AG Options History — January 2016

In January 2016, AG traded between $2.52 and $3.44. ATM implied volatility averaged 74.0%, placing in the 53.2% IV rank vs the trailing year. The 30-day expected move averaged 20.2%. IV traded above realized volatility by 5.7% (HV 20d: 68.2%). Max pain ranged from $3.00 to $3.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.58.

Notable Days

2016-01-21: Highest Volume — 1,958 contracts
2016-01-08: Largest IV spike — 41.4% change
2016-01-08: Highest IV Rank — 100.0%
2016-01-19: Largest Expected Move — 22.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$2.92	$2.52	$3.44	$3.44	$2.94
Max Pain	$3.00	$3.00	$3.00	$3.00	$3.00
ATM IV	74.0%	52.5%	112.5%	90.1%	64.8%
Expected Move	20.2%	17.1%	22.2%	22.0%	18.6%
HV 20d	68.2%	60.0%	75.2%	74.0%	61.3%
HV 60d	68.1%	66.1%	70.0%	70.0%	67.4%
IV Rank	53.2%	26.8%	100.0%	91.0%	37.0%
IV Percentile	60.7%	15.1%	100.0%	98.0%	47.2%
Term Structure	2.6%	-7.3%	12.8%	-7.3%	12.8%
VWIV	69.7%	54.0%	82.6%	70.2%	64.8%
Skew 25d	4.9%	-17.8%	57.3%	14.8%	57.3%
Skew 10d	14.3%	-35.6%	88.4%	23.2%	88.4%
Call IV 25d	69.5%	59.6%	85.3%	60.8%	59.6%
Put IV 25d	74.4%	55.9%	116.9%	75.5%	116.9%
Bid-Ask Spread %	17.42	12.28	28.97	14.98	17.15
Gamma HHI	0.19	0.17	0.21	0.20	0.17
Net GEX	18.4K	12.2K	22.6K	21.3K	21.9K
Net DEX	-1.5M	-2.0M	-1.1M	-1.8M	-2.0M
Net VEX	-21.3K	-25.1K	-17.7K	-25.1K	-22.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.30	1.09	0.95	0.47
Total Volume	1,281.053	906	1,958	1,297	1,009
Total OI	51,217.947	25,965	73,434	72,118	28,537

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
2016-01-04	$3.44	$3.00	90.1%	22.0%	74.0%	91.0%	70.2%	14.8%	-7.3%	21.3K	-1.8M	-25.1K	0.95	14.98	664	633	62,402	9,716
2016-01-05	$3.36	$3.00	60.7%	20.7%	72.2%	40.9%	71.3%	2.5%	-1.9%	21.1K	-1.7M	-23.3K	0.96	15.37	687	658	62,446	9,672
2016-01-06	$3.39	$3.00	52.5%	21.5%	69.1%	26.8%	65.8%	15.4%	-3.2%	21.1K	-1.8M	-23.1K	1.09	28.97	601	653	62,482	9,700
2016-01-07	$3.30	$3.00	70.8%	21.5%	69.1%	58.0%	75.3%	3.9%	1.0%	20.8K	-1.7M	-24.1K	0.42	23.51	972	413	62,521	9,695
2016-01-08	$3.18	$3.00	100.0%	19.9%	69.2%	100.0%	69.1%	-0.7%	2.9%	20.7K	-1.7M	-23.3K	0.73	15.36	713	521	63,063	9,667
2016-01-11	$2.95	$3.00	87.8%	20.3%	73.6%	80.7%	74.0%	-12.9%	2.2%	18.1K	-1.3M	-20.7K	0.98	14.96	651	635	63,114	9,471
2016-01-12	$2.80	$3.00	112.5%	19.1%	75.2%	100.0%	68.7%	-17.8%	11.3%	12.2K	-1.1M	-20.7K	0.72	15.38	968	694	63,310	9,520
2016-01-13	$2.81	$3.00	71.3%	20.4%	75.1%	45.6%	70.8%	1.3%	4.9%	16.5K	-1.2M	-20.9K	0.62	14.84	930	575	63,840	9,594
2016-01-14	$2.75	$3.00	71.0%	20.4%	74.9%	45.2%	70.6%	-1.8%	1.2%	15.8K	-1.3M	-20.4K	0.59	17.57	929	550	63,805	9,376
2016-01-15	$2.73	$3.00	72.1%	20.7%	69.6%	46.6%	69.4%	-1.8%	2.6%	15.8K	-1.3M	-19.5K	0.52	19.05	759	396	63,870	9,123
2016-01-19	$2.52	$3.00	77.4%	22.2%	66.2%	53.7%	78.1%	6.2%	-7.2%	13.9K	-1.1M	-17.7K	0.37	21.12	660	246	20,918	5,047
2016-01-20	$2.62	$3.00	62.3%	17.9%	67.3%	33.7%	54.0%	-16.9%	0.3%	15.0K	-1.2M	-18.8K	0.32	12.28	787	251	21,152	5,164
2016-01-21	$2.62	$3.00	75.1%	21.5%	65.4%	50.6%	69.5%	-7.3%	-2.0%	15.2K	-1.3M	-19.5K	0.30	22.98	1,504	454	21,467	5,196
2016-01-22	$2.68	$3.00	59.6%	17.1%	66.1%	30.1%	64.7%	-3.5%	5.5%	16.4K	-1.5M	-20.0K	0.35	13.35	1,153	406	21,915	5,186
2016-01-25	$2.70	$3.00	72.5%	20.8%	64.2%	47.2%	82.6%	-1.6%	3.5%	19.2K	-1.7M	-20.3K	0.55	21.66	787	431	22,543	5,196
2016-01-26	$2.85	$3.00	66.9%	19.2%	63.5%	39.7%	66.9%	47.9%	9.2%	21.1K	-1.8M	-21.7K	0.32	15.23	776	248	22,667	5,226
2016-01-27	$2.91	$3.00	71.1%	20.4%	60.0%	45.3%	71.3%	10.0%	5.9%	22.6K	-1.9M	-21.5K	0.36	14.72	684	247	23,019	5,259
2016-01-28	$2.84	$3.00	66.6%	19.1%	60.2%	39.4%	66.7%	-2.7%	7.6%	21.3K	-1.9M	-22.0K	0.40	12.57	782	313	22,949	5,313
2016-01-29	$2.94	$3.00	64.8%	18.6%	61.3%	37.0%	64.8%	57.3%	12.8%	21.9K	-2.0M	-22.8K	0.47	17.15	686	323	23,108	5,429