AN Options History — November 2007

In November 2007, AN traded between $15.75 and $17.49. ATM implied volatility averaged 39.0%, placing in the 78.9% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 4.3% (HV 20d: 34.7%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 23.56.

Notable Days

  • 2007-11-12: Highest Volume — 8,304 contracts
  • 2007-11-07: Largest IV spike — 55.1% change
  • 2007-11-07: Highest IV Rank — 100.0%
  • 2007-11-27: Largest Expected Move — 12.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.52$15.75$17.49$17.49$16.50
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV39.0%31.1%48.3%35.0%38.9%
Expected Move11.3%10.0%12.4%10.0%11.1%
HV 20d34.7%26.9%45.2%28.7%45.2%
HV 60d31.8%29.9%35.6%31.4%35.6%
IV Rank78.9%68.3%100.0%80.7%75.8%
IV Percentile95.5%79.3%100.0%91.4%94.8%
Term Structure0.1%-2.8%1.6%1.4%0.9%
VWIV39.6%25.8%51.3%35.0%41.6%
Skew 25d5.5%-3.0%13.2%2.8%3.7%
Skew 10d4.8%-6.2%18.2%4.0%6.5%
Call IV 25d36.3%27.9%43.1%29.5%37.5%
Put IV 25d41.8%30.3%51.6%32.3%41.2%
Bid-Ask Spread %18.0011.3023.5411.5022.37
Gamma HHI0.380.310.470.370.33
Net GEX-228.7K-370.3K-120.5K-133.0K-126.7K
Net DEX18.7M12.7M22.8M14.5M13.8M
Net VEX-128.4K-158.5K-109.0K-143.7K-125.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio23.560.15415.60415.602.10
Total Volume2,135.2862498,3042,083446
Total OI51,056.47646,99355,37446,99352,264

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-11-01$17.49$17.5035.0%10.0%28.7%80.7%35.0%2.8%1.4%-133.0K14.5M-143.7K415.6011.50N/AN/A52,07821,24525,748
2007-11-02$17.16$17.5034.9%10.0%26.9%80.4%33.8%-0.8%1.6%-236.1K18.2M-139.9K0.2713.13N/AN/A72719721,25027,293
2007-11-05$16.82$17.5036.2%10.4%27.5%84.6%37.2%5.5%-1.1%-238.3K20.4M-130.9K0.3620.64N/AN/A35012721,46827,248
2007-11-06$16.60$17.5031.1%10.1%27.7%68.5%37.5%11.8%0.3%-234.3K21.3M-123.4K2.5611.96N/AN/A7017921,64827,160
2007-11-07$16.17$17.5048.3%11.5%28.7%100.0%39.9%6.9%1.0%-214.1K22.6M-115.7K4.5213.84N/AN/A15168221,68027,156
2007-11-08$16.62$17.5036.9%10.9%31.1%70.8%38.3%13.2%-0.2%-231.7K20.7M-130.1K0.5111.30N/AN/A44923021,78827,614
2007-11-09$16.51$17.5035.9%11.3%31.1%68.3%39.4%4.5%-0.9%-233.3K21.0M-125.9K0.6522.34N/AN/A25216421,78227,590
2007-11-12$16.68$17.5038.5%12.3%31.2%74.8%51.3%11.9%0.7%-218.8K17.1M-144.0K4.4623.32N/AN/A1,5216,78321,83427,672
2007-11-13$17.48$17.5037.4%12.1%35.9%72.0%48.7%12.8%1.1%-370.3K17.2M-158.5K1.8118.12N/AN/A1,0601,91722,46132,913
2007-11-14$17.07$17.5040.2%11.6%36.3%79.3%43.4%4.8%-0.8%-365.0K16.1M-152.6K23.6719.36N/AN/A1714,04823,26631,690
2007-11-15$16.84$17.5040.2%11.5%35.7%79.4%40.0%11.6%-0.1%-202.5K17.7M-140.4K1.5022.64N/AN/A51376923,26029,475
2007-11-16$16.56$17.5039.1%11.2%35.3%76.4%25.8%3.0%0.0%-219.4K19.6M-136.1K1.2523.54N/AN/A47058823,45929,645
2007-11-19$15.79$17.5040.6%11.6%36.0%80.2%37.1%0.1%0.1%-283.3K22.8M-109.0K1.4515.35N/AN/A7301,06022,88428,127
2007-11-20$15.85$17.5040.4%11.6%35.6%79.7%39.4%1.8%1.1%-260.7K21.7M-111.6K10.4518.66N/AN/A2943,07323,16827,866
2007-11-21$15.87$17.5040.9%11.7%35.1%81.0%37.3%3.3%-0.8%-286.0K22.7M-113.6K19.4116.03N/AN/A3586,94923,25029,034
2007-11-23$16.37$17.5037.1%10.6%36.4%71.2%37.4%8.6%0.4%-199.4K17.3M-118.1K0.1518.00N/AN/A90913923,51526,985
2007-11-26$15.86$17.5042.1%12.1%37.8%84.3%42.4%-3.0%-0.6%-220.3K19.2M-111.3K1.2820.60N/AN/A1,7292,21623,55527,022
2007-11-27$15.75$17.5043.3%12.4%37.4%87.2%43.2%-0.3%-2.8%-238.8K20.3M-118.0K0.5919.57N/AN/A80748024,55628,830
2007-11-28$16.78$17.5039.0%11.2%44.5%76.1%41.9%10.6%0.1%-120.5K12.7M-130.3K1.8618.66N/AN/A5551,03025,04327,469
2007-11-29$16.21$17.5042.6%12.2%44.6%85.3%40.2%3.6%-0.2%-169.2K16.2M-117.5K0.3517.09N/AN/A41814725,02927,244
2007-11-30$16.50$17.5038.9%11.1%45.2%75.8%41.6%3.7%0.9%-126.7K13.8M-125.9K2.1022.37N/AN/A14430225,16127,103