AN Options History — January 2008

In January 2008, AN traded between $12.30 and $16.28. ATM implied volatility averaged 51.8%, placing in the 91.9% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 0.9% (HV 20d: 50.9%). Max pain ranged from $12.50 to $20.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 6.11.

Notable Days

  • 2008-01-29: Highest Volume — 8,559 contracts
  • 2008-01-29: Largest IV spike — 21.9% change
  • 2008-01-08: Highest IV Rank — 100.0%
  • 2008-01-29: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.94$12.30$16.28$15.14$16.28
Max Pain$15.24$12.50$20.00$20.00$15.00
ATM IV51.8%38.0%65.8%38.0%57.5%
Expected Move14.8%10.9%18.9%10.9%16.5%
HV 20d50.9%34.8%79.5%36.0%79.5%
HV 60d44.2%36.0%55.9%36.0%55.9%
IV Rank91.9%73.7%100.0%73.7%84.6%
IV Percentile98.7%88.4%100.0%88.4%98.8%
Term Structure-5.0%-13.8%3.7%3.7%-9.3%
VWIV52.5%37.5%65.8%37.5%62.0%
Skew 25d4.6%-17.0%18.0%-10.7%8.0%
Skew 10d10.5%-28.5%37.5%-16.5%20.2%
Call IV 25d49.2%39.2%61.9%45.0%48.2%
Put IV 25d53.8%31.7%73.0%34.3%56.1%
Bid-Ask Spread %20.607.3931.857.7411.44
Gamma HHI0.310.210.460.460.22
Net GEX-163.5K-274.9K-56.6K-274.9K-56.6K
Net DEX18.7M2.0M26.2M23.0M2.0M
Net VEX-63.3K-102.0K-44.6K-66.9K-102.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio6.110.1421.281.174.15
Total Volume1,852.5242218,5592214,993
Total OI44,979.52428,75454,47151,48139,003

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-01-02$15.14$20.0038.0%10.9%36.0%73.7%37.5%-10.7%3.7%-274.9K23.0M-66.9K1.177.74N/AN/A10211925,11126,370
2008-01-03$14.63$20.0040.8%11.7%37.4%80.8%40.7%-17.0%2.0%-249.5K23.9M-64.1K20.597.39N/AN/A661,35925,15326,405
2008-01-04$13.90$17.5043.9%12.4%40.7%88.6%42.8%3.2%-1.7%-211.9K25.7M-59.5K9.8024.69N/AN/A1421,39125,18327,290
2008-01-07$13.80$17.5042.6%12.4%39.1%85.4%48.4%10.1%-1.0%-202.2K25.6M-56.0K10.4014.45N/AN/A4344725,25727,149
2008-01-08$13.18$17.5049.1%14.2%36.4%100.0%48.8%-2.7%-3.4%-165.8K25.9M-45.7K5.5613.58N/AN/A13575125,28527,124
2008-01-09$12.98$15.0053.1%14.6%35.8%100.0%49.8%0.5%-4.0%-156.4K24.8M-47.3K5.7116.78N/AN/A6235425,32626,647
2008-01-10$13.37$15.0049.3%14.1%34.8%91.0%50.1%2.2%-3.0%-166.6K25.2M-48.2K0.9614.20N/AN/A13913325,32926,663
2008-01-11$12.98$15.0049.8%14.3%35.3%92.0%49.3%-4.6%-2.8%-148.8K24.9M-47.0K21.2813.67N/AN/A2044,34225,40126,728
2008-01-14$13.02$15.0049.3%14.1%35.4%90.7%48.4%7.5%-2.8%-180.0K26.2M-52.0K18.5030.06N/AN/A1629625,46928,586
2008-01-15$12.30$15.0050.2%14.4%38.8%93.0%50.8%4.5%-3.6%-158.0K26.0M-44.6K10.6931.59N/AN/A2192,34125,47828,326
2008-01-16$12.38$15.0051.0%14.6%39.2%94.9%51.0%4.2%-3.9%-181.2K24.7M-49.8K0.8031.13N/AN/A33727125,65828,388
2008-01-17$12.33$15.0051.8%14.9%39.2%96.9%51.8%4.3%-5.4%-182.4K24.4M-52.1K3.0631.85N/AN/A9830025,99528,476
2008-01-18$12.50$12.5051.6%14.8%39.6%96.3%51.3%7.5%-4.5%-210.3K24.4M-51.1K0.4630.73N/AN/A35416326,09328,351
2008-01-22$13.32$12.5059.1%16.9%47.0%100.0%52.9%11.7%-7.5%-180.5K13.8M-63.0K0.5025.70N/AN/A9494709,59719,157
2008-01-23$15.47$12.5057.4%16.5%72.4%96.5%60.1%11.4%-9.5%-170.0K10.0M-77.9K1.4521.18N/AN/A2,4973,61210,02619,386
2008-01-24$15.00$12.5054.0%15.5%73.0%89.4%51.0%12.1%-7.4%-106.3K8.9M-75.8K1.9227.16N/AN/A18936211,79218,250
2008-01-25$14.25$12.5054.0%15.5%75.1%89.4%60.8%18.0%-6.8%-118.0K10.4M-72.2K9.2712.60N/AN/A3330611,87518,418
2008-01-28$15.03$15.0054.0%15.5%77.7%89.4%65.8%8.8%-6.8%-112.4K8.9M-76.4K0.9422.23N/AN/A44041511,87118,599
2008-01-29$15.40$15.0065.8%18.9%78.3%100.0%65.6%11.8%-13.8%-106.0K7.7M-82.1K0.9019.73N/AN/A4,5074,05212,23618,971
2008-01-30$15.41$15.0064.6%18.5%78.1%97.7%64.3%6.7%-13.4%-95.9K6.5M-95.5K0.1424.66N/AN/A1,66522916,08122,067
2008-01-31$16.28$15.0057.5%16.5%79.5%84.6%62.0%8.0%-9.3%-56.6K2.0M-102.0K4.1511.44N/AN/A9704,02316,89622,107