AN Options History — August 2007 In August 2007, AN traded between $18.59 and $20.87. ATM implied volatility averaged 30.0%, placing in the 84.1% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 5.5% (HV 20d: 35.5%). Max pain ranged from $20.00 to $22.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 4 of 23 days. Put/call ratio averaged 4.25.
Notable Days 2007-08-29 : Highest Volume — 9,072 contracts2007-08-15 : Largest IV spike — 56.0% change2007-08-10 : Highest IV Rank — 100.0%2007-08-28 : Largest Expected Move — 10.5%Monthly Statistics Metric Avg Min Max Open Close Price $19.41 $18.59 $20.87 $19.44 $18.98 Max Pain $20.22 $20.00 $22.50 $20.00 $20.00 ATM IV 30.0% 20.9% 37.6% 26.9% 34.2% Expected Move 8.7% 6.6% 10.5% 7.7% 9.8% HV 20d 35.5% 22.6% 41.0% 22.6% 38.5% HV 60d 24.8% 19.0% 28.0% 19.0% 27.8% IV Rank 84.1% 60.1% 100.0% 91.2% 87.9% IV Percentile 95.9% 68.2% 100.0% 97.9% 97.6% Term Structure -0.9% -2.9% 1.3% -2.3% -2.4% VWIV 31.4% 25.6% 36.4% 26.8% 34.4% Skew 25d 6.3% -3.0% 13.3% -3.0% 4.1% Skew 10d 11.5% -2.1% 19.4% -2.1% 11.9% Call IV 25d 26.5% 17.7% 36.8% 25.8% 32.0% Put IV 25d 32.8% 22.7% 40.6% 22.7% 36.1% Bid-Ask Spread % 19.22 9.60 33.85 9.60 19.63 Gamma HHI 0.69 0.31 0.81 0.81 0.35 Net GEX 574.5K 100.9K 819.8K 807.4K 130.9K Net DEX -10.8M -29.8M 4.2M -12.9M 3.9M Net VEX -174.6K -185.4K -156.7K -175.4K -185.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 4.25 0.06 21.40 21.40 1.56 Total Volume 1,805.957 23 9,072 1,635 23 Total OI 44,622.652 42,119 50,817 42,234 50,817
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2007-08-01 $19.44 $20.00 26.9% 7.7% 22.6% 91.2% 26.8% -3.0% -2.3% 807.4K -12.9M -175.4K 21.40 9.60 N/A N/A 73 1,562 30,350 11,884 2007-08-02 $19.44 $20.00 24.6% 7.1% 22.8% 79.7% 0.0% -1.4% -0.1% 745.8K -12.8M -177.8K 0.88 16.18 N/A N/A 330 291 30,091 12,894 2007-08-03 $18.79 $20.00 23.2% 6.6% 24.6% 72.0% 0.0% 5.3% -2.0% 682.2K -8.1M -166.7K 1.40 33.85 N/A N/A 131 184 30,171 12,959 2007-08-06 $19.41 $22.50 28.3% 7.4% 28.5% 98.5% 30.2% 8.5% 1.3% 653.6K -13.0M -179.6K 5.13 21.04 N/A N/A 135 693 30,191 12,967 2007-08-07 $19.89 $22.50 25.1% 7.3% 30.4% 82.3% 25.6% 10.3% 0.7% 665.0K -17.5M -181.9K 0.68 23.91 N/A N/A 385 261 30,156 13,034 2007-08-08 $20.63 $20.00 24.6% 7.4% 33.6% 79.7% 25.7% -0.6% 1.0% 737.6K -25.3M -183.0K 3.69 19.46 N/A N/A 42 155 30,475 13,029 2007-08-09 $20.87 $20.00 20.9% 7.8% 33.7% 60.1% 26.8% -0.5% 0.0% 721.0K -29.8M -183.0K 0.38 18.98 N/A N/A 529 201 30,471 13,032 2007-08-10 $19.93 $20.00 29.5% 8.5% 36.2% 100.0% 29.6% 13.3% -1.0% 629.8K -19.2M -183.5K 0.41 18.98 N/A N/A 256 104 30,797 13,160 2007-08-13 $19.66 $20.00 30.3% 8.7% 36.4% 100.0% 30.2% 10.2% -1.5% 612.4K -15.7M -179.0K 9.91 18.42 N/A N/A 55 545 31,017 13,223 2007-08-14 $18.94 $20.00 24.1% 9.2% 38.0% 70.7% 0.0% 8.0% -1.3% 707.2K -8.8M -167.5K 8.20 15.47 N/A N/A 40 328 31,056 13,473 2007-08-15 $18.59 $20.00 37.6% 10.3% 38.2% 100.0% 35.6% 5.6% -0.9% 720.5K -5.8M -162.2K 5.95 18.02 N/A N/A 40 238 31,056 13,444 2007-08-16 $19.00 $20.00 35.0% 10.0% 39.4% 90.7% 35.0% 10.6% -0.6% 649.5K -9.8M -173.6K 4.75 20.12 N/A N/A 127 603 31,096 13,351 2007-08-17 $19.12 $20.00 30.8% 8.8% 39.5% 75.7% 30.6% 9.2% -0.1% 702.9K -10.2M -172.4K 7.59 15.21 N/A N/A 32 243 31,128 13,224 2007-08-20 $19.60 $20.00 33.2% 9.5% 41.0% 84.3% 33.2% 11.8% -1.7% 819.8K -16.7M -175.5K 10.15 15.68 N/A N/A 283 2,873 30,028 12,091 2007-08-21 $19.30 $20.00 31.3% 9.0% 40.4% 77.8% 31.5% 8.2% -1.4% 604.7K -10.4M -178.3K 6.21 21.07 N/A N/A 90 559 30,107 14,890 2007-08-22 $19.39 $20.00 30.6% 8.8% 40.5% 75.0% 30.5% 8.1% -0.8% 561.4K -10.6M -178.9K 0.51 17.96 N/A N/A 3,701 1,879 30,146 15,449 2007-08-23 $19.20 $20.00 31.7% 9.1% 39.3% 79.1% 31.8% 5.0% -2.1% 504.7K -6.3M -169.5K 0.21 17.52 N/A N/A 2,721 580 29,122 16,348 2007-08-24 $19.65 $20.00 30.3% 8.7% 37.2% 74.2% 30.3% 9.1% -0.1% 447.4K -10.1M -173.2K 0.06 22.94 N/A N/A 5,472 333 27,931 16,600 2007-08-27 $19.45 $20.00 32.5% 9.3% 37.4% 82.0% 34.5% 8.3% -1.8% 411.9K -7.1M -162.3K 0.95 26.48 N/A N/A 1,505 1,435 26,906 16,635 2007-08-28 $18.86 $20.00 36.5% 10.5% 38.8% 95.9% 36.4% 3.3% -2.9% 305.7K -1.3M -156.7K 1.12 19.31 N/A N/A 834 933 26,796 17,968 2007-08-29 $19.33 $20.00 34.1% 9.8% 39.9% 87.6% 34.1% 3.9% -0.8% 291.2K -4.2M -165.5K 1.87 15.43 N/A N/A 3,157 5,915 27,433 18,997 2007-08-30 $18.97 $20.00 34.6% 9.9% 40.4% 89.5% 34.9% 7.3% -1.0% 100.9K 4.2M -184.9K 4.63 16.77 N/A N/A 295 1,366 26,313 24,015 2007-08-31 $18.98 $20.00 34.2% 9.8% 38.5% 87.9% 34.4% 4.1% -2.4% 130.9K 3.9M -185.4K 1.56 19.63 N/A N/A 9 14 26,677 24,140
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