AN Options History — May 2008

In May 2008, AN traded between $15.51 and $17.00. ATM implied volatility averaged 37.8%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 0.9% (HV 20d: 36.8%). Max pain ranged from $15.00 to $20.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 2.08.

Notable Days

  • 2008-05-01: Highest Volume — 1,956 contracts
  • 2008-05-15: Largest IV spike — 46.3% change
  • 2008-05-08: Highest IV Rank — 61.9%
  • 2008-05-29: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.24$15.51$17.00$17.00$15.79
Max Pain$17.98$15.00$20.00$15.00$17.50
ATM IV37.8%23.8%51.2%34.8%39.1%
Expected Move10.9%9.7%12.2%10.0%11.2%
HV 20d36.8%29.7%38.9%37.6%29.7%
HV 60d45.9%44.9%46.6%46.3%44.9%
IV Rank38.8%14.8%61.9%35.0%40.0%
IV Percentile53.1%20.6%84.1%44.0%56.3%
Term Structure0.7%-2.7%2.7%0.2%0.2%
VWIV36.5%23.4%43.4%34.7%38.8%
Skew 25d8.5%0.1%13.7%11.7%1.1%
Skew 10d14.3%-3.5%30.2%19.1%-3.5%
Call IV 25d32.7%27.5%37.2%31.4%37.2%
Put IV 25d41.3%36.7%44.1%43.1%38.2%
Bid-Ask Spread %18.167.9427.328.3427.32
Gamma HHI0.590.530.660.530.65
Net GEX-414.8K-504.4K-317.1K-328.3K-497.6K
Net DEX4.1M-1.3M9.6M-483.2K7.3M
Net VEX-92.4K-105.4K-72.8K-97.2K-85.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.080.108.300.374.03
Total Volume449.667351,9561,956161
Total OI42,939.04837,31748,05945,27138,887

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-05-01$17.00$15.0034.8%10.0%37.6%35.0%34.7%11.7%0.2%-328.3K-483.2K-97.2K0.378.34N/AN/A1,42952711,75133,520
2008-05-02$16.57$15.0033.7%9.7%38.9%33.2%33.6%13.7%1.2%-344.6K1.7M-105.4K0.2117.64N/AN/A1262613,00133,667
2008-05-05$16.60$17.5034.3%9.9%38.8%34.2%0.0%13.6%2.7%-340.8K1.1M-99.5K0.7422.32N/AN/A272013,05633,673
2008-05-06$16.47$17.5035.6%10.0%37.8%36.4%43.4%12.4%1.9%-359.0K2.2M-101.2K0.3823.29N/AN/A1967513,05733,653
2008-05-07$16.12$17.5048.5%12.1%36.2%57.3%42.3%9.7%0.1%-382.0K3.9M-100.5K8.3022.82N/AN/A1311,08713,22133,643
2008-05-08$15.94$17.5051.2%12.0%36.3%61.9%41.9%7.1%-0.2%-458.0K5.8M-100.5K2.9122.45N/AN/A329313,32134,652
2008-05-09$16.03$17.5045.3%11.8%35.6%51.8%0.0%8.0%0.2%-417.9K4.5M-98.9K1.6922.73N/AN/A132213,34834,105
2008-05-12$16.67$17.5032.2%10.1%37.2%29.3%35.3%12.5%1.5%-339.9K473.9K-72.8K1.0312.65N/AN/A29309,73731,261
2008-05-13$16.52$17.5024.2%10.0%37.6%15.6%0.0%11.1%2.1%-374.9K434.9K-93.9K0.2513.04N/AN/A2556513,36234,107
2008-05-14$16.86$17.5023.8%10.0%37.4%14.8%23.4%12.4%2.1%-323.3K-904.6K-93.5K6.8510.90N/AN/A4027413,45934,140
2008-05-15$16.99$17.5034.8%10.0%37.4%33.8%30.8%13.1%1.7%-317.1K-1.3M-91.4K7.1414.31N/AN/A3625713,47134,376
2008-05-16$16.46$20.0034.3%9.8%38.2%32.9%34.6%11.1%2.2%-399.6K1.5M-92.7K1.2913.64N/AN/A16821713,45034,609
2008-05-19$16.37$20.0033.8%9.7%38.2%32.0%35.6%7.2%1.6%-425.3K5.3M-90.0K0.6417.90N/AN/A503210,57726,740
2008-05-20$16.08$20.0041.3%11.8%35.4%44.9%40.2%6.9%-0.4%-450.5K6.7M-89.4K1.4113.68N/AN/A588210,61326,740
2008-05-21$15.60$20.0041.4%11.9%37.3%44.2%35.6%3.1%0.4%-500.6K9.5M-88.9K2.2520.92N/AN/A13430110,63826,750
2008-05-22$15.72$20.0040.6%11.6%36.1%42.6%34.5%4.3%0.6%-488.3K8.8M-89.5K0.3022.27N/AN/A37911410,74327,026
2008-05-23$15.51$20.0040.2%11.5%36.3%42.0%34.7%0.1%0.1%-504.4K9.6M-88.4K2.3721.40N/AN/A28066411,00827,110
2008-05-27$15.94$17.5040.9%11.7%37.1%43.3%35.7%6.5%-0.1%-492.1K7.2M-87.0K0.9024.50N/AN/A71664511,12526,803
2008-05-28$15.80$17.5040.5%11.6%37.1%42.6%40.5%5.6%-0.2%-497.2K7.4M-86.9K0.4721.32N/AN/A37217411,67126,831
2008-05-29$15.93$17.5042.4%12.2%37.2%45.9%42.4%8.4%-2.7%-469.1K6.3M-87.2K0.107.94N/AN/A961011,83726,981
2008-05-30$15.79$17.5039.1%11.2%29.7%40.0%38.8%1.1%0.2%-497.6K7.3M-85.5K4.0327.32N/AN/A3212911,90326,984