AG Options History — April 2012

In April 2012, AG traded between $14.71 and $17.03. ATM implied volatility averaged 48.2%, placing in the 28.5% IV rank vs the trailing year. The 30-day expected move averaged 14.0%. IV traded above realized volatility by 2.5% (HV 20d: 45.7%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.61.

Notable Days

2012-04-12: Highest Volume — 1,895 contracts
2012-04-12: Largest IV spike — 11.2% change
2012-04-16: Highest IV Rank — 34.8%
2012-04-16: Largest Expected Move — 15.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.67	$14.71	$17.03	$17.03	$15.77
Max Pain	$15.50	$15.00	$17.50	$17.50	$15.00
ATM IV	48.2%	40.4%	53.3%	40.4%	49.5%
Expected Move	14.0%	11.6%	15.3%	11.6%	14.2%
HV 20d	45.7%	43.7%	49.5%	49.5%	45.2%
HV 60d	46.8%	44.7%	48.7%	45.8%	45.8%
IV Rank	28.5%	18.9%	34.8%	18.9%	30.1%
IV Percentile	18.9%	1.6%	28.2%	1.6%	23.8%
Term Structure	0.1%	-2.8%	6.3%	5.3%	1.2%
VWIV	48.8%	40.3%	55.5%	40.3%	49.2%
Skew 25d	2.0%	-4.0%	9.2%	9.2%	-2.3%
Skew 10d	7.1%	-7.3%	34.1%	17.3%	-2.7%
Call IV 25d	48.1%	33.1%	53.6%	33.1%	48.7%
Put IV 25d	50.1%	41.6%	55.1%	42.2%	46.4%
Bid-Ask Spread %	10.55	6.24	20.18	7.27	6.76
Gamma HHI	0.25	0.22	0.30	0.28	0.23
Net GEX	34.4K	4.0K	114.5K	114.5K	64.3K
Net DEX	1.8M	-2.6M	5.6M	261.4K	-2.6M
Net VEX	-85.3K	-103.8K	-74.9K	-103.8K	-84.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.11	2.32	0.14	0.33
Total Volume	832.7	401	1,895	782	1,094
Total OI	33,202.1	21,654	39,058	37,759	23,261

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
2012-04-02	$17.03	$17.50	40.4%	11.6%	49.5%	18.9%	40.3%	9.2%	5.3%	114.5K	261.4K	-103.8K	0.14	7.27	683	99	23,877	13,882
2012-04-03	$16.57	$17.50	41.9%	12.0%	45.6%	20.8%	42.3%	4.4%	5.5%	75.4K	2.0M	-98.0K	1.13	8.64	230	259	23,991	13,901
2012-04-04	$15.86	$17.50	44.9%	12.9%	47.4%	24.5%	44.7%	3.8%	6.3%	18.6K	4.7M	-91.6K	0.16	8.84	1,215	192	24,145	14,021
2012-04-05	$15.72	$17.50	43.8%	12.6%	46.1%	23.2%	44.8%	-4.0%	5.9%	28.1K	4.6M	-91.8K	0.55	8.72	259	142	24,858	14,083
2012-04-09	$15.54	$15.00	47.9%	14.6%	44.7%	28.2%	49.9%	3.2%	-2.7%	16.1K	5.4M	-86.8K	0.52	15.19	473	246	24,961	14,097
2012-04-10	$15.48	$15.00	47.5%	14.9%	43.8%	27.7%	51.9%	0.5%	-2.6%	9.8K	5.6M	-85.5K	0.96	20.18	620	597	24,915	14,016
2012-04-11	$15.32	$15.00	45.2%	14.9%	43.8%	24.9%	52.5%	0.9%	-1.8%	9.9K	5.6M	-83.5K	0.28	13.35	373	106	25,037	13,824
2012-04-12	$16.31	$15.00	50.3%	14.4%	43.7%	31.1%	51.7%	2.6%	-1.0%	58.9K	2.8M	-89.7K	0.15	14.41	1,654	241	24,516	13,776
2012-04-13	$15.71	$15.00	52.6%	15.1%	45.1%	33.9%	52.3%	1.2%	-1.9%	23.4K	2.9M	-87.0K	2.32	12.61	154	357	24,673	12,719
2012-04-16	$15.41	$15.00	53.3%	15.3%	45.2%	34.8%	53.5%	1.8%	-2.7%	12.2K	3.9M	-82.7K	1.32	8.62	322	426	24,737	12,796
2012-04-17	$15.82	$15.00	53.1%	15.2%	46.4%	34.6%	55.5%	2.5%	-2.8%	37.6K	828.0K	-83.6K	0.82	18.76	249	203	24,821	11,644
2012-04-18	$15.55	$15.00	51.4%	14.7%	46.5%	32.5%	51.3%	1.9%	-2.3%	20.8K	1.5M	-81.7K	0.19	12.96	344	67	24,828	11,701
2012-04-19	$15.83	$15.00	50.7%	14.5%	47.1%	31.6%	48.1%	4.8%	-1.7%	39.3K	772.6K	-84.0K	0.49	7.86	300	148	25,013	11,746
2012-04-20	$15.51	$15.00	49.6%	14.2%	46.2%	30.3%	48.5%	3.1%	-1.1%	25.9K	1.4M	-81.1K	1.04	6.24	358	373	25,094	11,760
2012-04-23	$14.84	$15.00	51.8%	14.8%	45.2%	32.9%	51.5%	2.9%	-2.2%	10.7K	25.1K	-75.3K	0.11	10.85	1,048	119	13,872	7,782
2012-04-24	$14.71	$15.00	50.2%	14.4%	44.7%	31.1%	49.0%	5.0%	-2.6%	4.0K	286.8K	-74.9K	0.63	7.64	272	171	14,094	7,820
2012-04-25	$15.29	$15.00	47.8%	13.7%	47.2%	28.0%	47.6%	5.1%	0.6%	22.0K	-649.7K	-78.0K	0.28	8.15	692	195	14,246	7,869
2012-04-26	$15.66	$15.00	46.4%	13.3%	45.9%	26.3%	46.2%	-3.1%	1.3%	47.7K	-2.0M	-82.1K	0.11	6.33	1,627	171	14,626	7,938
2012-04-27	$15.54	$15.00	45.5%	13.0%	45.3%	25.2%	45.2%	-3.1%	1.2%	49.2K	-1.8M	-81.6K	0.65	7.57	349	226	15,142	7,960
2012-04-30	$15.77	$15.00	49.5%	14.2%	45.2%	30.1%	49.2%	-2.3%	1.2%	64.3K	-2.6M	-84.5K	0.33	6.76	820	274	15,216	8,045