AG Options History — February 2013

In February 2013, AG traded between $16.14 and $18.75. ATM implied volatility averaged 43.7%, placing in the 50.1% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 9.0% (HV 20d: 34.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.54.

Notable Days

2013-02-13: Highest Volume — 2,289 contracts
2013-02-28: Largest IV spike — 8.6% change
2013-02-26: Highest IV Rank — 58.5%
2013-02-26: Largest Expected Move — 13.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.68	$16.14	$18.75	$18.39	$16.14
Max Pain	$18.29	$17.50	$20.00	$17.50	$17.50
ATM IV	43.7%	38.2%	47.3%	38.2%	47.1%
Expected Move	12.8%	12.1%	13.5%	12.4%	13.5%
HV 20d	34.6%	24.6%	37.9%	35.6%	25.0%
HV 60d	41.7%	39.2%	45.1%	45.1%	39.7%
IV Rank	50.1%	37.4%	58.5%	37.4%	58.2%
IV Percentile	42.7%	4.8%	69.8%	4.8%	69.4%
Term Structure	-1.0%	-4.1%	2.0%	0.4%	-3.2%
VWIV	44.8%	41.7%	47.1%	42.5%	47.0%
Skew 25d	2.4%	-0.3%	9.0%	2.3%	0.9%
Skew 10d	5.5%	-4.0%	16.4%	2.8%	4.2%
Call IV 25d	44.2%	38.1%	48.2%	42.1%	45.5%
Put IV 25d	46.6%	43.9%	49.4%	44.4%	46.5%
Bid-Ask Spread %	11.24	7.27	18.65	9.99	8.81
Gamma HHI	0.36	0.28	0.39	0.28	0.36
Net GEX	239.6K	141.3K	347.7K	216.4K	141.3K
Net DEX	-3.7M	-10.6M	4.5M	-6.3M	4.5M
Net VEX	-132.9K	-150.7K	-108.3K	-136.2K	-108.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.08	1.34	0.08	0.30
Total Volume	1,299.632	356	2,289	2,233	447
Total OI	40,882	36,354	43,265	36,354	43,265

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
2013-02-01	$18.39	$17.50	38.2%	12.4%	35.6%	37.4%	42.5%	2.3%	0.4%	216.4K	-6.3M	-136.2K	0.08	9.99	2,067	166	24,997	11,357
2013-02-04	$18.37	$17.50	40.3%	13.1%	34.9%	42.2%	45.4%	1.0%	-0.9%	247.3K	-7.0M	-138.4K	0.13	13.39	1,959	247	26,080	11,492
2013-02-05	$18.47	$17.50	39.0%	13.1%	35.0%	39.1%	44.3%	2.3%	0.6%	297.6K	-8.7M	-146.1K	0.37	11.40	416	152	27,683	11,680
2013-02-06	$18.63	$17.50	41.5%	12.8%	35.2%	45.0%	44.5%	2.5%	2.0%	315.4K	-9.6M	-146.7K	0.18	10.93	1,117	199	27,940	11,800
2013-02-07	$18.58	$17.50	43.9%	12.6%	35.1%	50.7%	43.9%	2.1%	0.7%	334.6K	-9.5M	-148.4K	0.88	12.28	642	563	28,644	11,925
2013-02-08	$18.75	$17.50	43.4%	12.4%	35.0%	49.4%	41.7%	1.9%	0.9%	347.7K	-10.6M	-150.7K	0.79	8.33	556	437	28,799	12,147
2013-02-11	$18.24	$17.50	43.3%	12.4%	35.8%	49.2%	42.7%	3.1%	-0.3%	295.8K	-7.0M	-143.9K	0.81	13.42	274	222	28,805	12,398
2013-02-12	$17.91	$17.50	42.3%	12.1%	35.8%	47.0%	42.4%	3.0%	-0.4%	253.3K	-5.0M	-138.4K	1.34	10.79	152	204	28,873	12,457
2013-02-13	$18.12	$17.50	43.6%	12.5%	36.3%	50.0%	45.1%	0.6%	-1.1%	270.1K	-6.6M	-140.2K	0.52	14.53	1,506	783	28,834	12,320
2013-02-14	$17.77	$20.00	43.6%	12.5%	36.4%	50.1%	43.9%	2.3%	-1.7%	207.0K	-3.5M	-133.0K	0.35	8.92	1,281	443	28,689	12,610
2013-02-15	$17.21	$20.00	45.8%	13.1%	37.5%	55.1%	46.3%	0.2%	-2.5%	185.4K	-797.4K	-128.2K	1.12	7.74	765	859	29,512	12,677
2013-02-19	$17.00	$20.00	45.8%	13.1%	37.5%	55.2%	46.7%	-0.3%	-2.9%	203.4K	-19.3K	-121.4K	0.53	9.86	1,020	542	27,768	12,289
2013-02-20	$17.08	$17.50	43.5%	12.5%	37.5%	49.6%	46.7%	1.5%	-0.4%	199.0K	273.6K	-121.1K	0.96	15.84	835	798	27,984	12,724
2013-02-21	$17.37	$20.00	45.7%	13.1%	37.9%	54.8%	45.8%	1.8%	-1.4%	226.4K	-1.1M	-128.4K	0.21	9.30	876	180	28,332	13,080
2013-02-22	$17.14	$20.00	45.8%	13.1%	36.0%	55.0%	45.9%	3.0%	-2.6%	215.4K	-574.1K	-127.3K	1.08	7.27	475	511	28,678	13,117
2013-02-25	$17.35	$20.00	46.4%	13.3%	33.2%	56.4%	46.5%	2.2%	-1.9%	231.8K	-1.6M	-130.0K	0.34	18.65	943	321	28,939	13,345
2013-02-26	$17.01	$17.50	47.3%	13.5%	33.5%	58.5%	47.1%	9.0%	-4.1%	196.4K	366.0K	-124.3K	0.13	13.63	1,776	232	29,028	13,599
2013-02-27	$16.48	$17.50	43.4%	12.4%	24.6%	49.4%	43.5%	6.8%	-0.0%	167.6K	2.9M	-114.6K	0.25	8.41	583	144	29,365	13,526
2013-02-28	$16.14	$17.50	47.1%	13.5%	25.0%	58.2%	47.0%	0.9%	-3.2%	141.3K	4.5M	-108.3K	0.30	8.81	344	103	29,663	13,602