AG Options History — November 2014

In November 2014, AG traded between $4.07 and $5.46. ATM implied volatility averaged 62.1%, placing in the 80.5% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded below realized volatility by 33.8% (HV 20d: 95.9%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.61.

Notable Days

2014-11-07: Highest Volume — 6,052 contracts
2014-11-12: Largest IV drop — 20.2% change
2014-11-10: Highest IV Rank — 100.0%
2014-11-24: Largest Expected Move — 17.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$5.00	$4.07	$5.46	$5.37	$4.07
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	62.1%	55.1%	72.7%	67.7%	57.6%
Expected Move	16.3%	15.4%	17.1%	15.5%	17.1%
HV 20d	95.9%	73.9%	113.2%	77.0%	113.2%
HV 60d	65.8%	53.6%	78.2%	53.6%	78.2%
IV Rank	80.5%	65.1%	100.0%	93.5%	70.0%
IV Percentile	96.7%	92.5%	100.0%	99.2%	92.5%
Term Structure	-1.4%	-10.1%	20.2%	-10.1%	20.2%
VWIV	57.3%	43.9%	71.5%	53.8%	63.1%
Skew 25d	15.2%	-6.4%	22.4%	17.5%	18.0%
Skew 10d	25.0%	-8.2%	42.1%	42.1%	20.9%
Call IV 25d	55.3%	42.5%	67.3%	57.1%	55.3%
Put IV 25d	70.5%	59.0%	89.3%	74.6%	73.3%
Bid-Ask Spread %	12.63	8.75	24.61	9.68	17.44
Gamma HHI	0.29	0.21	0.36	0.22	0.30
Net GEX	33.1K	18.4K	44.6K	23.6K	22.7K
Net DEX	2.8M	1.1M	4.5M	4.5M	2.2M
Net VEX	-34.7K	-41.5K	-25.2K	-31.1K	-31.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.16	1.76	0.33	0.47
Total Volume	3,206.947	765	6,052	3,758	1,685
Total OI	62,250.368	56,071	65,587	56,071	63,801

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
2014-11-03	$5.37	$7.50	67.7%	15.5%	77.0%	93.5%	53.8%	17.5%	-10.1%	23.6K	4.5M	-31.1K	0.33	9.68	2,835	923	40,688	15,383
2014-11-04	$5.01	$7.50	64.8%	15.4%	79.0%	87.5%	55.3%	20.9%	-6.5%	21.8K	4.1M	-30.8K	0.24	10.28	2,149	520	41,473	15,495
2014-11-05	$4.62	$7.50	65.5%	16.3%	73.9%	93.0%	58.2%	20.1%	-2.2%	18.4K	4.4M	-25.2K	0.26	11.79	2,419	617	41,690	15,515
2014-11-06	$4.85	$7.50	65.2%	16.2%	77.8%	92.3%	59.0%	22.4%	-7.2%	25.3K	3.9M	-29.6K	0.16	8.75	2,841	458	42,790	15,615
2014-11-07	$5.35	$7.50	63.0%	16.0%	88.3%	87.5%	66.2%	20.1%	-1.5%	32.9K	3.4M	-34.4K	1.10	9.92	2,887	3,165	43,932	15,679
2014-11-10	$4.91	$7.50	72.7%	16.0%	91.2%	100.0%	71.5%	13.7%	-2.2%	31.8K	3.4M	-33.5K	1.35	8.82	2,203	2,965	44,755	17,964
2014-11-11	$5.14	$7.50	69.1%	16.2%	93.9%	92.8%	49.0%	18.1%	-2.4%	36.1K	3.4M	-34.1K	1.76	14.45	1,910	3,356	43,868	17,375
2014-11-12	$4.89	$7.50	55.1%	15.9%	94.4%	65.1%	47.8%	13.8%	-2.1%	30.8K	3.6M	-32.7K	1.57	10.48	1,939	3,042	45,615	18,327
2014-11-13	$4.77	$7.50	59.0%	16.0%	92.6%	72.9%	43.9%	12.2%	-2.0%	29.6K	3.2M	-33.4K	1.11	24.61	2,066	2,289	45,989	17,988
2014-11-14	$5.28	$7.50	61.8%	16.0%	101.5%	78.3%	56.1%	20.2%	-3.3%	35.9K	2.6M	-36.7K	0.48	12.80	875	418	46,460	17,725
2014-11-17	$5.12	$7.50	59.2%	16.3%	100.7%	73.2%	50.3%	17.7%	-3.3%	35.9K	2.7M	-37.2K	0.82	13.11	2,332	1,921	46,752	18,054
2014-11-18	$5.46	$7.50	59.0%	16.7%	104.7%	72.7%	56.2%	16.9%	2.6%	42.6K	1.9M	-41.5K	0.28	10.80	2,444	681	47,239	18,101
2014-11-19	$5.07	$7.50	59.7%	16.5%	105.6%	74.2%	63.6%	17.3%	-0.8%	35.8K	2.8M	-35.9K	0.32	11.00	946	300	47,301	18,286
2014-11-20	$5.20	$7.50	58.5%	16.6%	106.3%	71.7%	55.8%	-6.4%	-0.6%	40.7K	1.8M	-39.3K	0.27	13.52	2,116	568	47,856	17,228
2014-11-21	$5.25	$7.50	58.2%	16.3%	106.1%	71.3%	59.8%	-5.7%	1.2%	41.7K	1.6M	-39.6K	0.20	11.05	2,646	526	47,909	17,087
2014-11-24	$4.92	$7.50	61.1%	17.1%	106.7%	77.0%	54.8%	16.8%	-2.1%	36.6K	1.9M	-35.6K	0.24	20.52	1,521	361	46,418	16,023
2014-11-25	$5.00	$7.50	62.3%	16.7%	105.4%	79.4%	66.2%	18.2%	-1.3%	44.6K	1.1M	-39.5K	0.29	10.78	1,744	499	47,541	15,593
2014-11-26	$4.81	$7.50	60.7%	16.8%	104.4%	76.1%	58.1%	16.8%	-2.1%	42.8K	1.2M	-38.8K	0.42	10.11	538	227	47,729	15,513
2014-11-28	$4.07	$7.50	57.6%	17.1%	113.2%	70.0%	63.1%	18.0%	20.2%	22.7K	2.2M	-31.1K	0.47	17.44	1,147	538	48,140	15,661