AN Options History — July 2007

In July 2007, AN traded between $19.21 and $22.68. ATM implied volatility averaged 21.8%, placing in the 66.8% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 6.3% (HV 20d: 15.6%). 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 6 of 21 days. Put/call ratio averaged 1.79.

Notable Days

  • 2007-07-25: Highest Volume — 3,602 contracts
  • 2007-07-24: Largest IV spike — 17.3% change
  • 2007-07-31: Highest IV Rank — 93.1%
  • 2007-07-31: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.45$19.21$22.68$22.59$19.48
Max Pain$22.14$20.00$22.50$20.00$22.50
ATM IV21.8%17.9%27.2%18.7%27.2%
Expected Move6.3%5.1%7.8%5.4%7.8%
HV 20d15.6%11.3%22.9%13.7%22.9%
HV 60d17.4%15.9%19.0%17.0%19.0%
IV Rank66.8%44.9%93.1%44.9%93.1%
IV Percentile80.2%34.1%98.6%34.1%98.6%
Term Structure-1.2%-3.9%1.9%0.6%-3.9%
VWIV22.2%18.2%27.2%18.7%27.2%
Skew 25d2.1%-6.3%7.7%1.8%-1.4%
Skew 10d3.7%-9.5%12.4%2.6%-0.0%
Call IV 25d20.1%14.7%28.7%16.5%24.8%
Put IV 25d22.2%16.7%26.4%18.4%23.4%
Bid-Ask Spread %18.458.8526.3814.8012.63
Gamma HHI0.680.560.800.620.80
Net GEX995.6K799.2K1.2M934.7K830.1K
Net DEX-45.3M-62.6M-9.9M-61.8M-13.9M
Net VEX-156.8K-178.9K-144.2K-146.4K-176.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.790.0016.520.000.57
Total Volume734.85703,602211,044
Total OI42,532.85735,79544,33443,73841,895

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-07-02$22.59$20.0018.7%5.4%13.7%0.0%18.7%1.8%0.6%934.7K-61.8M-146.4K0.0014.80N/AN/A21036,1657,573
2007-07-03$22.68$20.0018.7%5.4%13.7%0.0%0.0%2.5%1.1%889.2K-62.6M-145.1K0.0015.49N/AN/A390036,1647,591
2007-07-05$22.52$20.0017.9%5.1%14.0%44.9%0.0%1.1%1.9%950.1K-61.1M-149.9K0.0016.75N/AN/A10036,3987,573
2007-07-06$22.45$22.5019.1%5.5%11.7%51.1%19.3%1.9%0.1%962.0K-61.3M-146.3K0.008.85N/AN/A58036,4087,573
2007-07-09$22.43$22.5019.9%5.5%11.3%55.1%0.0%1.5%0.2%960.8K-61.2M-145.2K0.008.86N/AN/A0036,4427,573
2007-07-10$22.05$22.5019.7%5.7%12.6%54.0%19.9%6.6%-0.6%1.0M-58.1M-148.0K1.4323.55N/AN/A476736,4427,573
2007-07-11$22.22$22.5018.5%5.9%12.8%47.7%20.6%7.7%-1.5%1.0M-57.9M-152.0K0.9021.83N/AN/A211936,4897,548
2007-07-12$22.43$22.5020.0%5.7%12.3%55.4%18.2%1.6%-0.5%985.0K-61.0M-144.2K1.838.86N/AN/A122236,4997,557
2007-07-13$21.89$22.5022.0%6.3%15.0%65.9%22.0%5.0%-2.5%1.1M-55.6M-152.0K0.0422.71N/AN/A183736,4997,576
2007-07-16$21.84$22.5022.1%6.3%14.9%66.6%22.1%4.6%-2.4%1.1M-54.4M-153.7K0.0624.28N/AN/A2251436,5197,573
2007-07-17$21.88$22.5021.7%6.2%14.9%64.4%0.0%5.3%-1.5%1.1M-54.9M-152.4K0.0024.45N/AN/A81036,6507,579
2007-07-18$21.67$22.5021.0%6.0%15.1%60.5%20.9%4.2%-1.0%1.1M-52.7M-152.8K1.1325.19N/AN/A869736,6657,579
2007-07-19$21.75$22.5022.5%6.5%15.2%68.7%22.6%4.7%-2.6%1.1M-53.1M-153.6K0.3725.25N/AN/A271036,6597,659
2007-07-20$21.40$22.5022.7%6.5%15.2%69.8%22.9%0.3%-2.6%1.1M-49.8M-156.2K1.2726.38N/AN/A16220536,6757,659
2007-07-23$21.29$22.5022.7%6.5%14.8%69.8%23.3%3.3%-3.2%1.1M-35.3M-157.3K0.7723.31N/AN/A1229429,1556,640
2007-07-24$20.75$22.5026.7%7.6%16.7%90.2%25.7%0.1%-3.8%1.2M-30.3M-160.3K16.5225.62N/AN/A1462,41229,1726,645
2007-07-25$20.67$22.5026.7%7.6%16.4%90.3%26.7%7.7%-3.2%1.0M-27.2M-173.0K3.0316.14N/AN/A8942,70829,3048,867
2007-07-26$20.04$22.5022.8%6.5%18.6%70.0%22.7%-6.3%-0.4%803.7K-18.6M-175.0K4.3317.88N/AN/A4662,01729,50511,455
2007-07-27$19.21$22.5022.4%6.4%22.2%67.9%22.4%-3.4%0.6%799.2K-9.9M-178.9K3.139.86N/AN/A4421,38229,67112,544
2007-07-30$19.29$22.5025.5%7.3%22.6%84.3%0.0%-4.0%-0.9%831.4K-11.0M-172.9K0.4114.87N/AN/A1,37656529,77811,699
2007-07-31$19.48$22.5027.2%7.8%22.9%93.1%27.2%-1.4%-3.9%830.1K-13.9M-176.9K0.5712.63N/AN/A66338129,85412,041