AN Options History — January 2007

Name: AN Options Analytics - January 2007
Creator: Options Analysis Suite

In January 2007, AN traded between $20.87 and $22.45. ATM implied volatility averaged 18.1%. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 1.6% (HV 20d: 16.4%). Max pain ranged from $15.00 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.18.

Notable Days

2007-01-16: Highest Volume — 18,499 contracts
2007-01-08: Largest IV spike — 42.5% change
2007-01-08: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.67	$20.87	$22.45	$21.27	$22.45
Max Pain	$20.88	$15.00	$22.50	$15.00	$22.50
ATM IV	18.1%	9.3%	21.8%	11.5%	20.6%
Expected Move	5.7%	3.3%	6.6%	3.3%	5.9%
HV 20d	16.4%	15.7%	16.9%	15.7%	16.3%
Term Structure	-0.6%	-3.7%	9.9%	9.6%	-2.1%
VWIV	20.5%	16.1%	22.1%	22.1%	21.6%
Skew 25d	1.2%	-3.1%	3.7%	3.7%	1.1%
Skew 10d	2.3%	-2.3%	6.8%	4.0%	1.6%
Call IV 25d	18.2%	10.3%	21.4%	10.3%	18.4%
Put IV 25d	19.4%	12.1%	23.1%	14.0%	19.4%
Bid-Ask Spread %	16.63	4.46	28.93	4.46	11.94
Gamma HHI	0.65	0.43	0.91	0.54	0.61
Net GEX	820.8K	438.6K	1.7M	692.9K	570.0K
Net DEX	-51.6M	-80.2M	-27.1M	-63.4M	-32.8M
Net VEX	-50.8K	-73.7K	-30.3K	-31.0K	-61.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.18	0.00	7.50	2.00	0.87
Total Volume	1,788.25	2	18,499	2	215
Total OI	42,029.1	24,149	63,386	50,787	24,932

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 Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2007-01-03	$21.27	$15.00	11.5%	3.3%	0.0%	0.0%	0.0%	3.7%	9.6%	692.9K	-63.4M	-31.0K	0.00	4.46	N/A	N/A	0	2	43,859	6,928
2007-01-04	$21.18	$15.00	12.2%	3.5%	0.0%	0.0%	0.0%	0.5%	9.9%	890.4K	-62.6M	-32.2K	0.00	5.62	N/A	N/A	0	17	43,859	6,928
2007-01-05	$20.87	$20.00	9.3%	6.3%	0.0%	0.0%	22.1%	3.0%	-0.7%	1.2M	-61.0M	-31.8K	2.00	25.23	N/A	N/A	5	10	43,859	6,945
2007-01-08	$20.88	$20.00	13.3%	6.6%	0.0%	0.0%	0.0%	3.7%	-2.4%	1.7M	-60.1M	-35.4K	0.00	25.15	N/A	N/A	1,464	0	43,864	6,955
2007-01-09	$21.15	$20.00	14.1%	6.2%	0.0%	0.0%	21.9%	1.0%	-0.7%	946.4K	-61.9M	-32.9K	0.01	25.03	N/A	N/A	464	3	43,858	6,955
2007-01-10	$21.08	$20.00	14.9%	5.9%	0.0%	0.0%	21.0%	2.2%	0.7%	1.1M	-61.4M	-33.9K	0.89	28.93	N/A	N/A	126	112	43,861	6,953
2007-01-11	$21.56	$20.00	18.1%	5.2%	0.0%	0.0%	18.1%	3.5%	0.0%	930.6K	-64.4M	-34.4K	0.75	26.93	N/A	N/A	60	45	43,896	7,034
2007-01-12	$21.56	$20.00	18.4%	5.3%	0.0%	0.0%	0.0%	3.4%	-0.1%	595.1K	-64.8M	-31.4K	0.00	25.55	N/A	N/A	19	0	43,930	7,079
2007-01-16	$21.50	$20.00	21.8%	6.2%	0.0%	0.0%	21.8%	1.5%	-3.7%	438.6K	-64.2M	-30.3K	0.12	21.89	N/A	N/A	16,484	2,015	43,949	7,079
2007-01-17	$21.53	$22.50	20.5%	5.9%	0.0%	0.0%	20.6%	2.7%	-2.2%	785.2K	-74.3M	-57.8K	7.50	25.92	N/A	N/A	20	150	52,700	9,081
2007-01-18	$21.66	$22.50	21.3%	6.1%	0.0%	0.0%	21.3%	2.9%	-3.3%	792.1K	-72.9M	-55.0K	0.02	12.92	N/A	N/A	6,244	123	51,320	9,231
2007-01-19	$21.89	$22.50	21.1%	6.1%	0.0%	0.0%	16.1%	-3.0%	-3.2%	1.2M	-80.2M	-65.6K	0.01	12.82	N/A	N/A	6,775	71	54,124	9,262
2007-01-22	$21.85	$22.50	20.7%	5.9%	0.0%	0.0%	20.7%	-3.1%	-1.3%	704.8K	-27.1M	-73.7K	0.23	12.21	N/A	N/A	22	5	19,142	5,007
2007-01-23	$21.95	$22.50	20.3%	5.8%	0.0%	0.0%	0.0%	-1.6%	-1.1%	683.2K	-28.2M	-70.1K	1.07	9.83	N/A	N/A	221	236	19,142	5,012
2007-01-24	$22.39	$22.50	20.1%	5.8%	0.0%	0.0%	20.1%	1.8%	-1.4%	575.6K	-31.1M	-69.5K	0.09	8.64	N/A	N/A	389	34	19,273	5,248
2007-01-25	$22.28	$22.50	20.9%	6.0%	15.7%	0.0%	20.9%	1.3%	-2.0%	633.1K	-31.1M	-69.3K	0.26	10.32	N/A	N/A	65	17	19,527	5,264
2007-01-26	$21.95	$22.50	20.3%	5.8%	16.8%	0.0%	0.0%	-1.3%	-2.2%	715.5K	-28.6M	-71.0K	0.00	13.39	N/A	N/A	200	0	19,552	5,270
2007-01-29	$22.25	$22.50	21.6%	6.2%	16.9%	0.0%	21.6%	1.1%	-2.7%	628.2K	-31.1M	-63.9K	7.42	12.40	N/A	N/A	12	89	19,552	5,270
2007-01-30	$22.20	$22.50	20.7%	5.9%	16.5%	0.0%	0.0%	-1.1%	-2.4%	654.3K	-30.3M	-65.0K	0.02	13.47	N/A	N/A	50	1	19,562	5,320
2007-01-31	$22.45	$22.50	20.6%	5.9%	16.3%	0.0%	0.0%	1.1%	-2.1%	570.0K	-32.8M	-61.0K	0.87	11.94	N/A	N/A	115	100	19,612	5,320