AN Options History — July 2008

In July 2008, AN traded between $7.57 and $10.43. ATM implied volatility averaged 69.3%, placing in the 73.3% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded above realized volatility by 7.1% (HV 20d: 62.2%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 7.59.

Notable Days

  • 2008-07-15: Highest Volume — 41,713 contracts
  • 2008-07-10: Largest IV spike — 98.3% change
  • 2008-07-14: Highest IV Rank — 100.0%
  • 2008-07-15: Largest Expected Move — 27.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.11$7.57$10.43$9.92$10.32
Max Pain$10.80$10.00$15.00$15.00$10.00
ATM IV69.3%28.6%95.7%56.5%68.0%
Expected Move20.5%15.2%27.4%16.2%19.5%
HV 20d62.2%40.8%89.7%43.5%87.7%
HV 60d49.5%40.6%61.3%40.6%61.3%
IV Rank73.3%18.5%100.0%69.6%62.9%
IV Percentile90.2%11.9%100.0%96.0%93.7%
Term Structure-8.7%-20.0%3.8%-0.6%-3.1%
VWIV70.0%52.3%95.6%56.5%67.3%
Skew 25d15.1%-9.9%38.1%8.2%30.7%
Skew 10d32.0%-11.2%66.5%13.4%50.7%
Call IV 25d62.6%45.1%85.7%45.2%48.8%
Put IV 25d77.7%43.0%107.9%53.4%79.5%
Bid-Ask Spread %15.867.5129.307.8020.44
Gamma HHI0.290.200.370.340.30
Net GEX-102.2K-198.2K-32.4K-121.1K-80.1K
Net DEX15.0M4.0M21.8M21.8M4.0M
Net VEX-52.3K-82.1K-23.5K-37.3K-78.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio7.590.1890.101.620.18
Total Volume4,444.72717341,7133,000950
Total OI67,834.86446,61193,29746,70283,547

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-07-01$9.92$15.0056.5%16.2%43.5%69.6%56.5%8.2%-0.6%-121.1K21.8M-37.3K1.627.80N/AN/A1,1461,85418,99527,707
2008-07-02$9.44$15.0054.4%15.6%43.8%66.0%54.5%-7.8%0.4%-76.8K20.2M-35.3K0.927.51N/AN/A1,2831,18119,87826,733
2008-07-03$8.98$15.0053.0%15.2%42.7%63.4%52.3%-9.9%3.8%-75.1K20.3M-31.0K0.5317.23N/AN/A31216420,02827,165
2008-07-07$8.97$12.5060.5%17.1%40.8%76.7%59.6%15.7%-8.0%-74.8K19.8M-30.9K2.0517.28N/AN/A33167820,25026,821
2008-07-08$9.22$10.0028.6%16.3%44.7%18.5%58.2%22.5%-7.1%-72.2K20.1M-31.5K0.3417.15N/AN/A68823420,51926,926
2008-07-09$8.90$10.0036.4%17.0%44.7%32.8%59.4%14.3%-9.1%-52.6K19.6M-29.6K2.6714.41N/AN/A21356821,12326,866
2008-07-10$8.70$10.0072.3%20.7%44.7%98.2%59.3%11.7%-11.6%-52.2K19.3M-29.7K90.1015.30N/AN/A201,80221,27727,100
2008-07-11$8.09$10.0069.4%19.9%46.4%92.7%70.6%-1.7%-9.7%-48.6K17.7M-24.7K1.3614.84N/AN/A53973421,29725,893
2008-07-14$8.10$10.0077.8%22.3%45.2%100.0%75.3%8.2%-11.8%-38.7K17.2M-23.5K1.7117.46N/AN/A48483021,68725,548
2008-07-15$7.57$10.0095.7%27.4%45.7%100.0%95.6%28.3%-20.0%-42.0K15.9M-26.3K42.5021.88N/AN/A95940,75422,14025,862
2008-07-16$8.00$10.0088.8%25.5%54.9%90.8%88.5%26.0%-14.6%-198.2K20.9M-61.1K2.8118.30N/AN/A7972,24322,72264,390
2008-07-17$8.64$10.0088.2%25.3%64.9%89.9%83.4%21.6%-19.9%-184.3K20.3M-61.2K2.1712.94N/AN/A8401,82123,31165,491
2008-07-18$8.25$10.0084.8%24.3%65.3%85.4%81.2%20.0%-13.4%-185.7K20.3M-61.4K3.9029.30N/AN/A4001,55923,91065,210
2008-07-21$8.36$10.0082.3%23.6%64.8%82.1%80.3%10.7%-10.6%-193.0K13.4M-59.9K0.9715.46N/AN/A888517,77658,138
2008-07-22$9.17$10.0080.4%23.0%75.5%79.5%83.0%8.6%-20.0%-175.8K12.3M-63.4K0.2222.64N/AN/A6,2931,39717,79958,212
2008-07-23$9.39$10.0082.3%23.6%76.3%82.1%84.0%10.0%-17.3%-93.7K7.9M-75.0K0.6812.77N/AN/A2,5771,74723,17858,455
2008-07-24$10.43$10.0069.8%20.0%86.0%65.4%70.2%9.6%-5.7%-32.4K4.2M-81.1K3.2215.98N/AN/A3,55711,45124,45659,004
2008-07-25$9.75$10.0065.0%18.6%85.7%59.0%65.1%11.7%1.0%-154.3K13.9M-82.1K1.4412.70N/AN/A1,6222,33624,65268,645
2008-07-28$9.62$10.0069.4%19.9%85.4%64.9%72.2%21.8%-2.9%-142.3K10.9M-81.3K1.118.98N/AN/A19521624,64863,476
2008-07-29$10.43$10.0069.6%20.0%89.2%65.2%60.9%38.1%-4.1%-70.2K6.9M-70.7K1.4319.82N/AN/A7421,06124,78263,416
2008-07-30$10.17$10.0071.7%20.6%89.7%68.0%62.3%34.1%-6.4%-84.4K4.0M-75.6K5.158.63N/AN/A16886525,11558,219
2008-07-31$10.32$10.0068.0%19.5%87.7%62.9%67.3%30.7%-3.1%-80.1K4.0M-78.8K0.1820.44N/AN/A80414625,04758,500