AGYS Options History — February 2010 In February 2010, AGYS traded between $8.60 and $11.26. ATM implied volatility averaged 55.1%, placing in the 9.6% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded below realized volatility by 2.7% (HV 20d: 57.8%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.46.
Notable Days 2010-02-24 : Highest Volume — 55 contracts2010-02-25 : Largest IV drop — 31.9% change2010-02-22 : Highest IV Rank — 15.2%2010-02-10 : Largest Expected Move — 18.2%Monthly Statistics Metric Avg Min Max Open Close Price $9.64 $8.60 $11.26 $8.60 $10.92 Max Pain $7.76 $7.50 $10.00 $10.00 $7.50 ATM IV 55.1% 35.9% 62.1% 45.1% 35.9% Expected Move 16.2% 10.3% 18.2% 12.9% 10.3% HV 20d 57.8% 51.4% 62.3% 60.5% 56.2% HV 60d 55.6% 51.1% 83.2% 83.2% 52.0% IV Rank 9.6% 0.0% 15.2% 0.0% 0.0% IV Percentile 7.4% 0.0% 14.7% 0.0% 0.0% Term Structure 3.3% -2.3% 18.7% 18.7% 11.0% VWIV 55.3% 45.1% 62.1% 45.1% 59.8% Skew 25d 3.4% -16.6% 26.2% -16.6% -3.4% Skew 10d 10.1% -7.8% 39.8% -2.5% 7.5% Call IV 25d 52.7% 34.9% 63.4% 63.4% 36.2% Put IV 25d 56.1% 32.8% 84.5% 46.9% 32.8% Bid-Ask Spread % 81.20 34.65 109.31 57.97 87.83 Gamma HHI 0.38 0.33 0.48 0.48 0.43 Net GEX 1.1K -642 3.2K -642 3.2K Net DEX -77.5K -172.9K 3.9K 3.9K -144.3K Net VEX -625 -845 -454 -454 -845 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.46 0.00 3.33 0.00 0.18 Total Volume 14.158 0 55 3 13 Total OI 418.579 323 522 323 515
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 Wall Put Wall Call Vol Put Vol Call OI Put OI 2010-02-01 $8.60 $10.00 45.1% 12.9% 60.5% 0.0% 45.1% -16.6% 18.7% -642 3.9K -454 0.00 57.97 N/A N/A 0 3 154 169 2010-02-02 $8.71 $7.50 50.2% 14.4% 55.2% 4.6% 0.0% 7.5% 14.7% -529 -1.3K -477 0.00 77.52 N/A N/A 1 0 154 172 2010-02-03 $9.40 $7.50 58.0% 16.6% 62.3% 11.6% 0.0% 26.2% 1.2% -204 -22.3K -493 0.00 37.25 N/A N/A 50 0 155 172 2010-02-04 $9.00 $7.50 54.2% 15.5% 60.9% 8.2% 48.4% -8.3% -2.3% -31 -31.1K -578 0.13 60.56 N/A N/A 15 2 205 172 2010-02-05 $8.80 $7.50 56.4% 17.2% 59.0% 10.1% 0.0% 8.0% 0.3% 17 -26.8K -606 0.00 34.65 N/A N/A 0 0 220 174 2010-02-08 $9.18 $7.50 53.2% 18.1% 60.9% 7.2% 0.0% 12.4% -1.8% 486 -48.3K -614 0.05 86.90 N/A N/A 20 1 220 174 2010-02-09 $9.23 $7.50 55.5% 17.5% 60.5% 9.3% 0.0% 9.8% 1.2% 639 -61.8K -633 0.00 92.83 N/A N/A 0 1 240 173 2010-02-10 $9.10 $7.50 59.5% 18.2% 58.7% 12.9% 0.0% 5.1% -1.5% 540 -56.2K -632 0.00 92.73 N/A N/A 0 0 240 172 2010-02-11 $9.55 $7.50 59.2% 17.0% 61.1% 12.6% 0.0% -2.6% 1.9% 708 -74.3K -597 0.00 70.44 N/A N/A 0 0 240 172 2010-02-12 $9.44 $7.50 58.9% 16.9% 61.3% 12.4% 0.0% -9.2% 0.8% 786 -69.2K -601 0.00 98.98 N/A N/A 0 0 240 172 2010-02-16 $9.78 $7.50 58.7% 16.8% 61.8% 12.1% 0.0% -4.5% 2.6% 1.0K -88.5K -586 0.00 85.70 N/A N/A 2 0 240 172 2010-02-17 $9.92 $7.50 60.9% 17.5% 55.9% 14.1% 0.0% 2.1% 0.3% 1.2K -99.6K -597 0.00 83.77 N/A N/A 38 0 242 172 2010-02-18 $9.90 $7.50 59.9% 17.2% 54.7% 13.2% 0.0% 5.7% 0.9% 1.8K -113.8K -637 0.00 98.00 N/A N/A 1 0 280 172 2010-02-19 $9.81 $7.50 58.1% 16.7% 54.2% 11.6% 0.0% 5.1% 3.0% 2.2K -113.7K -661 3.33 72.37 N/A N/A 3 10 281 172 2010-02-22 $9.84 $7.50 62.1% 17.8% 51.5% 15.2% 62.1% 4.2% -1.3% 1.6K -107.6K -664 0.00 96.80 N/A N/A 0 14 278 179 2010-02-23 $9.88 $10.00 61.0% 17.5% 51.4% 14.3% 61.0% 4.9% -1.3% 1.5K -100.2K -675 0.00 97.38 N/A N/A 0 4 278 193 2010-02-24 $10.76 $7.50 60.1% 17.2% 55.6% 13.4% 59.8% 10.2% -2.2% 2.8K -144.6K -691 1.39 101.80 N/A N/A 23 32 278 189 2010-02-25 $11.26 $7.50 40.9% 11.7% 56.8% 0.0% 0.0% 7.9% 16.9% 3.1K -172.9K -841 0.00 109.31 N/A N/A 36 0 301 221 2010-02-26 $10.92 $7.50 35.9% 10.3% 56.2% 0.0% 0.0% -3.4% 11.0% 3.2K -144.3K -845 0.18 87.83 N/A N/A 11 2 294 221
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