AG Options History — January 2012

In January 2012, AG traded between $17.38 and $20.67. ATM implied volatility averaged 50.9%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 0.7% (HV 20d: 50.2%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.53.

Notable Days

2012-01-25: Highest Volume — 3,873 contracts
2012-01-12: Largest IV spike — 6.8% change
2012-01-03: Highest IV Rank — 20.5%
2012-01-09: Largest Expected Move — 16.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.49	$17.38	$20.67	$17.64	$20.67
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	50.9%	46.3%	55.2%	55.2%	48.4%
Expected Move	14.8%	13.3%	16.2%	15.8%	13.9%
HV 20d	50.2%	34.7%	67.8%	67.5%	43.3%
HV 60d	61.4%	58.8%	64.8%	64.8%	59.3%
IV Rank	13.8%	6.7%	20.5%	20.5%	9.9%
IV Percentile	4.1%	0.4%	13.5%	10.3%	2.8%
Term Structure	4.9%	2.9%	7.0%	3.9%	4.8%
VWIV	51.2%	45.8%	56.4%	54.6%	48.2%
Skew 25d	4.8%	2.8%	7.4%	4.4%	3.8%
Skew 10d	11.0%	-9.9%	20.1%	17.3%	15.9%
Call IV 25d	49.8%	45.2%	54.4%	54.2%	45.9%
Put IV 25d	54.6%	49.2%	59.8%	58.6%	49.7%
Bid-Ask Spread %	13.08	6.18	27.53	10.30	8.35
Gamma HHI	0.44	0.24	0.86	0.35	0.29
Net GEX	578.3K	106.7K	1.9M	358.2K	355.3K
Net DEX	-14.0M	-19.9M	-5.5M	-12.9M	-16.2M
Net VEX	-95.9K	-115.0K	-84.2K	-96.3K	-115.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.06	1.91	0.21	0.39
Total Volume	1,924.6	467	3,873	1,495	3,023
Total OI	33,243.7	19,013	40,704	36,367	27,145

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
2012-01-03	$17.64	$17.50	55.2%	15.8%	67.5%	20.5%	54.6%	4.4%	3.9%	358.2K	-12.9M	-96.3K	0.21	10.30	1,233	262	24,342	12,025
2012-01-04	$17.73	$17.50	54.9%	15.7%	67.5%	20.1%	54.6%	5.0%	3.7%	393.9K	-13.4M	-96.6K	0.26	16.43	370	97	24,971	12,146
2012-01-05	$18.08	$17.50	51.4%	14.7%	67.8%	14.6%	51.8%	5.5%	4.4%	444.2K	-15.2M	-96.7K	0.10	7.95	1,248	123	25,012	12,155
2012-01-06	$18.28	$17.50	52.3%	16.0%	67.5%	16.0%	55.4%	4.6%	5.9%	519.7K	-17.1M	-95.8K	0.27	24.00	744	198	25,713	12,185
2012-01-09	$18.29	$17.50	52.9%	16.2%	64.1%	17.0%	56.4%	5.3%	5.7%	552.0K	-17.3M	-93.8K	0.22	23.78	998	215	25,540	12,238
2012-01-10	$18.45	$17.50	52.6%	16.0%	60.3%	16.5%	55.4%	4.5%	5.8%	595.7K	-18.3M	-93.1K	0.28	27.53	1,544	431	25,707	12,303
2012-01-11	$18.66	$17.50	50.6%	16.0%	58.8%	13.5%	54.0%	4.4%	5.3%	610.6K	-19.5M	-93.9K	0.21	21.00	1,415	292	25,921	12,488
2012-01-12	$18.66	$17.50	54.1%	15.5%	54.4%	18.8%	52.6%	5.0%	5.5%	660.9K	-19.9M	-93.0K	0.19	11.72	977	183	26,432	12,587
2012-01-13	$17.93	$17.50	53.6%	15.4%	52.4%	18.0%	53.1%	4.9%	6.2%	714.4K	-15.2M	-90.6K	1.53	9.49	361	553	26,328	12,620
2012-01-17	$17.70	$17.50	55.2%	15.8%	42.9%	20.5%	55.2%	5.0%	5.0%	863.6K	-13.6M	-86.7K	1.00	6.18	716	713	26,309	12,978
2012-01-18	$17.76	$17.50	53.4%	15.3%	37.0%	17.7%	52.4%	7.4%	5.6%	985.9K	-14.4M	-86.0K	0.52	8.02	621	322	26,408	13,117
2012-01-19	$17.38	$17.50	50.7%	14.5%	36.7%	13.5%	50.5%	4.4%	6.7%	1.3M	-10.2M	-84.2K	0.76	8.17	1,406	1,068	26,309	13,165
2012-01-20	$17.69	$17.50	49.8%	14.3%	34.7%	12.1%	49.1%	6.6%	7.0%	1.9M	-15.6M	-87.0K	0.19	8.82	1,688	326	27,011	13,693
2012-01-23	$18.06	$17.50	47.4%	13.6%	35.2%	8.5%	46.8%	4.0%	4.0%	142.0K	-7.2M	-85.9K	1.91	14.21	1,192	2,280	13,253	5,760
2012-01-24	$17.61	$17.50	46.3%	13.3%	36.4%	6.7%	46.5%	2.8%	4.1%	106.7K	-5.5M	-91.6K	1.41	9.95	726	1,025	13,757	7,566
2012-01-25	$19.10	$17.50	47.3%	13.6%	46.3%	8.3%	48.0%	5.0%	2.9%	180.0K	-9.2M	-101.5K	0.33	13.60	2,922	951	14,125	8,223
2012-01-26	$19.48	$17.50	46.9%	13.4%	45.5%	7.7%	47.1%	4.4%	3.6%	247.4K	-11.2M	-107.4K	0.06	10.86	2,175	135	15,542	8,799
2012-01-27	$20.43	$17.50	47.2%	13.5%	42.9%	8.2%	47.3%	3.8%	4.0%	290.9K	-14.6M	-110.9K	0.38	10.94	2,747	1,057	15,922	8,841
2012-01-30	$20.26	$17.50	47.4%	13.6%	43.2%	8.5%	45.8%	4.5%	5.1%	310.2K	-14.4M	-112.1K	0.42	10.21	1,513	642	16,862	9,376
2012-01-31	$20.67	$17.50	48.4%	13.9%	43.3%	9.9%	48.2%	3.8%	4.8%	355.3K	-16.2M	-115.0K	0.39	8.35	2,175	848	17,387	9,758