AN Options History — June 2008

In June 2008, AN traded between $10.02 and $15.47. ATM implied volatility averaged 43.0%, placing in the 46.0% IV rank vs the trailing year. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 6.5% (HV 20d: 36.5%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 5.93.

Notable Days

  • 2008-06-18: Highest Volume — 11,423 contracts
  • 2008-06-11: Largest IV spike — 114.1% change
  • 2008-06-30: Highest IV Rank — 64.2%
  • 2008-06-30: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.13$10.02$15.47$15.34$10.02
Max Pain$15.48$15.00$17.50$17.50$15.00
ATM IV43.0%24.1%53.3%41.1%53.3%
Expected Move12.2%10.5%15.3%11.8%15.3%
HV 20d36.5%29.5%43.9%30.0%43.9%
HV 60d41.2%38.6%43.3%43.3%40.6%
IV Rank46.0%11.8%64.2%43.5%64.2%
IV Percentile65.5%14.3%91.3%64.7%91.3%
Term Structure1.0%-2.9%5.1%-1.3%2.2%
VWIV41.3%24.5%53.5%38.5%53.5%
Skew 25d7.4%-3.7%23.0%-3.7%7.5%
Skew 10d12.3%-7.8%35.4%-7.0%10.4%
Call IV 25d37.3%26.3%54.0%42.6%41.1%
Put IV 25d44.7%35.0%55.5%38.9%48.6%
Bid-Ask Spread %12.595.7525.3411.096.74
Gamma HHI0.530.340.710.670.34
Net GEX-485.6K-735.0K-114.9K-564.9K-114.9K
Net DEX20.8M9.2M34.7M10.1M21.2M
Net VEX-77.3K-112.1K-38.3K-79.8K-38.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.930.1738.251.0211.78
Total Volume2,198.28615111,4234381,431
Total OI48,149.1938,96358,33638,98545,576

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-06-02$15.34$17.5041.1%11.8%30.0%43.5%38.5%-3.7%-1.3%-564.9K10.1M-79.8K1.0211.09N/AN/A21722111,92427,061
2008-06-03$15.31$17.5041.5%11.9%30.0%44.2%41.5%8.7%-2.5%-556.3K10.1M-80.3K1.9510.05N/AN/A5131,00012,04126,922
2008-06-04$15.32$17.5039.9%11.4%30.0%41.5%39.9%7.9%-2.9%-619.3K10.4M-78.9K0.9113.07N/AN/A5,5145,00512,51827,422
2008-06-05$15.47$17.5036.5%10.5%29.5%35.5%36.5%15.9%-1.9%-601.3K9.2M-112.1K0.5416.43N/AN/A45224517,56432,424
2008-06-06$14.45$15.0041.8%10.6%37.7%44.7%37.1%13.1%3.5%-625.2K16.8M-104.6K21.2311.71N/AN/A1172,48417,45232,568
2008-06-09$14.10$15.0044.8%10.7%38.1%50.1%37.9%10.9%0.9%-689.1K21.9M-100.4K0.1712.40N/AN/A1,29821517,43634,633
2008-06-10$13.96$15.0024.1%10.9%34.1%11.8%39.5%11.0%0.0%-693.8K22.7M-95.7K1.1614.24N/AN/A29634217,27834,595
2008-06-11$13.59$15.0051.7%12.8%34.7%61.3%42.0%4.3%-0.2%-620.9K24.9M-90.3K8.1412.28N/AN/A6653717,34934,729
2008-06-12$13.72$15.0045.8%13.1%33.6%50.6%44.4%7.1%-0.1%-570.5K24.5M-89.6K13.8712.77N/AN/A1892,62117,32834,683
2008-06-13$13.91$15.0036.9%10.6%34.1%34.6%0.0%10.2%1.9%-645.6K24.4M-100.3K0.7614.90N/AN/A866517,36137,016
2008-06-16$13.98$15.0038.9%11.2%33.5%38.3%41.6%8.6%0.1%-665.7K23.9M-99.4K0.8013.70N/AN/A18114517,38137,016
2008-06-17$13.52$15.0041.4%11.9%34.7%42.9%34.6%2.4%1.5%-588.5K26.9M-89.1K3.2719.56N/AN/A27088217,39136,846
2008-06-18$12.80$15.0045.9%13.2%38.1%50.9%24.5%23.0%-0.8%-564.5K30.0M-76.9K38.255.75N/AN/A29111,13217,42236,635
2008-06-19$12.71$15.0043.8%12.5%37.5%47.0%43.5%8.7%0.2%-735.0K34.7M-76.8K4.388.06N/AN/A2321,01517,59840,738
2008-06-20$11.97$15.0043.7%12.5%40.7%47.0%42.8%-3.5%1.8%-330.9K22.7M-60.4K2.949.41N/AN/A3711,09017,61728,055
2008-06-23$11.64$15.0040.8%11.7%41.1%41.6%40.8%12.0%4.5%-247.4K20.2M-55.6K0.2714.79N/AN/A77320616,99725,267
2008-06-24$11.30$15.0043.2%12.4%38.3%46.0%41.8%3.0%3.6%-216.5K20.4M-49.7K1.0325.34N/AN/A48550117,61224,942
2008-06-25$11.50$15.0044.8%12.8%40.1%48.8%44.0%10.7%1.9%-227.0K19.6M-54.9K4.0817.08N/AN/A8423,43818,05225,158
2008-06-26$10.71$15.0050.5%14.5%43.6%59.2%49.9%1.8%5.1%-176.2K21.5M-46.7K6.387.24N/AN/A15297018,76926,494
2008-06-27$10.44$15.0052.0%14.9%43.4%61.8%52.0%-3.7%2.8%-143.3K21.5M-43.2K1.567.83N/AN/A10716718,76926,494
2008-06-30$10.02$15.0053.3%15.3%43.9%64.2%53.5%7.5%2.2%-114.9K21.2M-38.3K11.786.74N/AN/A1121,31918,90626,670