AG Options History — February 2015

In February 2015, AG traded between $5.40 and $6.34. ATM implied volatility averaged 66.7%, placing in the 65.0% IV rank vs the trailing year. The 30-day expected move averaged 19.2%. IV traded below realized volatility by 2.1% (HV 20d: 68.8%). Max pain ranged from $5.00 to $6.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.71.

Notable Days

2015-02-05: Highest Volume — 5,025 contracts
2015-02-09: Largest IV spike — 7.0% change
2015-02-09: Highest IV Rank — 70.6%
2015-02-04: Largest Expected Move — 20.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.02	$5.40	$6.34	$6.34	$6.18
Max Pain	$5.26	$5.00	$6.00	$5.00	$6.00
ATM IV	66.7%	61.1%	70.6%	70.2%	61.1%
Expected Move	19.2%	17.5%	20.1%	20.1%	17.5%
HV 20d	68.8%	53.5%	96.6%	96.6%	53.5%
HV 60d	91.1%	81.5%	99.0%	99.0%	81.5%
IV Rank	65.0%	56.6%	70.6%	70.0%	56.6%
IV Percentile	82.0%	73.8%	88.9%	88.5%	73.8%
Term Structure	-1.6%	-3.9%	2.2%	0.6%	-1.1%
VWIV	65.6%	52.0%	72.7%	71.3%	58.1%
Skew 25d	1.7%	-13.0%	15.2%	-7.2%	15.2%
Skew 10d	0.8%	-24.8%	34.3%	-8.5%	34.3%
Call IV 25d	68.2%	54.3%	75.5%	73.0%	54.3%
Put IV 25d	69.9%	60.1%	79.9%	65.8%	69.5%
Bid-Ask Spread %	10.92	6.44	17.20	14.33	7.91
Gamma HHI	0.23	0.19	0.27	0.25	0.24
Net GEX	73.8K	46.0K	102.3K	100.2K	62.0K
Net DEX	-4.8M	-8.2M	-2.3M	-8.2M	-4.4M
Net VEX	-54.7K	-61.5K	-46.1K	-61.2K	-53.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.08	1.17	0.08	0.65
Total Volume	2,167.526	322	5,025	322	2,307
Total OI	45,976.895	43,022	49,372	49,084	44,428

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
2015-02-02	$6.34	$5.00	70.2%	20.1%	96.6%	70.0%	71.3%	-7.2%	0.6%	100.2K	-8.2M	-61.2K	0.08	14.33	297	25	36,259	12,825
2015-02-03	$6.20	$5.00	69.7%	20.0%	95.0%	69.3%	52.0%	3.3%	1.8%	101.2K	-7.8M	-61.5K	0.46	6.44	2,417	1,122	36,364	12,847
2015-02-04	$6.27	$5.00	70.3%	20.1%	81.2%	70.1%	52.8%	4.4%	2.2%	102.3K	-7.8M	-60.6K	0.53	8.00	2,286	1,220	36,476	12,896
2015-02-05	$6.30	$5.00	65.9%	19.6%	80.6%	63.8%	67.9%	1.8%	-3.7%	92.4K	-7.0M	-60.2K	0.30	11.29	3,862	1,163	35,065	12,981
2015-02-06	$6.07	$5.00	66.0%	19.7%	79.5%	63.9%	70.5%	4.4%	-1.7%	73.8K	-4.7M	-56.8K	1.01	14.98	966	976	32,513	13,024
2015-02-09	$6.22	$5.00	70.6%	20.0%	76.9%	70.6%	68.9%	0.9%	-1.9%	76.1K	-5.0M	-57.7K	1.17	11.03	783	916	32,393	13,215
2015-02-10	$6.16	$5.00	69.4%	20.1%	70.6%	68.8%	70.4%	3.9%	-2.4%	74.4K	-4.7M	-57.1K	0.94	17.20	920	864	32,530	13,191
2015-02-11	$5.99	$5.00	69.1%	19.8%	69.8%	68.4%	70.6%	-1.0%	-2.4%	71.5K	-4.5M	-55.2K	0.95	11.06	1,160	1,097	32,759	13,205
2015-02-12	$5.90	$5.00	68.7%	19.7%	60.5%	67.8%	70.9%	3.9%	-2.5%	64.4K	-4.0M	-54.2K	0.91	9.30	885	802	32,457	13,382
2015-02-13	$6.06	$5.00	68.8%	19.7%	61.2%	67.9%	69.3%	2.5%	-2.6%	75.0K	-4.6M	-55.0K	0.99	10.78	802	796	32,747	13,398
2015-02-17	$5.91	$5.00	68.5%	19.6%	58.7%	67.5%	72.7%	-0.8%	-0.9%	71.1K	-3.9M	-51.1K	1.08	12.13	717	771	32,787	13,414
2015-02-18	$6.11	$5.00	68.5%	19.6%	59.0%	67.5%	68.4%	6.5%	-3.9%	87.5K	-4.7M	-54.4K	0.66	9.44	1,203	797	32,802	13,252
2015-02-19	$5.86	$5.00	67.0%	19.2%	60.6%	65.3%	67.2%	-0.7%	-0.8%	74.2K	-3.8M	-52.0K	0.35	9.55	758	266	32,621	13,206
2015-02-20	$5.57	$5.00	64.6%	18.5%	62.6%	61.8%	65.0%	-0.8%	-1.8%	49.4K	-2.9M	-49.6K	0.54	7.57	809	433	33,101	13,334
2015-02-23	$5.40	$6.00	64.5%	18.5%	61.0%	61.7%	66.4%	-13.0%	-2.9%	46.0K	-2.3M	-46.1K	0.95	8.94	1,212	1,150	30,327	12,695
2015-02-24	$5.73	$6.00	62.0%	17.8%	63.8%	58.0%	62.3%	-3.4%	-2.1%	53.4K	-3.0M	-48.7K	0.67	14.85	1,365	915	30,697	12,770
2015-02-25	$6.02	$6.00	62.2%	17.8%	61.9%	58.4%	61.6%	0.6%	-2.9%	63.4K	-4.3M	-53.7K	0.48	15.23	1,687	814	30,827	12,865
2015-02-26	$6.09	$6.00	61.1%	17.5%	55.4%	56.7%	60.6%	11.1%	-1.1%	64.0K	-4.1M	-51.3K	0.80	7.52	1,456	1,164	30,965	12,943
2015-02-27	$6.18	$6.00	61.1%	17.5%	53.5%	56.6%	58.1%	15.2%	-1.1%	62.0K	-4.4M	-53.6K	0.65	7.91	1,400	907	31,133	13,295