AN Options History — September 2007

In September 2007, AN traded between $17.42 and $19.18. ATM implied volatility averaged 34.5%, placing in the 86.9% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 1.1% (HV 20d: 33.4%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 7 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 10.17.

Notable Days

  • 2007-09-07: Highest Volume — 8,051 contracts
  • 2007-09-18: Largest IV drop — 17.7% change
  • 2007-09-05: Highest IV Rank — 100.0%
  • 2007-09-05: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.08$17.42$19.18$19.18$17.72
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV34.5%28.5%38.4%34.9%29.3%
Expected Move9.9%8.2%10.9%10.0%8.4%
HV 20d33.4%28.8%36.9%36.9%33.1%
HV 60d30.3%27.8%32.6%27.8%32.6%
IV Rank86.9%66.0%100.0%90.3%68.7%
IV Percentile93.1%82.2%100.0%98.2%82.8%
Term Structure0.2%-2.6%3.9%-1.5%3.1%
VWIV33.3%20.4%42.5%42.5%29.3%
Skew 25d1.0%-10.2%8.3%8.3%2.8%
Skew 10d-0.9%-16.4%16.5%16.5%2.8%
Call IV 25d33.2%23.6%37.9%32.5%23.6%
Put IV 25d34.2%24.5%41.0%40.8%26.4%
Bid-Ask Spread %18.297.7933.1519.8610.18
Gamma HHI0.440.300.790.340.30
Net GEX-133.3K-1.3M364.1K135.1K-42.7K
Net DEX13.7M2.5M21.8M2.5M17.0M
Net VEX-167.0K-185.5K-153.2K-185.5K-162.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.170.05104.933.113.78
Total Volume1,828.7371728,051501454
Total OI55,603.26350,70162,17550,70154,584

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$19.18$20.0034.9%10.0%36.9%90.3%42.5%8.3%-1.5%135.1K2.5M-185.5K3.1119.86N/AN/A12237926,58324,118
2007-09-05$18.68$20.0037.9%10.9%36.7%100.0%37.5%1.2%-1.1%125.9K7.0M-176.3K0.0515.69N/AN/A2611426,68424,196
2007-09-06$18.49$20.0037.8%10.8%33.6%99.7%37.1%0.5%-2.6%121.4K10.2M-168.0K0.8917.79N/AN/A918126,74724,194
2007-09-07$18.03$20.0036.8%10.4%33.7%96.3%35.0%4.0%-2.0%108.3K13.8M-156.1K104.9330.45N/AN/A767,97526,80824,231
2007-09-10$17.88$20.0038.4%10.7%30.4%100.0%36.7%2.4%-0.2%-387.9K21.8M-158.9K1.9720.42N/AN/A1,2402,44426,86431,279
2007-09-11$18.14$20.0036.6%10.6%31.1%93.8%35.1%4.1%-0.1%-288.4K13.6M-169.1K0.6420.96N/AN/A57836927,26428,551
2007-09-12$17.74$20.0036.8%10.5%29.3%94.4%36.8%1.5%-0.4%-423.9K17.3M-163.1K0.3622.45N/AN/A80028827,46428,783
2007-09-13$18.09$20.0037.4%10.7%29.8%96.6%37.2%5.5%-1.7%-272.4K14.4M-161.7K1.6324.74N/AN/A52385528,06129,020
2007-09-14$18.23$20.0036.5%10.5%28.8%93.7%33.4%6.3%-0.5%-206.6K11.6M-170.2K3.1033.15N/AN/A13441528,25429,109
2007-09-17$17.97$20.0037.8%10.8%28.9%98.0%38.2%3.2%-1.4%-352.5K13.7M-163.8K4.6524.74N/AN/A4018628,36028,953
2007-09-18$19.03$20.0031.1%8.9%34.8%75.0%31.0%1.4%0.4%364.1K3.8M-176.3K16.5926.90N/AN/A2323,84928,37229,031
2007-09-19$18.53$20.0033.9%9.7%35.6%84.7%30.8%2.9%0.8%165.2K11.4M-177.1K1.6615.16N/AN/A1,7092,84128,50431,574
2007-09-20$18.16$20.0034.4%9.9%36.1%86.3%31.6%-0.7%0.7%-102.9K13.6M-175.8K6.4016.69N/AN/A5353,42329,73631,913
2007-09-21$17.69$20.0032.2%9.2%36.9%78.7%20.4%-9.8%1.1%-1.3M17.4M-171.8K1.9714.89N/AN/A24247629,46932,706
2007-09-24$17.58$20.0032.6%9.4%35.5%80.2%29.6%-5.9%0.6%24.1K16.2M-161.8K13.578.38N/AN/A1411,91427,32525,631
2007-09-25$17.42$20.0031.5%9.0%35.5%76.2%31.5%-10.2%2.4%-66.7K18.9M-159.2K10.207.79N/AN/A6566327,40826,792
2007-09-26$17.56$20.0030.5%8.7%34.5%72.9%30.3%1.6%2.5%-45.1K17.7M-162.1K8.768.41N/AN/A2118427,45026,556
2007-09-27$17.47$20.0028.5%8.2%32.8%66.0%28.5%0.0%3.9%-82.3K18.3M-153.2K8.968.86N/AN/A1131,01327,46826,420
2007-09-28$17.72$20.0029.3%8.4%33.1%68.7%29.3%2.8%3.1%-42.7K17.0M-162.3K3.7810.18N/AN/A9535927,56027,024