AG Options History — August 2016

In August 2016, AG traded between $12.05 and $18.43. ATM implied volatility averaged 64.0%, placing in the 27.9% IV rank vs the trailing year. The 30-day expected move averaged 18.4%. IV traded above realized volatility by 4.0% (HV 20d: 60.0%). Max pain ranged from $15.00 to $18.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 21 of 23 days. Put/call ratio averaged 0.86.

Notable Days

2016-08-31: Highest Volume — 37,378 contracts
2016-08-31: Largest IV spike — 14.4% change
2016-08-31: Highest IV Rank — 40.6%
2016-08-31: Largest Expected Move — 21.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.10	$12.05	$18.43	$17.86	$12.05
Max Pain	$16.48	$15.00	$18.00	$15.00	$15.00
ATM IV	64.0%	58.9%	73.4%	67.6%	73.4%
Expected Move	18.4%	16.9%	21.0%	19.4%	21.0%
HV 20d	60.0%	46.5%	76.7%	76.7%	50.7%
HV 60d	67.2%	64.6%	72.1%	72.1%	66.4%
IV Rank	27.9%	18.7%	40.6%	36.0%	40.6%
IV Percentile	12.2%	2.8%	55.6%	21.0%	55.6%
Term Structure	1.8%	-4.8%	5.5%	-1.9%	-4.8%
VWIV	64.8%	57.9%	81.6%	68.3%	81.6%
Skew 25d	1.9%	-2.3%	9.1%	0.4%	9.1%
Skew 10d	2.1%	-24.7%	27.9%	4.9%	1.3%
Call IV 25d	63.9%	59.9%	72.7%	67.9%	72.7%
Put IV 25d	65.8%	59.4%	81.8%	68.3%	81.8%
Bid-Ask Spread %	39.94	20.57	78.77	20.86	41.99
Gamma HHI	0.10	0.07	0.13	0.11	0.07
Net GEX	559.4K	306.6K	838.4K	605.4K	363.4K
Net DEX	-76.0M	-106.8M	-32.1M	-96.3M	-32.1M
Net VEX	-289.7K	-310.8K	-259.0K	-273.9K	-259.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.32	8.13	0.46	8.13
Total Volume	8,727.304	3,997	37,378	6,313	37,378
Total OI	114,254.783	100,534	127,113	100,534	127,113

Daily Data (23 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
2016-08-01	$17.86	$15.00	67.6%	19.4%	76.7%	36.0%	68.3%	0.4%	-1.9%	605.4K	-96.3M	-273.9K	0.46	20.86	4,322	1,991	74,170	26,364
2016-08-02	$18.04	$15.00	67.6%	19.4%	76.7%	36.1%	68.8%	4.1%	1.1%	609.1K	-98.5M	-278.8K	0.43	26.65	6,088	2,627	75,062	26,894
2016-08-03	$18.19	$16.00	67.7%	19.4%	76.5%	36.1%	68.2%	3.8%	1.3%	621.9K	-100.2M	-292.4K	0.32	21.66	5,093	1,617	76,572	27,762
2016-08-04	$18.29	$16.00	65.1%	19.2%	75.0%	32.4%	69.1%	0.8%	1.0%	674.1K	-102.5M	-299.5K	0.48	46.30	3,055	1,461	78,463	28,203
2016-08-05	$17.79	$16.00	65.0%	18.6%	72.2%	32.4%	67.6%	3.2%	2.0%	660.9K	-96.9M	-301.0K	0.42	30.16	5,926	2,506	79,170	28,376
2016-08-08	$18.17	$16.00	67.5%	19.0%	71.9%	35.9%	67.3%	0.9%	1.7%	722.0K	-103.3M	-298.9K	0.33	35.85	7,685	2,515	80,489	28,883
2016-08-09	$18.43	$17.00	65.0%	19.0%	67.0%	32.4%	65.2%	1.1%	0.5%	780.6K	-106.8M	-307.4K	0.51	25.76	3,878	1,993	81,604	29,669
2016-08-10	$18.22	$17.00	64.6%	18.5%	59.5%	31.7%	65.1%	-1.4%	1.8%	794.2K	-103.5M	-310.8K	0.61	44.87	4,501	2,762	82,322	30,227
2016-08-11	$18.35	$17.00	62.9%	18.0%	59.5%	24.7%	62.3%	1.9%	3.6%	838.4K	-106.5M	-310.3K	0.62	39.28	4,723	2,917	83,262	30,957
2016-08-12	$18.11	$17.00	61.7%	17.7%	59.6%	22.9%	61.2%	2.9%	3.3%	777.9K	-102.0M	-305.4K	0.54	43.87	4,332	2,338	83,860	31,998
2016-08-15	$17.48	$18.00	61.3%	17.6%	61.2%	22.2%	61.1%	-0.4%	2.2%	691.4K	-92.9M	-300.8K	0.59	33.86	4,228	2,494	84,177	32,661
2016-08-16	$17.02	$18.00	59.5%	17.0%	61.9%	19.5%	60.0%	1.0%	3.7%	616.6K	-85.9M	-300.6K	0.77	33.34	4,350	3,357	84,294	33,284
2016-08-17	$16.45	$17.00	62.0%	17.8%	50.3%	23.3%	61.0%	0.4%	2.2%	527.6K	-75.1M	-296.3K	0.81	72.13	4,622	3,733	84,626	34,375
2016-08-18	$16.34	$17.00	60.0%	17.2%	46.5%	20.3%	60.3%	0.1%	3.9%	582.6K	-74.2M	-300.6K	0.75	54.64	2,282	1,715	86,456	35,297
2016-08-19	$15.13	$17.00	60.0%	17.2%	53.8%	20.3%	60.4%	2.6%	2.4%	391.4K	-57.2M	-290.5K	0.46	23.29	8,508	3,882	87,302	36,037
2016-08-22	$14.60	$17.00	61.4%	17.6%	52.6%	22.5%	61.9%	1.1%	2.1%	372.6K	-54.5M	-281.8K	0.62	27.04	4,828	2,972	79,827	28,793
2016-08-23	$14.39	$17.00	58.9%	16.9%	49.0%	18.7%	57.9%	-0.5%	3.1%	370.8K	-53.3M	-283.0K	0.53	23.27	3,749	1,975	81,477	29,729
2016-08-24	$13.12	$17.00	65.7%	18.8%	53.5%	28.9%	65.4%	4.5%	0.2%	306.6K	-39.5M	-262.8K	0.35	20.57	8,852	3,102	82,603	30,283
2016-08-25	$13.46	$16.00	65.3%	18.7%	54.9%	28.3%	64.8%	5.8%	0.9%	378.1K	-43.8M	-283.3K	0.44	62.32	4,381	1,924	86,789	31,115
2016-08-26	$13.22	$16.00	63.3%	18.2%	50.4%	25.4%	64.9%	4.5%	5.5%	385.3K	-43.3M	-279.5K	0.33	78.77	5,212	1,729	88,284	31,243
2016-08-29	$13.29	$16.00	62.3%	17.9%	48.5%	23.8%	61.3%	0.9%	2.9%	431.4K	-44.5M	-282.4K	0.76	74.86	2,854	2,157	91,442	31,615
2016-08-30	$12.36	$16.00	64.1%	18.4%	51.6%	26.6%	66.3%	-2.3%	2.6%	363.5K	-34.7M	-263.2K	0.58	37.31	5,134	2,980	92,132	32,599
2016-08-31	$12.05	$15.00	73.4%	21.0%	50.7%	40.6%	81.6%	9.1%	-4.8%	363.4K	-32.1M	-259.0K	8.13	41.99	4,094	33,284	93,964	33,149