AN Options History — April 2007

In April 2007, AN traded between $20.44 and $22.00. ATM implied volatility averaged 19.6%. The 30-day expected move averaged 5.4%. IV traded above realized volatility by 4.5% (HV 20d: 15.1%). Max pain ranged from $20.00 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 5.18.

Notable Days

  • 2007-04-03: Highest Volume — 26,518 contracts
  • 2007-04-04: Largest IV spike — 108.3% change
  • 2007-04-02: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.24$20.44$22.00$21.13$20.44
Max Pain$21.88$20.00$22.50$20.00$22.50
ATM IV19.6%11.4%27.7%24.5%20.9%
Expected Move5.4%3.3%7.0%7.0%6.0%
HV 20d15.1%12.6%21.8%13.1%21.8%
HV 60d15.1%14.4%16.9%15.1%16.9%
Term Structure-0.2%-3.4%7.1%-2.4%-0.8%
VWIV17.3%11.2%25.6%14.5%20.9%
Skew 25d3.6%-4.4%11.7%8.8%4.9%
Skew 10d4.6%-4.3%9.9%8.2%7.3%
Call IV 25d16.3%11.6%19.6%14.5%16.2%
Put IV 25d19.9%12.4%24.3%23.3%21.2%
Bid-Ask Spread %16.366.3628.7522.7411.36
Gamma HHI0.740.480.880.760.75
Net GEX1.1M600.4K1.7M1.2M1.1M
Net DEX-30.7M-41.3M-17.5M-26.8M-17.5M
Net VEX-85.9K-121.4K-53.6K-56.3K-121.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.180.0060.000.020.24
Total Volume1,790.651026,51831703
Total OI28,271.9523,78631,32123,78630,460

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$21.13$20.0024.5%7.0%13.1%0.0%0.0%8.8%-2.4%1.2M-26.8M-56.3K0.0022.74N/AN/A03119,4834,303
2007-04-03$21.35$20.0011.4%3.3%13.6%0.0%14.5%11.7%6.7%1.1M-28.1M-53.6K0.026.36N/AN/A26,03048819,4834,313
2007-04-04$20.96$20.0023.7%6.8%14.7%0.0%0.0%6.0%-3.4%1.6M-35.4M-98.0K8.1822.43N/AN/A3427826,5794,742
2007-04-05$21.02$20.0018.9%5.4%14.8%0.0%0.0%7.4%6.7%1.4M-32.2M-95.8K60.006.81N/AN/A16024,4784,950
2007-04-09$20.95$22.5024.6%6.1%14.7%0.0%0.0%2.1%-1.6%1.4M-31.9M-93.4K1.6925.24N/AN/A427124,4774,989
2007-04-10$20.90$22.5027.7%6.0%14.7%0.0%12.1%1.2%-1.5%1.4M-31.1M-94.1K0.0025.76N/AN/A01024,5055,022
2007-04-11$20.74$22.5023.7%6.1%13.4%0.0%0.0%8.6%-2.3%1.5M-30.5M-94.0K0.007.24N/AN/A03024,5054,917
2007-04-12$20.77$22.5020.1%5.8%13.0%0.0%20.2%7.5%-1.4%1.6M-30.4M-93.7K0.0014.24N/AN/A01224,5054,937
2007-04-13$20.76$22.5020.2%5.8%12.6%0.0%13.5%7.2%-0.6%1.7M-30.2M-93.0K0.0913.47N/AN/A3893524,5054,947
2007-04-16$21.16$22.5022.2%6.4%14.3%0.0%0.0%2.6%-2.6%1.4M-34.1M-89.2K0.1528.75N/AN/A3004624,7674,966
2007-04-17$21.34$22.5013.6%3.9%14.2%0.0%11.2%4.4%-0.1%912.0K-36.9M-82.0K0.1424.43N/AN/A2964224,7925,007
2007-04-18$21.53$22.5018.2%5.2%14.5%0.0%25.6%5.3%-0.9%900.0K-38.0M-80.2K0.6621.36N/AN/A644225,0095,022
2007-04-19$21.52$22.5018.1%5.2%14.1%0.0%22.9%6.1%-1.0%894.7K-38.3M-79.1K0.0619.29N/AN/A1751025,0265,022
2007-04-20$22.00$20.0019.6%5.6%16.0%0.0%19.5%-1.5%-2.7%882.6K-41.3M-73.3K2.4410.39N/AN/A6881,68225,0725,032
2007-04-23$21.86$22.5019.8%5.7%16.0%0.0%0.0%-2.1%-1.5%608.1K-28.0M-77.2K0.0012.70N/AN/A70019,3695,633
2007-04-24$21.62$22.5019.5%5.6%16.5%0.0%19.5%-4.4%-1.5%698.4K-25.7M-81.3K0.0016.78N/AN/A63019,4245,758
2007-04-25$21.82$22.5019.7%5.6%16.5%0.0%19.6%-2.1%-1.6%600.4K-27.9M-76.6K0.009.29N/AN/A92019,4355,758
2007-04-26$21.61$22.5012.9%3.7%16.4%0.0%13.7%-2.2%1.0%673.8K-26.4M-78.3K1.0621.42N/AN/A1,9152,02319,5135,758
2007-04-27$21.23$22.5012.7%3.6%17.4%0.0%11.2%0.8%7.1%898.4K-22.8M-107.9K8.107.18N/AN/A108121,3077,669
2007-04-30$20.44$22.5020.9%6.0%21.8%0.0%20.9%4.9%-0.8%1.1M-17.5M-121.4K0.2411.36N/AN/A56613722,7527,708