AN Options History — October 2007

In October 2007, AN traded between $17.10 and $18.50. ATM implied volatility averaged 33.3%, placing in the 80.3% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 4.6% (HV 20d: 28.7%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 5 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 10.07.

Notable Days

  • 2007-10-24: Highest Volume — 4,728 contracts
  • 2007-10-11: Largest IV spike — 16.4% change
  • 2007-10-23: Highest IV Rank — 100.0%
  • 2007-10-23: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.76$17.10$18.50$17.72$17.69
Max Pain$19.13$17.50$20.00$20.00$17.50
ATM IV33.3%28.5%41.1%29.5%32.6%
Expected Move9.7%8.5%11.8%8.5%9.3%
HV 20d28.7%21.5%33.3%33.1%28.8%
HV 60d33.0%32.2%33.5%32.6%32.3%
IV Rank80.3%66.0%100.0%69.5%73.1%
IV Percentile88.9%78.8%100.0%82.9%84.2%
Term Structure-0.7%-4.5%3.6%3.6%1.1%
VWIV33.0%18.9%41.2%29.5%32.5%
Skew 25d2.3%-8.0%17.0%-8.0%2.8%
Skew 10d1.9%-12.5%16.1%-12.5%2.8%
Call IV 25d30.5%21.8%41.2%35.6%26.6%
Put IV 25d32.8%26.5%46.0%27.6%29.4%
Bid-Ask Spread %15.637.5429.7010.1210.76
Gamma HHI0.380.260.630.320.39
Net GEX-95.0K-292.9K188.6K-54.9K-146.6K
Net DEX15.1M10.1M20.3M16.7M13.9M
Net VEX-152.0K-174.8K-131.4K-161.2K-141.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio10.070.15118.000.891.05
Total Volume970.739604,7283021,200
Total OI51,574.04344,61255,33454,65846,551

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-10-01$17.72$20.0029.5%8.5%33.1%69.5%29.5%-8.0%3.6%-54.9K16.7M-161.2K0.8910.12N/AN/A16014227,62127,037
2007-10-02$17.97$20.0030.2%8.7%33.3%72.0%18.9%5.8%1.3%8.4K14.8M-166.4K118.007.54N/AN/A101,18027,77126,906
2007-10-03$18.22$20.0031.5%9.0%32.6%76.2%29.2%9.6%0.9%107.1K12.2M-171.6K0.9912.05N/AN/A23823627,77126,669
2007-10-04$17.97$20.0030.2%8.7%32.8%71.8%0.0%6.5%2.3%-1.5K14.3M-164.8K16.7012.27N/AN/A1016727,91526,757
2007-10-05$18.50$20.0029.6%9.1%33.2%70.0%0.0%4.5%0.1%188.6K10.1M-174.8K3.4314.90N/AN/A3010327,80526,806
2007-10-08$18.39$20.0029.0%9.4%33.1%67.9%0.0%-0.7%-1.5%77.0K11.9M-168.5K0.0014.57N/AN/A06027,77826,784
2007-10-09$18.27$20.0028.5%9.3%32.9%66.0%32.4%0.7%-0.8%23.2K13.1M-163.2K3.9016.42N/AN/A5019527,77826,786
2007-10-10$18.19$20.0028.7%9.5%31.8%66.8%0.0%1.8%-1.8%-24.7K12.7M-159.0K1.5620.18N/AN/A507827,82826,178
2007-10-11$18.07$20.0033.4%9.6%31.2%83.0%33.3%-0.6%-0.5%-17.1K13.2M-159.4K0.8719.94N/AN/A14012227,78226,142
2007-10-12$17.97$20.0031.8%9.1%31.1%77.2%0.0%-3.3%0.2%-121.8K14.4M-154.6K16.7918.62N/AN/A1423527,91226,085
2007-10-15$17.70$20.0034.0%9.7%31.1%85.0%31.3%-4.3%-1.7%-182.0K16.2M-149.1K0.0020.99N/AN/A020127,92225,998
2007-10-16$17.73$20.0033.8%9.7%22.4%84.3%34.5%-4.2%-1.3%-224.2K16.0M-147.6K2.6422.34N/AN/A256627,92225,942
2007-10-17$17.97$20.0037.6%10.8%21.5%97.2%35.0%6.3%-3.2%-163.2K14.0M-151.6K0.1526.60N/AN/A2,32635927,94325,976
2007-10-18$17.55$20.0038.0%10.9%21.9%98.8%38.0%4.5%-3.1%-78.6K16.0M-147.5K4.4329.70N/AN/A2601,15229,26826,066
2007-10-19$17.14$20.0037.9%10.9%21.5%98.5%37.8%0.9%-2.3%-227.3K20.3M-139.4K3.0120.81N/AN/A31594928,34526,966
2007-10-22$17.76$17.5038.0%10.9%25.1%98.8%37.7%-6.3%-1.8%-104.2K13.6M-147.6K4.0314.51N/AN/A5923820,02824,584
2007-10-23$17.37$17.5041.1%11.8%26.2%100.0%41.2%4.7%-4.5%-117.7K15.4M-141.0K3.5623.10N/AN/A1,0073,58720,07724,625
2007-10-24$17.57$17.5034.7%10.0%26.4%79.9%34.6%4.1%-1.1%-272.9K16.6M-147.3K8.858.58N/AN/A4804,24820,69626,806
2007-10-25$17.10$17.5035.0%10.0%28.0%80.9%35.2%17.0%-0.9%-292.9K19.0M-138.4K13.498.80N/AN/A801,07920,55026,905
2007-10-26$17.12$17.5032.8%9.4%27.5%73.9%26.6%15.7%-0.2%-197.0K18.0M-131.4K2.329.70N/AN/A13832020,60425,636
2007-10-29$17.30$17.5035.2%10.1%27.8%81.3%0.0%-0.1%-1.6%-182.3K17.2M-136.9K2.357.68N/AN/A15837220,63325,656
2007-10-30$17.20$17.5033.4%9.6%27.3%75.7%0.0%-3.5%0.5%-180.6K17.2M-132.6K2.399.41N/AN/A14434420,78825,605
2007-10-31$17.69$17.5032.6%9.3%28.8%73.1%32.5%2.8%1.1%-146.6K13.9M-141.7K1.0510.76N/AN/A58661420,81025,741