AG Options History — February 2016

In February 2016, AG traded between $3.01 and $4.66. ATM implied volatility averaged 74.4%, placing in the 49.7% IV rank vs the trailing year. The 30-day expected move averaged 21.8%. IV traded above realized volatility by 5.8% (HV 20d: 68.6%). Max pain ranged from $3.00 to $4.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.37.

Notable Days

2016-02-10: Highest Volume — 3,163 contracts
2016-02-08: Largest IV spike — 24.1% change
2016-02-17: Highest IV Rank — 60.8%
2016-02-17: Largest Expected Move — 23.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$4.01	$3.01	$4.66	$3.11	$4.66
Max Pain	$3.05	$3.00	$4.00	$3.00	$4.00
ATM IV	74.4%	52.7%	82.9%	72.4%	72.3%
Expected Move	21.8%	18.9%	23.8%	20.8%	20.7%
HV 20d	68.6%	61.6%	74.4%	65.1%	68.5%
HV 60d	70.1%	67.3%	72.7%	68.2%	69.4%
IV Rank	49.7%	21.0%	60.8%	47.0%	46.9%
IV Percentile	64.7%	15.5%	84.9%	61.9%	56.7%
Term Structure	0.5%	-5.5%	9.1%	-3.5%	-0.8%
VWIV	76.1%	62.5%	86.6%	72.4%	74.7%
Skew 25d	15.0%	-10.4%	66.6%	53.8%	14.5%
Skew 10d	42.2%	-6.0%	104.5%	102.6%	35.1%
Call IV 25d	71.7%	54.7%	86.9%	57.9%	61.7%
Put IV 25d	86.7%	69.2%	126.7%	111.7%	76.1%
Bid-Ask Spread %	20.14	10.72	32.09	18.71	10.72
Gamma HHI	0.24	0.17	0.32	0.18	0.32
Net GEX	45.9K	25.1K	66.1K	25.8K	65.6K
Net DEX	-5.4M	-7.6M	-2.2M	-2.4M	-7.6M
Net VEX	-33.1K	-39.7K	-22.8K	-24.3K	-39.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.17	0.74	0.17	0.73
Total Volume	2,008.1	846	3,163	1,768	1,698
Total OI	32,825.6	28,993	36,203	28,993	36,203

Daily Data (20 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
2016-02-01	$3.11	$3.00	72.4%	20.8%	65.1%	47.0%	72.4%	53.8%	-3.5%	25.8K	-2.4M	-24.3K	0.17	18.71	1,512	256	23,508	5,485
2016-02-02	$3.01	$3.00	67.3%	19.3%	61.6%	40.2%	62.5%	66.6%	9.1%	25.1K	-2.2M	-22.8K	0.23	20.16	1,737	394	23,822	5,485
2016-02-03	$3.22	$3.00	69.6%	20.0%	66.5%	43.4%	69.5%	35.1%	1.6%	28.6K	-2.7M	-25.3K	0.74	21.64	720	531	24,121	5,711
2016-02-04	$3.38	$3.00	67.3%	19.8%	68.9%	40.2%	70.1%	3.0%	0.2%	31.8K	-3.2M	-26.8K	0.23	21.03	1,322	304	24,205	5,652
2016-02-05	$3.57	$3.00	52.7%	18.9%	70.7%	21.0%	70.3%	0.9%	6.8%	34.3K	-3.6M	-28.1K	0.60	21.17	528	318	24,340	5,683
2016-02-08	$3.83	$3.00	65.4%	21.6%	72.7%	37.8%	73.3%	5.8%	1.7%	38.9K	-4.5M	-29.7K	0.31	19.56	1,721	527	24,491	5,694
2016-02-09	$3.64	$3.00	74.9%	22.8%	69.4%	50.4%	78.5%	-8.8%	-5.5%	37.5K	-4.1M	-29.4K	0.55	32.09	857	468	24,930	5,863
2016-02-10	$3.67	$3.00	75.2%	21.5%	65.4%	50.7%	80.1%	-10.4%	0.9%	38.8K	-4.0M	-29.4K	0.18	19.86	2,686	477	25,277	5,886
2016-02-11	$4.02	$3.00	82.3%	23.6%	70.8%	60.0%	82.9%	7.8%	1.3%	47.3K	-5.3M	-32.1K	0.28	26.55	1,805	502	26,475	5,916
2016-02-12	$4.31	$3.00	82.2%	23.6%	71.4%	59.9%	81.6%	21.7%	0.9%	39.7K	-6.5M	-35.9K	0.18	24.64	1,882	337	26,866	6,085
2016-02-16	$4.13	$3.00	81.3%	23.3%	74.4%	58.8%	86.6%	8.7%	0.5%	42.9K	-6.2M	-35.4K	0.35	25.14	1,460	509	27,703	6,121
2016-02-17	$4.26	$3.00	82.9%	23.8%	64.2%	60.8%	79.6%	20.2%	-3.2%	57.7K	-6.4M	-35.7K	0.35	22.02	1,562	549	28,231	6,164
2016-02-18	$4.55	$3.00	80.0%	22.9%	65.6%	57.0%	83.8%	24.6%	-3.9%	51.7K	-7.4M	-37.5K	0.28	16.87	1,963	551	28,389	6,159
2016-02-19	$4.40	$3.00	81.3%	23.3%	68.5%	58.7%	79.9%	16.8%	2.4%	51.7K	-7.2M	-38.0K	0.34	14.98	1,235	415	29,104	6,215
2016-02-22	$4.34	$3.00	81.5%	23.4%	69.9%	59.0%	80.3%	3.1%	0.4%	54.5K	-6.6M	-37.2K	0.55	15.65	988	540	28,647	5,911
2016-02-23	$4.35	$3.00	81.9%	23.5%	70.1%	59.6%	76.8%	3.1%	-4.7%	54.2K	-6.5M	-37.6K	0.33	14.31	1,508	503	28,695	6,204
2016-02-24	$4.41	$3.00	76.3%	21.9%	69.3%	52.2%	76.0%	19.5%	-0.7%	58.8K	-6.7M	-38.1K	0.37	17.37	1,465	547	29,276	6,229
2016-02-25	$4.63	$3.00	67.5%	19.4%	69.9%	40.6%	68.8%	9.3%	8.0%	66.1K	-7.3M	-38.9K	0.23	22.65	2,336	528	29,585	6,270
2016-02-26	$4.62	$3.00	73.8%	21.1%	68.3%	48.8%	73.8%	4.7%	-1.0%	66.1K	-7.5M	-39.3K	0.51	17.74	1,936	985	29,628	6,283
2016-02-29	$4.66	$4.00	72.3%	20.7%	68.5%	46.9%	74.7%	14.5%	-0.8%	65.6K	-7.6M	-39.7K	0.73	10.72	984	714	29,529	6,674