AN Options History — December 2007

In December 2007, AN traded between $14.94 and $17.42. ATM implied volatility averaged 38.4%, placing in the 74.6% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded below realized volatility by 5.7% (HV 20d: 44.1%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 3.40.

Notable Days

  • 2007-12-18: Highest Volume — 3,977 contracts
  • 2007-12-12: Largest IV spike — 30.8% change
  • 2007-12-12: Highest IV Rank — 85.9%
  • 2007-12-17: Largest Expected Move — 11.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.83$14.94$17.42$16.44$15.66
Max Pain$19.50$17.50$20.00$17.50$20.00
ATM IV38.4%32.7%42.8%39.5%38.3%
Expected Move11.1%10.4%11.8%11.3%11.0%
HV 20d44.1%34.3%50.8%44.8%34.3%
HV 60d36.0%35.2%38.2%35.3%36.1%
IV Rank74.6%60.1%85.9%77.3%74.3%
IV Percentile90.5%75.5%99.2%95.7%90.8%
Term Structure1.5%-0.6%4.5%-0.0%2.3%
VWIV39.4%35.4%44.5%44.5%38.0%
Skew 25d2.8%-3.2%13.5%3.6%-1.9%
Skew 10d3.9%-10.9%26.8%8.9%-1.3%
Call IV 25d38.6%34.4%43.3%39.3%40.2%
Put IV 25d41.4%34.5%53.6%42.9%38.2%
Bid-Ask Spread %18.515.7125.3823.6018.97
Gamma HHI0.410.260.510.370.38
Net GEX-226.0K-282.0K-42.5K-178.4K-267.9K
Net DEX19.2M9.0M23.6M16.2M20.4M
Net VEX-92.1K-128.2K-70.5K-115.0K-78.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.400.0229.931.194.00
Total Volume615.6883,977327125
Total OI52,086.951,03252,74452,33651,422

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-12-03$16.44$17.5039.5%11.3%44.8%77.3%0.0%3.6%-0.0%-178.4K16.2M-115.0K1.1923.60N/AN/A14917825,16627,170
2007-12-04$16.49$17.5037.9%10.9%44.3%73.3%0.0%6.0%1.6%-173.3K15.9M-114.7K0.6422.36N/AN/A29718925,21627,298
2007-12-05$16.36$17.5036.2%10.4%44.2%69.0%44.5%6.5%2.0%-188.2K16.6M-113.3K0.9124.74N/AN/A19017225,28027,269
2007-12-06$16.73$17.5036.5%10.5%43.8%69.8%36.7%9.6%1.2%-145.1K14.1M-117.1K29.9325.38N/AN/A1441925,33727,241
2007-12-07$17.42$20.0036.1%10.9%45.0%68.9%38.7%3.0%-0.6%-42.5K9.0M-128.2K0.9820.17N/AN/A22321825,35127,326
2007-12-10$16.87$20.0036.4%10.7%46.6%69.4%40.9%3.3%-0.4%-145.4K13.7M-114.2K0.8322.03N/AN/A14412025,28727,378
2007-12-11$15.93$20.0032.7%11.7%50.8%60.1%40.0%2.5%0.0%-241.4K18.9M-98.7K2.8320.13N/AN/A12635625,36027,384
2007-12-12$15.96$20.0042.8%11.4%47.4%85.9%39.5%1.5%0.8%-248.7K19.6M-96.2K1.1218.64N/AN/A576425,37327,282
2007-12-13$15.63$20.0040.3%11.5%47.3%79.5%40.6%13.5%0.7%-282.0K21.5M-89.2K6.1021.71N/AN/A1921,17225,37427,290
2007-12-14$15.20$20.0039.8%11.4%47.9%78.3%40.4%-1.2%0.8%-243.4K21.5M-83.1K1.0618.93N/AN/A22724025,19626,613
2007-12-17$15.15$20.0041.0%11.8%47.7%81.4%41.0%1.4%1.5%-257.7K21.8M-82.0K0.9012.68N/AN/A42538125,25726,455
2007-12-18$14.94$20.0040.9%11.7%45.1%81.1%40.8%0.5%1.2%-262.3K23.6M-70.5K3.1711.45N/AN/A9543,02325,34526,335
2007-12-19$15.05$20.0040.6%11.6%45.2%80.3%40.4%5.6%1.5%-250.7K22.2M-76.4K6.4323.84N/AN/A1981,27325,62626,148
2007-12-20$15.18$20.0039.5%11.3%45.4%77.4%39.6%6.5%1.3%-273.4K22.4M-74.6K0.3623.87N/AN/A1525525,65826,963
2007-12-21$15.48$20.0038.1%10.9%44.4%74.0%38.6%-0.9%2.9%-257.0K21.3M-79.7K1.3314.92N/AN/A435725,74126,972
2007-12-24$15.67$20.0038.1%10.9%43.4%73.8%38.0%0.4%1.4%-255.5K20.8M-81.6K0.0216.93N/AN/A122324,71426,319
2007-12-26$15.63$20.0037.8%10.8%43.3%73.1%37.4%0.5%3.9%-265.7K20.8M-78.6K1.2618.26N/AN/A577224,71426,318
2007-12-27$15.41$20.0038.1%10.9%36.4%74.0%38.1%-1.6%3.2%-268.5K21.8M-74.0K0.175.91N/AN/A4607724,71126,360
2007-12-28$15.47$20.0036.6%10.5%34.6%70.2%35.4%-3.2%4.5%-272.5K21.1M-77.6K4.875.71N/AN/A157325,10426,385
2007-12-31$15.66$20.0038.3%11.0%34.3%74.3%38.0%-1.9%2.3%-267.9K20.4M-78.0K4.0018.97N/AN/A2510025,09626,326