AN Options History — February 2008

In February 2008, AN traded between $14.57 and $16.59. ATM implied volatility averaged 51.0%, placing in the 65.2% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 15.8% (HV 20d: 66.8%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 3.60.

Notable Days

  • 2008-02-14: Highest Volume — 3,563 contracts
  • 2008-02-07: Largest IV drop — 27.9% change
  • 2008-02-04: Highest IV Rank — 100.0%
  • 2008-02-01: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.38$14.57$16.59$16.59$14.57
Max Pain$16.75$15.00$17.50$15.00$17.50
ATM IV51.0%39.8%73.3%54.8%39.8%
Expected Move13.3%11.4%15.7%15.7%11.4%
HV 20d66.8%43.9%80.8%78.4%43.9%
HV 60d56.5%55.1%58.0%55.9%55.8%
IV Rank65.2%46.0%100.0%79.7%46.0%
IV Percentile90.8%78.6%100.0%98.0%78.6%
Term Structure-1.1%-9.5%2.4%-9.5%2.4%
VWIV46.6%32.8%63.3%56.6%38.1%
Skew 25d7.7%-5.5%12.9%7.2%-4.0%
Skew 10d10.7%-12.1%31.8%18.8%-3.5%
Call IV 25d41.7%25.1%61.2%45.7%35.0%
Put IV 25d49.3%30.9%73.1%52.9%30.9%
Bid-Ask Spread %18.568.0331.8710.619.45
Gamma HHI0.360.230.730.230.42
Net GEX-258.0K-1.0M-46.3K-46.3K-281.5K
Net DEX9.2M321.8K15.4M321.8K15.4M
Net VEX-88.0K-106.8K-74.4K-106.8K-74.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.600.2715.710.561.02
Total Volume1,007.251033,563476666
Total OI40,682.437,05146,63441,32538,636

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-02-01$16.59$15.0054.8%15.7%78.4%79.7%56.6%7.2%-9.5%-46.3K321.8K-106.8K0.5610.61N/AN/A30517117,68523,640
2008-02-04$15.68$15.0066.6%15.4%78.9%100.0%62.5%11.8%-4.2%-68.9K5.3M-97.1K2.8212.17N/AN/A4131,16617,75222,804
2008-02-05$14.99$15.0071.0%14.9%80.8%100.0%51.6%9.4%-2.7%-118.0K8.8M-91.9K1.9821.47N/AN/A15831317,94423,421
2008-02-06$14.92$15.0073.3%15.0%78.7%100.0%63.3%9.3%-3.8%-118.2K8.9M-91.5K1.0424.56N/AN/A78681818,00423,612
2008-02-07$14.81$15.0052.8%13.7%78.5%66.9%50.4%10.5%-2.0%-155.1K10.8M-85.3K4.1420.31N/AN/A4421,83118,12723,863
2008-02-08$15.51$15.0056.7%13.4%79.4%73.2%46.3%7.3%-1.0%-126.5K6.0M-94.9K2.4218.74N/AN/A6211,50418,29124,270
2008-02-11$15.60$17.5056.6%13.9%78.2%73.0%46.1%11.8%-0.9%-191.3K7.0M-91.2K4.6217.85N/AN/A4392,03018,19125,534
2008-02-12$15.52$17.5054.7%13.8%78.3%69.9%45.7%6.7%-0.9%-320.8K7.3M-93.1K0.9718.29N/AN/A16015518,39326,766
2008-02-13$15.62$17.5055.2%13.9%74.4%70.8%48.6%9.0%-2.5%-321.1K6.2M-94.0K3.9021.20N/AN/A218218,40126,686
2008-02-14$15.20$17.5049.3%14.1%75.7%61.2%49.1%10.3%-0.5%-481.9K9.3M-88.2K11.4619.38N/AN/A2863,27718,39926,636
2008-02-15$15.10$17.5047.7%13.7%75.7%58.7%48.3%8.8%-0.3%-1.0M10.3M-90.3K7.1523.67N/AN/A13898718,27528,359
2008-02-19$15.15$17.5046.1%13.2%75.8%56.1%38.9%8.8%-0.6%-230.8K11.6M-84.9K0.2731.87N/AN/A2807614,16422,887
2008-02-20$15.50$17.5044.2%12.7%73.3%53.1%42.8%8.7%0.4%-224.9K10.5M-87.0K2.5127.31N/AN/A6516314,39822,923
2008-02-21$15.20$17.5043.9%12.6%51.0%52.5%32.8%-5.5%-0.3%-234.8K11.5M-83.5K1.3821.53N/AN/A13118114,46322,962
2008-02-22$15.46$17.5042.2%12.1%50.1%49.7%42.2%12.9%1.8%-236.3K11.0M-83.1K0.608.03N/AN/A1006014,41622,964
2008-02-25$15.44$17.5041.7%12.0%46.1%49.0%41.7%12.3%1.4%-239.5K11.5M-80.1K7.6711.29N/AN/A3929914,39822,984
2008-02-26$16.11$17.5041.7%11.9%44.7%48.9%0.0%6.3%-0.4%-218.6K8.1M-84.2K0.4019.64N/AN/A1706814,42122,944
2008-02-27$15.48$17.5040.7%11.7%46.5%47.4%40.7%7.2%0.2%-250.4K11.1M-79.7K15.7124.02N/AN/A751,17814,54422,932
2008-02-28$15.09$17.5040.5%11.6%47.4%47.0%40.5%4.5%0.5%-286.4K13.4M-79.2K1.299.79N/AN/A21427714,55424,005
2008-02-29$14.57$17.5039.8%11.4%43.9%46.0%38.1%-4.0%2.4%-281.5K15.4M-74.4K1.029.45N/AN/A33033614,70323,933