AN Options History — March 2008

In March 2008, AN traded between $13.71 and $16.22. ATM implied volatility averaged 48.1%, placing in the 59.3% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 1.3% (HV 20d: 49.4%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 5.25.

Notable Days

  • 2008-03-03: Highest Volume — 15,830 contracts
  • 2008-03-13: Largest IV spike — 40.0% change
  • 2008-03-17: Highest IV Rank — 70.3%
  • 2008-03-17: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.64$13.71$16.22$14.62$14.97
Max Pain$19.38$15.00$20.00$17.50$20.00
ATM IV48.1%33.3%54.9%45.1%49.5%
Expected Move14.1%12.2%15.7%12.9%14.2%
HV 20d49.4%36.4%58.8%43.1%57.0%
HV 60d58.1%55.2%61.4%55.8%61.2%
IV Rank59.3%35.3%70.3%54.5%61.5%
IV Percentile87.5%53.6%95.6%88.1%88.1%
Term Structure0.8%-2.1%4.4%0.4%2.2%
VWIV48.3%42.8%54.3%45.1%45.3%
Skew 25d7.9%1.5%20.3%14.8%20.3%
Skew 10d16.0%-6.0%33.7%24.2%32.9%
Call IV 25d44.9%34.3%52.6%38.2%36.4%
Put IV 25d52.8%36.2%58.2%52.9%56.7%
Bid-Ask Spread %20.249.0127.3022.4018.75
Gamma HHI0.570.410.650.410.63
Net GEX-479.1K-613.4K-269.1K-269.1K-513.0K
Net DEX22.2M15.0M27.7M15.0M20.6M
Net VEX-114.6K-126.5K-77.3K-77.3K-112.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.250.1034.0013.260.42
Total Volume1,396.43515,83015,830593
Total OI51,686.739,09154,04539,09151,228

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-03-03$14.62$17.5045.1%12.9%43.1%54.5%45.1%14.8%0.4%-269.1K15.0M-77.3K13.2622.40N/AN/A1,11014,72014,99924,092
2008-03-04$14.90$17.5045.2%13.0%39.6%54.6%45.2%1.5%-0.9%-519.6K22.4M-126.5K0.429.01N/AN/A1,06044715,80837,363
2008-03-05$14.80$15.0042.4%12.2%36.4%50.1%0.0%1.9%2.4%-486.3K22.7M-126.1K0.109.41N/AN/A4634516,58237,463
2008-03-06$13.88$17.5048.2%13.8%42.8%59.5%48.2%6.5%-2.1%-476.3K26.3M-115.3K1.1821.68N/AN/A829715,85637,464
2008-03-07$14.03$20.0046.6%13.3%43.1%56.9%42.8%4.4%0.8%-496.5K26.3M-116.2K13.8526.65N/AN/A6083115,81937,475
2008-03-10$13.71$20.0050.4%15.5%39.5%63.0%47.7%6.0%0.0%-465.5K27.7M-110.7K1.8121.43N/AN/A20236615,81937,670
2008-03-11$14.51$20.0042.7%12.9%45.3%50.7%44.7%8.5%1.3%-547.5K23.8M-118.6K5.2720.57N/AN/A9047415,87136,884
2008-03-12$13.87$20.0033.3%13.2%47.6%35.3%45.7%4.6%1.3%-511.3K25.6M-111.9K34.0014.65N/AN/A13415,86037,182
2008-03-13$14.07$20.0046.5%13.3%48.0%56.8%52.5%5.1%0.3%-526.5K25.9M-112.2K4.3221.48N/AN/A229515,86036,946
2008-03-14$13.74$20.0054.4%15.6%47.8%69.5%48.5%6.9%-0.4%-445.1K26.9M-108.2K1.2921.02N/AN/A16020715,85937,020
2008-03-17$13.74$20.0054.9%15.7%47.8%70.3%52.7%4.5%-0.9%-383.7K26.4M-108.6K0.5220.93N/AN/A37719715,91636,938
2008-03-18$14.41$20.0047.8%13.7%51.3%58.9%47.9%7.1%1.3%-579.2K24.5M-113.3K4.2827.30N/AN/A6025716,13136,938
2008-03-19$14.56$20.0048.6%13.9%50.6%60.1%48.6%4.0%0.9%-613.4K23.5M-115.9K3.5222.42N/AN/A4816916,15836,710
2008-03-20$15.72$20.0049.2%14.1%57.5%61.1%49.2%8.3%0.0%-423.8K15.4M-121.9K10.6313.84N/AN/A2022,14716,13836,644
2008-03-24$16.22$20.0054.7%15.7%58.3%70.0%54.3%15.0%0.1%-409.9K15.0M-124.7K1.8620.50N/AN/A31458314,63935,467
2008-03-25$15.91$20.0052.1%14.9%58.8%65.8%50.8%11.5%2.1%-429.9K16.2M-122.2K3.3222.64N/AN/A20267014,89835,803
2008-03-26$15.29$20.0051.7%14.8%58.4%65.2%50.3%11.9%1.0%-472.6K19.0M-119.2K3.2222.05N/AN/A15449614,90635,754
2008-03-27$15.27$20.0048.8%14.0%56.7%60.5%48.7%9.6%4.4%-493.9K19.1M-118.0K1.2125.61N/AN/A9912014,94335,757
2008-03-28$14.65$20.0049.7%14.3%57.9%62.0%50.3%6.2%2.5%-519.0K22.6M-113.2K0.5222.52N/AN/A44423015,00535,869
2008-03-31$14.97$20.0049.5%14.2%57.0%61.5%45.3%20.3%2.2%-513.0K20.6M-112.8K0.4218.75N/AN/A41717615,42835,800