AN Options History — June 2007

In June 2007, AN traded between $22.01 and $22.81. ATM implied volatility averaged 18.5%. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 3.0% (HV 20d: 15.5%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 8.09.

Notable Days

  • 2007-06-27: Highest Volume — 16,030 contracts
  • 2007-06-11: Largest IV spike — 21.7% change
  • 2007-06-12: Largest Expected Move — 5.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.46$22.01$22.81$22.49$22.44
Max Pain$20.12$20.00$22.50$22.50$20.00
ATM IV18.5%16.3%22.2%17.1%17.5%
Expected Move5.3%4.9%5.7%4.9%5.0%
HV 20d15.5%13.5%17.1%15.3%13.5%
HV 60d17.4%17.0%17.6%17.5%17.0%
Term Structure0.7%-0.8%1.9%1.1%1.5%
VWIV18.1%16.0%19.6%17.1%17.5%
Skew 25d1.9%-1.7%6.0%1.1%0.7%
Skew 10d2.6%-1.5%9.7%1.9%1.2%
Call IV 25d15.2%13.2%17.2%17.2%16.0%
Put IV 25d17.1%14.7%22.2%18.3%16.8%
Bid-Ask Spread %11.558.8017.2917.2914.81
Gamma HHI0.530.430.630.520.62
Net GEX980.8K785.0K1.4M946.3K994.0K
Net DEX-51.0M-66.3M-43.9M-47.4M-60.8M
Net VEX-125.7K-148.8K-113.6K-123.7K-148.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.090.00154.000.11154.00
Total Volume1,449.857216,030536155
Total OI38,795.95235,61345,29437,51843,585

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$22.49$22.5017.1%4.9%15.3%0.0%17.1%1.1%1.1%946.3K-47.4M-123.7K0.1117.29N/AN/A4855128,6838,835
2007-06-04$22.54$20.0018.1%5.5%15.3%0.0%16.0%2.8%0.2%960.9K-48.1M-121.9K0.0012.61N/AN/A120028,8458,850
2007-06-05$22.49$20.0018.1%5.5%15.4%0.0%19.0%2.2%-0.2%981.6K-48.0M-121.4K0.4410.39N/AN/A9428,8558,840
2007-06-06$22.47$20.0017.5%5.5%15.3%0.0%0.0%2.2%-0.1%1.0M-47.7M-123.0K0.1910.42N/AN/A4217828,8558,836
2007-06-07$22.01$20.0019.8%5.5%17.1%0.0%19.1%-1.7%0.5%1.1M-43.9M-132.0K0.0010.71N/AN/A105029,1828,894
2007-06-08$22.23$20.0016.3%5.6%16.8%0.0%19.4%6.0%0.0%1.1M-45.1M-128.4K0.518.80N/AN/A392029,2298,894
2007-06-11$22.38$20.0019.8%5.4%16.8%0.0%18.8%1.2%0.5%1.1M-47.5M-122.7K0.0010.43N/AN/A40029,2058,886
2007-06-12$22.27$20.0022.2%5.7%16.5%0.0%0.0%0.5%-0.8%1.1M-46.7M-123.5K0.0010.11N/AN/A011029,2058,886
2007-06-13$22.57$20.0021.2%5.6%16.9%0.0%19.6%2.3%0.3%1.1M-48.5M-118.8K0.318.93N/AN/A541729,2058,960
2007-06-14$22.47$20.0018.6%5.3%17.1%0.0%16.2%1.6%0.5%1.2M-48.0M-118.4K0.2011.74N/AN/A2294529,1718,963
2007-06-15$22.55$20.0018.4%5.3%17.1%0.0%18.3%2.1%0.4%1.4M-49.2M-115.2K0.039.52N/AN/A299829,2378,983
2007-06-18$22.52$20.0018.4%5.3%15.0%0.0%18.3%1.7%1.1%785.0K-48.1M-113.6K0.0010.11N/AN/A10,3111228,6117,002
2007-06-19$22.59$20.0018.0%5.2%14.0%0.0%18.0%2.1%1.5%918.9K-58.7M-130.1K0.0011.54N/AN/A2033,7067,014
2007-06-20$22.56$20.0017.9%5.1%13.8%0.0%17.9%2.1%1.0%844.6K-53.5M-123.9K2.7110.57N/AN/A3810331,1407,014
2007-06-21$22.81$20.0018.2%5.2%14.1%0.0%18.2%4.1%1.5%785.3K-54.7M-123.7K1.2310.98N/AN/A29236031,1587,091
2007-06-22$22.50$20.0018.0%5.2%15.0%0.0%0.0%1.9%1.7%824.7K-52.8M-127.4K1.3512.33N/AN/A435831,3887,427
2007-06-25$22.55$20.0019.1%5.5%14.6%0.0%19.1%2.0%0.0%813.5K-53.1M-126.8K0.0212.31N/AN/A4071031,4117,485
2007-06-26$22.28$20.0017.8%5.1%15.3%0.0%17.8%0.2%1.8%869.4K-51.4M-126.6K0.0012.10N/AN/A403131,5167,478
2007-06-27$22.41$20.0017.8%5.1%15.1%0.0%0.0%2.2%1.9%822.1K-52.0M-126.7K0.0013.37N/AN/A16,0003031,4187,478
2007-06-28$22.54$20.0018.0%5.2%14.6%0.0%0.0%1.8%1.0%988.8K-66.3M-142.9K0.7613.43N/AN/A503837,8167,478
2007-06-29$22.44$20.0017.5%5.0%13.5%0.0%17.5%0.7%1.5%994.0K-60.8M-148.8K154.0014.81N/AN/A115436,1647,421