AG Options History — July 2012

In July 2012, AG traded between $14.27 and $16.92. ATM implied volatility averaged 48.5%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 2.7% (HV 20d: 51.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.44.

Notable Days

2012-07-06: Highest Volume — 5,619 contracts
2012-07-31: Largest IV spike — 9.1% change
2012-07-16: Highest IV Rank — 33.9%
2012-07-11: Largest Expected Move — 15.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.29	$14.27	$16.92	$14.62	$16.17
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	48.5%	42.2%	52.5%	45.9%	51.3%
Expected Move	14.2%	12.1%	15.4%	13.2%	14.7%
HV 20d	51.2%	47.4%	55.2%	49.6%	51.0%
HV 60d	52.9%	51.5%	54.1%	51.7%	53.8%
IV Rank	29.0%	21.2%	33.9%	25.8%	32.3%
IV Percentile	28.4%	6.0%	40.5%	16.7%	40.1%
Term Structure	1.2%	-1.8%	7.8%	5.5%	-1.8%
VWIV	49.4%	38.1%	54.9%	38.1%	48.6%
Skew 25d	5.9%	-1.8%	15.5%	-1.8%	5.5%
Skew 10d	9.5%	0.4%	23.7%	1.0%	7.3%
Call IV 25d	45.8%	29.1%	54.4%	36.6%	46.3%
Put IV 25d	51.7%	34.8%	56.1%	34.8%	51.8%
Bid-Ask Spread %	11.75	5.69	30.41	6.50	10.47
Gamma HHI	0.28	0.23	0.37	0.23	0.32
Net GEX	85.6K	-1.2K	223.4K	53.5K	200.1K
Net DEX	-4.9M	-10.3M	-710.3K	-3.2M	-7.9M
Net VEX	-87.9K	-99.2K	-79.3K	-79.3K	-95.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.07	1.27	1.27	0.74
Total Volume	1,183.286	220	5,619	596	548
Total OI	31,204.571	24,394	35,512	30,432	27,917

Daily Data (21 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
2012-07-02	$14.62	$15.00	45.9%	13.2%	49.6%	25.8%	38.1%	-1.8%	5.5%	53.5K	-3.2M	-79.3K	1.27	6.50	262	334	20,820	9,612
2012-07-03	$15.50	$15.00	42.2%	12.1%	53.1%	21.2%	41.3%	13.1%	7.8%	81.0K	-6.3M	-84.1K	0.35	5.69	404	143	20,945	9,839
2012-07-05	$15.71	$15.00	44.7%	12.8%	51.0%	24.3%	44.4%	2.0%	6.7%	102.3K	-7.5M	-87.6K	0.64	7.33	737	468	21,046	9,880
2012-07-06	$15.01	$15.00	45.3%	14.7%	52.8%	25.0%	50.6%	5.0%	1.1%	60.7K	-4.8M	-82.4K	0.91	10.74	2,946	2,673	21,183	9,877
2012-07-09	$15.05	$15.00	48.2%	14.8%	52.5%	28.6%	51.4%	5.8%	-0.2%	51.5K	-4.6M	-92.1K	0.73	9.50	194	142	22,958	11,849
2012-07-10	$14.27	$15.00	46.8%	15.1%	55.2%	26.9%	52.1%	0.7%	1.1%	28.5K	-1.6M	-85.7K	0.29	15.38	826	238	22,920	11,861
2012-07-11	$14.30	$15.00	48.4%	15.4%	51.3%	28.7%	54.4%	1.5%	-0.5%	34.0K	-1.6M	-85.6K	0.53	18.65	455	240	23,140	11,959
2012-07-12	$14.42	$15.00	52.0%	14.9%	51.6%	33.2%	54.7%	2.6%	1.4%	36.1K	-1.9M	-85.5K	0.28	30.41	232	65	23,405	12,076
2012-07-13	$14.38	$15.00	51.3%	14.7%	51.5%	32.4%	54.9%	4.3%	0.1%	31.5K	-1.9M	-85.8K	0.30	10.80	169	51	23,431	12,081
2012-07-16	$14.32	$15.00	52.5%	15.1%	51.5%	33.9%	49.9%	5.4%	-0.5%	21.4K	-1.3M	-83.1K	0.07	13.93	589	43	23,416	12,092
2012-07-17	$14.56	$15.00	50.6%	14.5%	51.8%	31.4%	51.2%	2.8%	-0.0%	7.1K	-1.1M	-83.2K	0.55	12.82	185	101	22,759	12,086
2012-07-18	$14.55	$15.00	49.9%	14.3%	50.7%	30.6%	50.0%	2.9%	0.8%	-1.2K	-710.3K	-83.0K	0.34	14.86	626	211	22,578	11,982
2012-07-19	$15.46	$15.00	50.0%	14.3%	55.1%	30.7%	49.2%	6.0%	0.5%	8.6K	-5.3M	-86.2K	0.21	10.00	1,026	219	22,313	11,899
2012-07-20	$15.33	$15.00	48.5%	13.9%	48.2%	28.9%	48.7%	4.6%	2.0%	30.6K	-6.0M	-86.9K	0.22	14.92	1,491	326	22,362	11,923
2012-07-23	$15.03	$15.00	50.8%	14.6%	48.8%	31.8%	50.3%	6.0%	0.1%	114.9K	-4.1M	-84.0K	0.34	11.63	706	237	16,691	7,703
2012-07-24	$15.45	$15.00	51.6%	14.8%	49.6%	32.7%	50.8%	4.9%	-0.5%	134.3K	-5.2M	-87.2K	0.51	7.52	617	313	16,971	7,831
2012-07-25	$16.40	$15.00	49.9%	14.3%	51.7%	30.6%	50.3%	8.6%	-1.5%	167.4K	-8.3M	-94.3K	0.17	7.41	2,282	379	17,258	8,102
2012-07-26	$16.84	$15.00	46.7%	13.4%	51.9%	26.7%	49.6%	14.0%	1.3%	207.8K	-10.1M	-96.9K	0.28	7.99	1,541	428	18,105	8,269
2012-07-27	$16.84	$15.00	45.5%	13.0%	49.0%	25.2%	49.0%	14.5%	2.0%	203.9K	-9.9M	-98.7K	0.11	9.36	1,264	140	18,158	8,470
2012-07-30	$16.92	$15.00	47.0%	13.5%	47.4%	27.1%	47.3%	15.5%	0.6%	223.4K	-10.3M	-99.2K	0.33	10.80	753	245	19,029	8,500
2012-07-31	$16.17	$15.00	51.3%	14.7%	51.0%	32.3%	48.6%	5.5%	-1.8%	200.1K	-7.9M	-95.4K	0.74	10.47	315	233	19,376	8,541