AN Options History — February 2007 In February 2007, AN traded between $21.96 and $23.08. ATM implied volatility averaged 19.4%. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 4.9% (HV 20d: 14.5%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 3.08.
Notable Days 2007-02-06 : Highest Volume — 2,330 contracts2007-02-06 : Largest IV spike — 37.6% change2007-02-06 : Largest Expected Move — 5.8%Monthly Statistics Metric Avg Min Max Open Close Price $22.76 $21.96 $23.08 $22.60 $21.96 Max Pain $22.50 $22.50 $22.50 $22.50 $22.50 ATM IV 19.4% 16.9% 28.5% 19.6% 16.9% Expected Move 5.3% 4.8% 5.8% 5.6% 4.8% HV 20d 14.5% 11.5% 16.1% 15.9% 14.8% Term Structure -0.8% -1.7% 1.1% -1.6% 1.1% VWIV 18.0% 13.7% 19.9% 18.7% 17.1% Skew 25d 2.7% -3.3% 5.1% 2.9% -1.3% Skew 10d 3.0% -5.5% 5.3% 3.4% -2.4% Call IV 25d 15.2% 13.2% 20.5% 13.6% 17.4% Put IV 25d 17.9% 16.1% 19.0% 16.5% 16.1% Bid-Ask Spread % 12.34 7.58 22.10 12.01 20.04 Gamma HHI 0.48 0.36 0.66 0.59 0.66 Net GEX 355.9K 56.1K 687.8K 555.5K 687.8K Net DEX -36.0M -38.9M -31.3M -33.9M -31.3M Net VEX -55.8K -64.1K -49.3K -58.7K -60.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.08 0.00 26.75 0.43 1.45 Total Volume 476.842 0 2,330 33 147 Total OI 25,481.211 22,976 28,466 25,147 23,223
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 2007-02-01 $22.60 $22.50 19.6% 5.6% 15.9% 0.0% 0.0% 2.9% -1.6% 555.5K -33.9M -58.7K 0.43 12.01 N/A N/A 23 10 19,727 5,420 2007-02-02 $22.90 $22.50 20.8% 5.3% 16.1% 0.0% 18.7% -1.0% -0.9% 463.4K -36.5M -54.6K 0.06 11.36 N/A N/A 505 30 19,750 5,430 2007-02-05 $22.65 $22.50 20.8% 5.4% 15.6% 0.0% 0.0% -3.3% -1.2% 493.5K -34.7M -56.5K 0.59 10.58 N/A N/A 17 10 19,736 5,450 2007-02-06 $22.81 $22.50 28.5% 5.8% 15.5% 0.0% 13.7% 3.7% -1.7% 494.8K -34.8M -57.7K 1.80 8.34 N/A N/A 831 1,499 19,735 5,460 2007-02-07 $22.96 $22.50 23.6% 5.7% 15.2% 0.0% 19.9% 4.7% -1.3% 219.9K -36.5M -59.9K 3.26 9.28 N/A N/A 463 1,508 20,397 6,812 2007-02-08 $22.93 $22.50 18.9% 5.4% 15.1% 0.0% 18.9% 4.0% -1.1% 56.1K -36.7M -59.7K 0.33 7.88 N/A N/A 754 250 20,683 7,783 2007-02-09 $22.74 $22.50 19.0% 5.4% 14.1% 0.0% 19.0% 3.9% -1.5% 219.6K -36.2M -64.1K 0.00 8.32 N/A N/A 0 20 21,149 7,140 2007-02-12 $22.81 $22.50 19.3% 5.5% 14.1% 0.0% 0.0% 4.1% -0.9% 188.2K -36.5M -62.1K 0.81 10.68 N/A N/A 702 568 21,149 7,160 2007-02-13 $23.08 $22.50 18.9% 5.4% 14.2% 0.0% 18.9% 5.1% -0.7% 191.8K -38.6M -55.8K 0.32 14.33 N/A N/A 94 30 20,643 6,592 2007-02-14 $23.03 $22.50 18.6% 5.3% 14.4% 0.0% 18.6% 4.4% -1.5% 165.6K -38.9M -53.2K 0.48 12.04 N/A N/A 237 114 20,717 6,622 2007-02-15 $23.05 $22.50 17.2% 4.9% 14.4% 0.0% 17.2% 3.9% -0.5% 168.3K -38.8M -52.6K 0.14 13.98 N/A N/A 211 30 20,723 6,675 2007-02-16 $22.90 $22.50 17.8% 5.1% 14.5% 0.0% 17.8% 3.2% -0.8% 121.2K -38.9M -53.0K 4.09 13.75 N/A N/A 54 221 20,734 6,691 2007-02-20 $22.90 $22.50 18.5% 5.3% 14.4% 0.0% 0.0% 4.3% -1.2% 402.8K -36.3M -49.3K 1.16 12.44 N/A N/A 138 160 18,985 3,991 2007-02-21 $22.74 $22.50 18.7% 5.4% 14.8% 0.0% 18.7% 3.2% -1.2% 434.5K -35.7M -52.7K 26.75 12.38 N/A N/A 4 107 19,051 4,105 2007-02-22 $22.74 $22.50 17.9% 5.1% 13.1% 0.0% 0.0% 3.0% -0.3% 442.5K -35.7M -53.1K 0.00 7.58 N/A N/A 0 0 19,051 4,049 2007-02-23 $22.73 $22.50 17.1% 4.9% 13.0% 0.0% 0.0% 2.7% 0.4% 451.1K -35.6M -53.2K 0.00 14.32 N/A N/A 0 0 19,051 4,049 2007-02-26 $22.74 $22.50 18.4% 5.3% 11.5% 0.0% 0.0% 2.9% -1.2% 421.6K -35.9M -49.5K 0.00 13.07 N/A N/A 11 0 19,051 4,049 2007-02-27 $22.14 $22.50 17.7% 5.1% 14.5% 0.0% 17.7% 1.1% -0.1% 583.1K -33.0M -55.0K 7.67 22.10 N/A N/A 36 276 19,061 4,049 2007-02-28 $21.96 $22.50 16.9% 4.8% 14.8% 0.0% 17.1% -1.3% 1.1% 687.8K -31.3M -60.2K 1.45 20.04 N/A N/A 60 87 19,087 4,136
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