AN Options History — April 2008

In April 2008, AN traded between $14.77 and $16.29. ATM implied volatility averaged 50.4%, placing in the 62.3% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 0.9% (HV 20d: 49.5%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 7.48.

Notable Days

  • 2008-04-23: Highest Volume — 10,090 contracts
  • 2008-04-24: Largest IV drop — 24.3% change
  • 2008-04-23: Highest IV Rank — 68.7%
  • 2008-04-07: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.51$14.77$16.29$15.89$16.01
Max Pain$15.68$15.00$20.00$20.00$15.00
ATM IV50.4%41.1%54.3%51.3%47.4%
Expected Move14.5%11.8%15.6%14.7%13.6%
HV 20d49.5%33.4%62.2%60.7%33.4%
HV 60d55.5%45.6%62.0%62.0%45.6%
IV Rank62.3%47.0%68.7%64.4%56.4%
IV Percentile86.2%69.4%93.7%90.1%77.0%
Term Structure-3.3%-8.3%5.3%3.6%-3.4%
VWIV50.3%36.3%63.9%48.5%36.3%
Skew 25d9.1%3.9%13.4%5.7%8.3%
Skew 10d17.5%2.5%34.0%4.6%9.1%
Call IV 25d45.7%37.3%53.6%44.1%38.9%
Put IV 25d54.8%46.6%61.9%49.8%47.2%
Bid-Ask Spread %18.3211.6928.7511.7721.85
Gamma HHI0.590.440.790.570.49
Net GEX-519.9K-980.8K-313.7K-434.0K-407.3K
Net DEX14.0M5.4M21.3M16.2M5.9M
Net VEX-105.8K-119.5K-96.9K-115.6K-103.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.480.1385.241.861.10
Total Volume1,029.0917210,090635309
Total OI47,653.68233,04252,68451,62845,140

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-04-01$15.89$20.0051.3%14.7%60.7%64.4%48.5%5.7%3.6%-434.0K16.2M-115.6K1.8611.77N/AN/A22241315,76735,861
2008-04-02$16.29$20.0041.5%11.9%60.9%48.7%53.1%9.4%5.3%-371.2K13.6M-119.5K4.2414.46N/AN/A14963215,98036,106
2008-04-03$15.77$20.0051.2%14.7%62.2%64.3%41.4%3.9%2.2%-475.2K16.6M-116.7K2.7919.10N/AN/A195316,11336,433
2008-04-04$15.95$15.0053.3%15.4%56.9%67.0%0.0%11.0%-5.3%-444.1K15.7M-114.9K0.3722.28N/AN/A1535716,11836,435
2008-04-07$15.86$15.0052.4%15.6%57.1%65.5%54.4%9.8%-5.0%-460.4K15.9M-113.9K0.2722.25N/AN/A671816,22536,379
2008-04-08$15.48$15.0052.6%15.2%57.2%65.9%53.2%9.3%-4.9%-546.1K18.2M-111.9K6.8816.79N/AN/A1611016,20636,387
2008-04-09$14.95$15.0051.7%15.3%55.6%64.4%57.2%4.6%-4.8%-605.5K21.0M-107.2K6.0917.31N/AN/A3320116,20036,390
2008-04-10$15.20$15.0052.1%14.9%53.0%65.1%52.5%8.0%-3.6%-643.0K20.2M-107.0K28.1717.61N/AN/A2467616,20236,482
2008-04-11$14.95$15.0052.6%15.1%53.4%66.0%52.9%9.0%-3.8%-683.5K21.3M-105.9K2.9115.78N/AN/A12235516,19036,434
2008-04-14$14.77$15.0053.7%15.4%52.8%67.8%61.5%5.8%-5.3%-654.1K20.2M-100.4K1.0415.09N/AN/A21021916,12334,482
2008-04-15$14.79$15.0053.2%15.2%52.8%66.8%48.0%10.1%-4.9%-688.6K19.8M-100.3K9.2217.44N/AN/A98316,30734,493
2008-04-16$15.15$15.0053.4%15.3%50.8%67.3%53.1%8.8%-5.1%-826.4K17.4M-101.4K0.1317.09N/AN/A2473116,30034,485
2008-04-17$15.20$15.0052.6%15.1%50.7%65.9%52.7%10.3%-5.1%-980.8K16.7M-100.1K1.6016.54N/AN/A38461616,20734,516
2008-04-18$15.70$15.0050.9%14.6%44.1%63.1%49.9%10.1%-4.3%-414.8K12.2M-100.3K1.7612.18N/AN/A32356816,54234,930
2008-04-21$15.81$15.0052.3%15.0%42.6%65.4%46.0%11.4%-8.3%-313.7K7.0M-99.3K0.9311.69N/AN/A2582419,54123,501
2008-04-22$15.16$15.0051.4%14.7%44.6%63.9%53.0%11.8%-5.5%-325.4K9.5M-97.2K3.0315.03N/AN/A2367169,54123,501
2008-04-23$15.11$15.0054.3%15.6%42.4%68.7%63.9%13.4%-5.4%-344.1K10.2M-96.9K85.2424.62N/AN/A1179,9739,73524,016
2008-04-24$15.53$15.0041.1%11.8%43.5%47.0%41.0%7.2%2.4%-531.8K9.8M-102.9K0.1523.55N/AN/A2,8074199,77932,824
2008-04-25$15.70$15.0046.2%13.2%40.6%55.3%46.2%13.2%-3.5%-465.1K8.1M-106.7K1.1428.75N/AN/A47354111,56132,985
2008-04-28$15.96$15.0046.6%13.4%40.4%56.0%44.2%9.2%-4.2%-420.2K5.9M-103.8K3.0619.45N/AN/A4915011,66633,300
2008-04-29$16.10$15.0047.1%13.5%34.5%55.8%47.1%9.4%-3.9%-401.5K5.4M-102.5K2.6322.51N/AN/A9424711,69133,307
2008-04-30$16.01$15.0047.4%13.6%33.4%56.4%36.3%8.3%-3.4%-407.3K5.9M-103.8K1.1021.85N/AN/A14716211,71333,427