132.1K
Net DEX	-1.5M	-6.9M	190.2K	0	-6.9M
Net VEX	-8.4K	-25.9K	0	0	-25.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.00	7.54	0.24	0.44
Total Volume	771.105	26	2,070	26	1,468
Total OI	2,951.368	0	8,130	0	8,130

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
2011-03-07	$18.08	$0.00	53.5%	17.4%	142.3%	12.4%	55.0%	0.0%	3.1%	0	0	0	0.24	62.42	21	5	0	0
2011-03-08	$18.25	$17.50	42.0%	13.0%	142.5%	2.9%	61.8%	0.0%	20.9%	430	-7.9K	-48	0.00	107.98	44	0	21	5
2011-03-09	$17.97	$17.50	53.1%	17.2%	141.1%	12.1%	54.9%	0.0%	4.0%	1.3K	-31.6K	-126	0.03	69.70	387	12	50	5
2011-03-10	$15.91	$17.50	70.8%	20.3%	146.6%	26.6%	66.6%	0.0%	-6.6%	6.1K	-184.1K	-1.3K	0.64	52.57	480	305	393	17
2011-03-11	$16.29	$17.50	66.5%	19.1%	142.6%	23.1%	66.2%	0.0%	-1.8%	5.6K	-140.2K	-2.5K	7.54	49.29	59	445	582	289
2011-03-14	$16.40	$17.50	70.0%	20.1%	142.4%	25.9%	70.9%	0.0%	-8.9%	468	74.6K	-4.5K	0.13	54.50	283	36	628	704
2011-03-15	$15.02	$17.50	71.3%	20.5%	144.5%	27.0%	72.8%	0.0%	-3.8%	3.7K	190.2K	-4.4K	0.30	52.75	254	76	856	730
2011-03-16	$15.26	$17.50	73.2%	21.0%	144.3%	28.5%	70.6%	0.0%	-7.0%	8.3K	13.2K	-5.0K	0.01	63.92	200	3	1,076	772
2011-03-17	$16.20	$17.50	71.5%	20.5%	145.4%	27.1%	68.6%	0.0%	-4.9%	16.3K	-259.5K	-5.6K	0.76	47.86	70	53	1,189	775
2011-03-18	$17.04	$17.50	63.7%	18.2%	147.6%	20.7%	64.1%	0.0%	0.8%	18.0K	-527.0K	-6.0K	0.08	45.89	413	34	1,213	827
2011-03-21	$18.50	$17.50	60.8%	17.4%	149.6%	18.4%	61.0%	5.7%	2.5%	27.1K	-1.2M	-7.0K	0.82	42.41	700	577	1,433	817
2011-03-22	$18.23	$17.50	60.1%	17.2%	149.0%	17.8%	60.0%	5.4%	4.6%	24.3K	-1.1M	-8.6K	0.71	16.32	590	421	1,723	1,166
2011-03-23	$19.32	$17.50	54.3%	15.6%	149.8%	13.1%	57.3%	5.7%	4.7%	35.1K	-2.2M	-10.0K	0.18	13.40	1,436	263	2,164	1,579
2011-03-24	$20.11	$17.50	54.7%	15.7%	150.9%	13.4%	55.1%	6.2%	4.5%	47.8K	-2.8M	-12.0K	0.31	17.25	1,477	459	2,643	1,793
2011-03-25	$19.87	$17.50	50.5%	14.5%	147.2%	9.9%	50.8%	5.3%	7.6%	73.8K	-3.1M	-14.8K	0.28	30.71	828	233	3,346	2,061
2011-03-28	$19.56	$17.50	53.9%	15.4%	146.4%	12.7%	53.6%	1.6%	5.7%	75.7K	-2.9M	-16.6K	0.62	26.00	377	234	3,814	2,281
2011-03-29	$19.74	$17.50	54.7%	15.7%	146.5%	13.4%	56.0%	7.2%	6.8%	81.8K	-3.0M	-17.2K	0.13	26.81	298	40	3,955	2,464
2011-03-30	$20.58	$17.50	53.9%	15.5%	147.4%	12.8%	50.1%	7.7%	4.9%	99.2K	-4.1M	-17.2K	0.03	41.19	2,012	58	4,094	2,481
2011-03-31	$21.24	$17.50	55.5%	15.9%	147.9%	14.0%	54.8%	10.3%	2.2%	132.1K	-6.9M	-25.9K	0.44	33.19	1,019	449	5,623	2,507