AG Options History — February 2014

In February 2014, AG traded between $10.26 and $12.36. ATM implied volatility averaged 47.2%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded below realized volatility by 3.4% (HV 20d: 50.5%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.27.

Notable Days

2014-02-14: Highest Volume — 3,388 contracts
2014-02-13: Largest IV spike — 63.7% change
2014-02-19: Highest IV Rank — 54.9%
2014-02-04: Largest Expected Move — 16.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.32	$10.26	$12.36	$10.35	$11.01
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	47.2%	29.2%	52.1%	50.0%	48.0%
Expected Move	15.9%	15.3%	16.4%	16.3%	15.7%
HV 20d	50.5%	45.9%	55.2%	50.0%	51.9%
HV 60d	51.3%	49.4%	53.3%	49.6%	50.3%
IV Rank	42.5%	0.0%	54.9%	48.5%	45.2%
IV Percentile	25.1%	0.0%	37.3%	34.5%	19.8%
Term Structure	0.6%	-2.2%	4.1%	1.8%	3.8%
VWIV	55.6%	51.3%	62.4%	57.0%	54.2%
Skew 25d	11.0%	-2.2%	56.1%	9.6%	-1.3%
Skew 10d	30.5%	2.6%	112.5%	12.0%	2.6%
Call IV 25d	44.7%	34.6%	50.7%	39.3%	50.3%
Put IV 25d	55.7%	47.5%	93.6%	48.9%	49.0%
Bid-Ask Spread %	11.98	7.50	17.49	13.54	15.24
Gamma HHI	0.33	0.25	0.57	0.26	0.36
Net GEX	197.2K	133.3K	336.6K	147.7K	158.4K
Net DEX	-12.9M	-19.9M	-7.4M	-8.2M	-9.5M
Net VEX	-124.3K	-133.0K	-118.3K	-124.7K	-118.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.27	0.07	0.93	0.93	0.35
Total Volume	1,458.737	197	3,388	656	504
Total OI	52,365	48,573	53,896	53,381	51,030

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
2014-02-03	$10.35	$10.00	50.0%	16.3%	50.0%	48.5%	57.0%	9.6%	1.8%	147.7K	-8.2M	-124.7K	0.93	13.54	340	316	35,794	17,587
2014-02-04	$10.47	$10.00	49.4%	16.4%	50.1%	46.9%	62.4%	14.6%	3.4%	145.4K	-8.7M	-125.5K	0.12	12.70	547	64	35,727	17,782
2014-02-05	$10.26	$10.00	47.3%	16.3%	49.2%	41.8%	56.7%	56.1%	4.1%	133.3K	-7.4M	-122.0K	0.32	12.32	462	147	35,736	17,808
2014-02-06	$10.37	$10.00	47.0%	16.2%	49.4%	41.1%	56.0%	48.0%	4.1%	135.7K	-8.0M	-123.2K	0.43	12.78	138	59	35,862	17,889
2014-02-07	$10.72	$10.00	45.5%	16.3%	48.0%	37.4%	56.0%	-2.2%	0.5%	156.0K	-10.2M	-124.5K	0.07	14.10	465	32	35,916	17,894
2014-02-10	$11.05	$10.00	40.4%	16.2%	45.9%	24.7%	56.1%	0.2%	-1.0%	177.2K	-12.5M	-126.1K	0.17	13.34	1,646	278	35,952	17,902
2014-02-11	$11.61	$10.00	42.7%	16.0%	48.4%	30.5%	56.6%	10.0%	0.7%	211.5K	-15.9M	-128.0K	0.20	13.23	2,619	526	35,731	17,963
2014-02-12	$11.17	$10.00	29.2%	16.1%	47.2%	0.0%	55.2%	2.5%	-2.2%	174.1K	-13.3M	-125.7K	0.11	14.71	1,957	216	36,127	17,769
2014-02-13	$11.68	$10.00	47.8%	16.0%	48.7%	44.7%	57.0%	10.2%	0.5%	231.8K	-15.9M	-128.7K	0.20	13.39	1,371	274	36,097	17,675
2014-02-14	$12.19	$10.00	47.6%	16.0%	50.5%	44.2%	55.5%	3.0%	1.0%	303.4K	-19.0M	-133.0K	0.16	7.57	2,918	470	35,967	17,762
2014-02-18	$12.36	$10.00	50.0%	15.8%	49.2%	49.9%	55.3%	6.3%	-1.4%	336.6K	-19.9M	-131.2K	0.21	7.50	1,287	274	35,780	17,648
2014-02-19	$11.64	$10.00	52.1%	16.0%	54.3%	54.9%	56.9%	7.2%	-2.2%	200.9K	-15.3M	-126.1K	0.56	7.71	952	537	35,758	17,602
2014-02-20	$12.24	$10.00	50.7%	15.7%	55.2%	51.7%	54.4%	4.1%	-1.4%	333.8K	-16.7M	-123.8K	0.13	8.42	1,653	210	33,560	17,855
2014-02-21	$12.09	$10.00	49.3%	15.9%	54.5%	48.2%	55.8%	14.4%	-0.5%	268.1K	-15.9M	-123.7K	0.25	8.16	699	175	33,687	17,853
2014-02-24	$12.05	$10.00	49.8%	15.7%	52.6%	49.3%	53.7%	14.0%	0.2%	164.4K	-15.3M	-121.9K	0.21	8.68	727	151	32,083	16,490
2014-02-25	$11.68	$10.00	49.8%	15.3%	50.2%	49.3%	52.8%	9.1%	-0.7%	161.1K	-13.2M	-118.9K	0.16	12.73	1,991	325	32,324	16,514
2014-02-26	$11.24	$10.00	50.3%	15.6%	52.4%	50.8%	51.3%	1.7%	0.8%	158.4K	-10.7M	-118.3K	0.30	17.49	1,576	466	32,858	16,628
2014-02-27	$10.97	$10.00	49.1%	15.5%	52.3%	47.8%	53.1%	0.8%	0.3%	149.6K	-9.0M	-118.3K	0.34	14.08	1,002	342	33,488	16,837
2014-02-28	$11.01	$10.00	48.0%	15.7%	51.9%	45.2%	54.2%	-1.3%	3.8%	158.4K	-9.5M	-118.4K	0.35	15.24	372	132	33,992	17,038