AN Options History — March 2007

In March 2007, AN traded between $21.00 and $21.92. ATM implied volatility averaged 17.5%. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 2.8% (HV 20d: 14.7%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 2.84.

Notable Days

  • 2007-03-06: Highest Volume — 485 contracts
  • 2007-03-13: Largest IV spike — 40.7% change
  • 2007-03-28: Largest Expected Move — 6.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.42$21.00$21.92$21.92$21.24
Max Pain$20.23$20.00$22.50$22.50$20.00
ATM IV17.5%13.2%23.5%19.2%17.6%
Expected Move5.2%3.9%6.4%5.5%5.0%
HV 20d14.7%13.8%16.6%14.1%14.9%
HV 60d15.4%15.1%15.7%15.4%15.1%
Term Structure0.9%-2.5%8.7%-1.4%8.7%
VWIV17.6%12.5%20.4%19.1%12.5%
Skew 25d2.9%-2.8%9.7%-0.2%9.7%
Skew 10d4.1%-3.8%8.3%-0.6%6.8%
Call IV 25d17.0%11.3%19.4%19.3%11.3%
Put IV 25d19.8%14.8%22.7%19.1%21.0%
Bid-Ask Spread %22.616.3133.6118.736.31
Gamma HHI0.690.530.790.640.73
Net GEX979.8K727.3K1.3M727.3K1.1M
Net DEX-28.4M-31.6M-25.3M-31.2M-27.6M
Net VEX-58.9K-75.9K-49.0K-60.5K-56.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.840.0022.582.750.00
Total Volume111.63654853024
Total OI23,393.523,15023,79223,15423,786

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-03-01$21.92$22.5019.2%5.5%14.1%0.0%19.1%-0.2%-1.4%727.3K-31.2M-60.5K2.7518.73N/AN/A82219,0924,062
2007-03-02$21.83$22.5014.5%4.1%13.8%0.0%0.0%-2.8%0.3%767.6K-26.7M-75.9K0.0024.52N/AN/A20019,0914,082
2007-03-05$21.38$20.0014.3%5.1%14.2%0.0%20.4%2.8%0.5%984.4K-26.5M-67.3K1.5723.03N/AN/A497719,0914,082
2007-03-06$21.47$20.0013.8%5.3%14.2%0.0%19.2%1.4%-0.3%920.4K-27.1M-67.0K7.9824.43N/AN/A5443119,1054,148
2007-03-07$21.63$20.0013.2%4.9%14.2%0.0%0.0%3.7%0.8%842.1K-29.4M-59.3K0.5024.94N/AN/A10519,1394,041
2007-03-08$21.60$20.0013.3%5.2%13.8%0.0%18.1%2.9%0.2%881.8K-28.9M-61.5K0.4924.48N/AN/A1095319,1494,046
2007-03-09$21.67$20.0015.3%4.6%14.0%0.0%16.2%4.0%2.0%841.8K-29.8M-57.8K0.1327.17N/AN/A791019,2314,046
2007-03-12$21.64$20.0016.7%5.1%13.8%0.0%18.2%3.8%0.6%852.9K-29.6M-56.1K0.2722.85N/AN/A1484019,3004,043
2007-03-13$21.23$20.0023.5%5.8%14.9%0.0%20.2%1.5%-0.3%1.1M-26.6M-62.7K0.0015.95N/AN/A02019,4484,034
2007-03-14$21.00$20.0022.4%5.7%13.9%0.0%19.8%0.4%0.9%1.3M-25.3M-64.5K4.1328.82N/AN/A3213219,4483,956
2007-03-15$21.15$20.0018.5%5.3%14.5%0.0%16.5%-0.2%1.3%1.2M-27.0M-61.2K0.0833.15N/AN/A1181019,4654,065
2007-03-16$21.00$20.0016.8%4.8%14.4%0.0%15.6%-0.8%3.9%1.2M-27.0M-57.7K0.0032.64N/AN/A66019,5264,038
2007-03-19$21.19$20.0018.6%5.3%15.2%0.0%0.0%0.4%5.5%1.1M-28.0M-57.9K0.0032.65N/AN/A01019,2773,873
2007-03-20$21.20$20.0020.7%5.9%15.2%0.0%0.0%0.2%-0.1%1.1M-27.5M-59.2K7.7333.17N/AN/A118519,2773,873
2007-03-21$21.41$20.0013.5%3.9%15.9%0.0%0.0%4.0%0.4%931.8K-29.7M-53.6K2.0133.61N/AN/A6713519,2883,958
2007-03-22$21.55$20.0016.1%4.6%16.2%0.0%18.4%4.2%1.0%782.1K-30.9M-50.3K0.0011.11N/AN/A126019,3554,076
2007-03-23$21.71$20.0015.9%4.6%16.6%0.0%0.0%5.3%1.2%749.7K-31.6M-49.2K0.0011.69N/AN/A21019,4714,076
2007-03-26$21.64$20.0017.3%5.0%16.6%0.0%0.0%5.4%0.1%751.1K-31.6M-49.0K0.0012.14N/AN/A5019,4794,076
2007-03-27$21.45$20.0018.8%5.4%14.1%0.0%19.4%3.1%-2.5%893.6K-30.2M-51.5K22.5811.52N/AN/A1227119,4804,076
2007-03-28$21.22$20.0022.4%6.4%14.3%0.0%12.9%7.2%-1.4%1.2M-27.1M-58.9K3.8222.46N/AN/A3814519,4904,226
2007-03-29$21.06$20.0021.7%6.2%14.5%0.0%0.0%6.8%-1.7%1.3M-26.4M-58.2K0.0022.06N/AN/A01319,4934,299
2007-03-30$21.24$20.0017.6%5.0%14.9%0.0%12.5%9.7%8.7%1.1M-27.6M-56.3K0.006.31N/AN/A24019,4834,303