AN Options History — May 2007

In May 2007, AN traded between $20.51 and $22.12. ATM implied volatility averaged 19.3%. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 1.1% (HV 20d: 20.4%). 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 7 of 22 days. Put/call ratio averaged 11.34.

Notable Days

  • 2007-05-04: Highest Volume — 20,755 contracts
  • 2007-05-07: Largest IV drop — 39.0% change
  • 2007-05-16: Largest Expected Move — 6.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.19$20.51$22.12$20.51$22.12
Max Pain$21.02$20.00$22.50$22.50$22.50
ATM IV19.3%14.0%23.7%21.1%18.5%
Expected Move5.7%4.4%6.8%6.1%5.3%
HV 20d20.4%14.6%22.2%21.8%14.6%
HV 60d17.1%16.7%18.2%16.7%17.2%
Term Structure-0.9%-3.4%1.9%-0.9%1.0%
VWIV19.9%14.0%32.5%21.1%18.7%
Skew 25d2.5%-5.5%11.2%4.5%1.0%
Skew 10d4.0%-4.0%10.4%7.0%1.3%
Call IV 25d18.1%11.9%22.0%16.8%18.6%
Put IV 25d20.6%15.8%24.4%21.3%19.6%
Bid-Ask Spread %21.439.6429.1619.5414.81
Gamma HHI0.730.600.810.810.60
Net GEX1.1M960.0K1.4M1.2M1.0M
Net DEX-31.4M-43.2M-16.5M-16.5M-43.2M
Net VEX-136.0K-151.2K-105.1K-111.0K-126.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio11.340.00115.690.710.02
Total Volume1,390.864420,7551851,634
Total OI35,611.54529,05439,20029,39137,002

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$20.51$22.5021.1%6.1%21.8%0.0%21.1%4.5%-0.9%1.2M-16.5M-111.0K0.7119.54N/AN/A1087721,8397,552
2007-05-02$20.81$22.5021.6%6.2%22.2%0.0%32.5%6.3%-3.0%1.1M-20.7M-109.3K0.0522.86N/AN/A94521,8977,513
2007-05-03$20.82$22.5022.2%6.4%21.2%0.0%0.0%6.5%-1.8%1.1M-19.8M-108.5K13.0022.86N/AN/A11321,9037,516
2007-05-04$20.83$20.0023.0%5.8%21.2%0.0%0.0%0.8%-0.2%1.0M-19.7M-109.3K0.0028.71N/AN/A20,755021,9047,527
2007-05-07$20.83$20.0014.0%5.6%21.2%0.0%19.7%6.4%1.0%1.4M-29.7M-151.2K87.3314.95N/AN/A121,04829,5237,527
2007-05-08$20.78$20.0015.4%5.8%21.2%0.0%0.0%0.1%0.1%1.2M-28.3M-149.4K0.0026.41N/AN/A10028,6358,527
2007-05-09$21.07$20.0016.8%6.1%21.6%0.0%0.0%2.9%-1.9%1.2M-31.3M-149.6K0.3322.80N/AN/A3128,6458,399
2007-05-10$20.87$20.0018.0%5.2%21.9%0.0%16.3%0.4%1.9%1.3M-30.2M-145.5K7.6529.10N/AN/A2015328,6458,399
2007-05-11$20.96$20.0023.2%6.7%21.9%0.0%23.3%11.2%-2.3%1.2M-30.1M-147.7K115.699.64N/AN/A131,50428,6658,451
2007-05-14$20.78$20.0021.3%6.1%21.0%0.0%0.0%-0.8%-3.4%1.1M-26.1M-105.1K4.3128.76N/AN/A135623,3595,695
2007-05-15$20.89$20.0022.5%6.4%20.8%0.0%21.5%1.4%-0.9%1.2M-29.3M-147.6K0.0026.40N/AN/A71028,6719,470
2007-05-16$20.97$20.0023.7%6.8%20.6%0.0%18.4%9.1%-3.4%1.2M-29.5M-148.1K0.2212.53N/AN/A1954228,7239,470
2007-05-17$21.08$20.0022.1%6.3%20.7%0.0%0.0%2.7%-0.1%1.1M-31.1M-146.2K6.4329.16N/AN/A2021,29828,6959,468
2007-05-18$21.63$20.0017.6%5.0%21.3%0.0%18.5%5.4%0.3%960.0K-35.5M-144.1K7.5829.08N/AN/A2301,74428,77810,422
2007-05-21$21.36$20.0015.2%4.4%21.6%0.0%16.3%2.2%0.0%1.1M-36.5M-147.4K0.2322.79N/AN/A57313128,3828,732
2007-05-22$21.57$20.0018.1%5.2%21.6%0.0%17.9%5.9%-0.3%1.1M-38.5M-144.0K1.1325.39N/AN/A404528,4498,821
2007-05-23$21.56$22.5019.7%5.7%21.3%0.0%0.0%-3.1%-1.3%1.1M-38.2M-144.1K4.2517.90N/AN/A41728,4498,846
2007-05-24$21.45$22.5017.6%5.0%21.1%0.0%14.0%1.6%-2.1%1.1M-37.3M-144.8K0.4018.01N/AN/A2048228,4538,843
2007-05-25$21.70$22.5018.1%5.2%20.5%0.0%18.7%-2.7%-0.0%1.0M-39.6M-141.6K0.0017.52N/AN/A12028,5188,829
2007-05-29$21.63$22.5017.4%5.0%14.6%0.0%0.0%-5.5%-2.2%1.1M-39.3M-138.2K0.0019.07N/AN/A24028,3278,829
2007-05-30$21.85$22.5018.3%5.2%14.8%0.0%0.0%-0.3%0.2%1.0M-40.6M-133.6K0.1013.26N/AN/A1501528,3278,829
2007-05-31$22.12$22.5018.5%5.3%14.6%0.0%0.0%1.0%1.0%1.0M-43.2M-126.3K0.0214.81N/AN/A1,5953928,1778,825