AG Options History — September 2012

In September 2012, AG traded between $20.17 and $23.73. ATM implied volatility averaged 42.7%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 5.1% (HV 20d: 37.6%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.43.

Notable Days

2012-09-14: Highest Volume — 5,630 contracts
2012-09-10: Largest IV spike — 7.6% change
2012-09-17: Highest IV Rank — 32.7%
2012-09-10: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.02	$20.17	$23.73	$20.28	$23.17
Max Pain	$17.50	$17.50	$17.50	$17.50	$17.50
ATM IV	42.7%	38.6%	44.4%	43.7%	42.4%
Expected Move	12.4%	11.9%	12.8%	12.5%	12.2%
HV 20d	37.6%	34.2%	40.6%	36.7%	40.5%
HV 60d	43.9%	41.4%	46.5%	46.5%	41.6%
IV Rank	30.1%	24.0%	32.7%	31.6%	29.8%
IV Percentile	15.9%	2.8%	23.8%	16.7%	14.3%
Term Structure	3.0%	1.3%	5.1%	2.1%	5.0%
VWIV	43.7%	41.3%	46.3%	43.3%	41.7%
Skew 25d	3.8%	1.5%	6.7%	3.7%	4.3%
Skew 10d	14.1%	2.5%	21.1%	9.9%	15.8%
Call IV 25d	42.4%	39.0%	44.4%	41.8%	41.5%
Put IV 25d	46.2%	45.2%	47.6%	45.5%	45.7%
Bid-Ask Spread %	8.24	4.71	13.71	7.44	9.53
Gamma HHI	0.32	0.27	0.37	0.36	0.32
Net GEX	501.7K	380.3K	593.5K	537.5K	430.9K
Net DEX	-33.8M	-43.6M	-26.7M	-27.6M	-31.3M
Net VEX	-129.9K	-138.4K	-126.0K	-129.3K	-138.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.14	1.18	0.22	0.17
Total Volume	2,691.263	1,397	5,630	2,195	1,397
Total OI	40,743.105	36,839	43,417	39,041	39,950

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
2012-09-04	$20.28	$17.50	43.7%	12.5%	36.7%	31.6%	43.3%	3.7%	2.1%	537.5K	-27.6M	-129.3K	0.22	7.44	1,795	400	26,279	12,762
2012-09-05	$20.17	$17.50	43.2%	12.4%	36.6%	30.9%	43.5%	1.5%	2.9%	538.6K	-26.9M	-130.5K	0.87	6.40	985	853	26,591	12,867
2012-09-06	$20.20	$17.50	41.4%	11.9%	36.7%	28.2%	41.3%	4.1%	3.8%	536.7K	-27.0M	-131.1K	0.30	13.71	1,345	397	26,929	13,316
2012-09-07	$20.84	$17.50	38.6%	12.6%	37.6%	24.0%	44.6%	4.5%	3.0%	587.1K	-31.5M	-129.7K	0.27	8.36	2,343	635	27,205	13,451
2012-09-10	$20.46	$17.50	41.5%	12.8%	38.5%	28.4%	44.1%	4.1%	2.5%	573.2K	-28.8M	-128.2K	0.45	7.41	1,239	561	27,251	13,454
2012-09-11	$20.89	$17.50	43.4%	12.8%	37.4%	31.2%	46.3%	3.6%	2.0%	593.5K	-31.3M	-129.3K	0.46	7.21	1,668	771	27,777	13,846
2012-09-12	$21.04	$17.50	42.1%	12.7%	35.9%	29.3%	43.0%	4.0%	2.6%	577.4K	-32.2M	-130.1K	0.21	8.43	2,348	485	27,765	14,100
2012-09-13	$21.97	$17.50	42.7%	12.2%	37.5%	30.1%	44.0%	2.1%	2.3%	541.4K	-37.6M	-127.3K	0.14	8.41	3,737	533	27,242	14,159
2012-09-14	$22.56	$17.50	43.4%	12.4%	37.3%	31.2%	43.8%	2.0%	1.9%	538.8K	-40.6M	-126.7K	0.21	11.97	4,668	962	27,265	14,219
2012-09-17	$22.55	$17.50	44.4%	12.7%	37.3%	32.7%	45.5%	3.0%	1.3%	541.0K	-40.3M	-127.9K	0.15	12.53	3,518	511	28,578	14,478
2012-09-18	$23.06	$17.50	42.9%	12.3%	36.8%	30.4%	44.3%	4.4%	3.2%	566.2K	-42.2M	-126.0K	0.77	6.70	1,225	949	28,372	14,528
2012-09-19	$23.32	$17.50	42.4%	12.2%	36.2%	29.7%	41.6%	5.5%	3.5%	532.8K	-43.3M	-126.5K	0.17	4.71	2,267	385	28,439	14,978
2012-09-20	$23.50	$17.50	43.0%	12.3%	35.6%	30.5%	43.9%	6.7%	2.5%	430.4K	-43.2M	-129.3K	0.26	8.38	1,789	471	28,143	15,234
2012-09-21	$23.73	$17.50	42.8%	12.3%	34.2%	30.3%	42.5%	2.1%	2.8%	431.6K	-43.6M	-126.2K	0.65	5.56	1,752	1,140	27,796	15,230
2012-09-24	$22.68	$17.50	44.1%	12.6%	39.3%	32.1%	45.9%	2.9%	3.5%	391.8K	-28.4M	-129.8K	0.66	6.69	1,903	1,257	23,484	13,355
2012-09-25	$22.21	$17.50	43.1%	12.4%	40.3%	30.8%	44.4%	2.2%	3.9%	381.7K	-26.7M	-133.4K	1.18	5.99	762	902	24,064	13,806
2012-09-26	$22.38	$17.50	42.9%	12.3%	40.0%	30.4%	44.3%	5.3%	3.8%	380.3K	-26.9M	-134.6K	0.40	7.79	1,530	614	24,190	14,319
2012-09-27	$23.42	$17.50	43.2%	12.4%	40.6%	30.9%	42.7%	5.9%	5.1%	421.6K	-32.6M	-134.3K	0.55	9.26	1,954	1,083	24,244	14,453
2012-09-28	$23.17	$17.50	42.4%	12.2%	40.5%	29.8%	41.7%	4.3%	5.0%	430.9K	-31.3M	-138.4K	0.17	9.53	1,191	206	24,851	15,099