AN Options History — August 2008

In August 2008, AN traded between $10.39 and $12.37. ATM implied volatility averaged 61.9%, placing in the 53.4% IV rank vs the trailing year. The 30-day expected move averaged 17.2%. IV traded below realized volatility by 16.7% (HV 20d: 78.5%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 3.37.

Notable Days

  • 2008-08-21: Highest Volume — 4,852 contracts
  • 2008-08-07: Largest IV spike — 60.4% change
  • 2008-08-07: Highest IV Rank — 75.0%
  • 2008-08-01: Largest Expected Move — 20.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.49$10.39$12.37$10.39$11.35
Max Pain$11.19$10.00$12.50$10.00$12.50
ATM IV61.9%48.0%77.0%70.1%56.6%
Expected Move17.2%14.9%20.1%20.1%16.2%
HV 20d78.5%65.6%90.7%85.3%66.5%
HV 60d67.2%61.3%70.7%61.3%70.6%
IV Rank53.4%36.2%75.0%65.8%45.7%
IV Percentile86.6%66.3%96.8%95.2%84.1%
Term Structure-0.4%-7.3%4.2%-7.3%-2.7%
VWIV60.8%52.8%70.1%70.0%65.6%
Skew 25d12.0%-4.1%23.5%23.5%10.6%
Skew 10d20.2%-18.0%68.0%30.1%17.4%
Call IV 25d55.1%43.0%70.0%44.0%55.6%
Put IV 25d67.0%63.2%70.6%67.5%66.2%
Bid-Ask Spread %17.748.6330.638.6318.55
Gamma HHI0.210.160.420.210.17
Net GEX-38.7K-233.1K22.1K-38.2K7.2K
Net DEX-213.0K-5.2M4.0M2.3M1.8M
Net VEX-71.4K-79.8K-61.8K-70.0K-66.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.370.1023.810.270.28
Total Volume1,552.429684,8521,261235
Total OI82,048.76275,00586,79083,97281,417

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-08-01$10.39$10.0070.1%20.1%85.3%65.8%70.0%23.5%-7.3%-38.2K2.3M-70.0K0.278.63N/AN/A99526625,39358,579
2008-08-04$10.45$10.0070.2%18.1%85.3%65.9%58.0%11.5%2.2%-18.8K1.8M-64.7K1.9520.25N/AN/A17033125,74258,593
2008-08-05$11.50$10.0068.6%16.5%90.7%63.8%56.5%7.1%-0.8%-44.0K-1.6M-79.8K1.5311.96N/AN/A64698625,82158,621
2008-08-06$11.39$10.0048.0%16.3%89.4%36.2%66.4%10.5%1.1%-60.8K-532.5K-78.2K6.4825.26N/AN/A12077825,70358,777
2008-08-07$11.09$10.0077.0%19.1%89.6%75.0%58.1%9.9%0.0%-23.6K-813.0K-69.8K2.8730.63N/AN/A18853925,79259,375
2008-08-08$11.87$10.0062.7%17.1%85.8%55.9%59.7%12.4%-1.8%-42.0K-3.4M-74.2K0.3119.48N/AN/A1,56147925,72159,194
2008-08-11$12.16$10.0069.5%17.5%85.5%63.6%63.3%10.8%-2.7%-31.6K-5.2M-79.3K0.4919.36N/AN/A77838426,61959,226
2008-08-12$11.86$10.0074.6%17.0%80.9%70.7%59.5%10.0%0.3%22.1K-5.0M-76.0K7.6023.88N/AN/A4836527,37759,413
2008-08-13$11.44$10.0050.9%16.8%82.5%37.7%59.0%19.2%2.6%20.4K-2.5M-68.8K0.5911.98N/AN/A22613426,61959,483
2008-08-14$11.97$10.0058.6%16.8%80.2%48.4%58.6%12.1%1.9%-56.1K-3.1M-78.7K0.5321.75N/AN/A57130026,53559,326
2008-08-15$12.37$10.0061.0%17.5%76.9%51.7%59.5%13.2%-0.6%-233.1K-4.6M-73.3K7.6418.10N/AN/A4703,59025,87759,339
2008-08-18$11.93$12.5062.8%18.0%79.4%54.3%62.9%3.4%-3.8%-50.9K87.5K-75.5K2.5017.24N/AN/A9132,28122,21152,794
2008-08-19$11.05$12.5068.7%19.7%81.0%62.4%70.1%-4.1%-2.4%-94.8K4.0M-74.7K2.1519.64N/AN/A5961,28123,02754,754
2008-08-20$11.32$12.5062.1%17.8%81.0%53.3%64.6%14.1%-4.6%-108.8K4.0M-75.1K0.2912.28N/AN/A2697923,41155,547
2008-08-21$11.49$12.5054.9%15.7%72.8%43.2%54.7%17.2%4.0%-42.1K2.0M-67.9K2.6512.87N/AN/A1,3303,52223,06954,575
2008-08-22$11.93$12.5052.9%15.2%68.4%40.5%52.8%23.1%4.2%-3.4K39.4K-70.8K1.6916.36N/AN/A1,0271,73224,24554,454
2008-08-25$11.41$12.5056.2%16.1%70.6%45.1%57.0%10.8%0.6%-3.8K1.6M-65.8K0.1014.11N/AN/A62624,46454,197
2008-08-26$11.24$12.5064.6%18.5%65.6%56.8%63.9%11.4%1.5%-11.7K2.4M-61.8K23.8117.95N/AN/A621,47624,16453,882
2008-08-27$11.68$12.5057.6%16.5%65.8%47.1%61.1%10.6%-1.6%-4.4K828.9K-64.3K0.6816.87N/AN/A1,8991,28224,17854,349
2008-08-28$11.48$12.5052.0%14.9%66.3%39.2%55.0%14.4%1.5%6.5K1.4M-65.0K6.4315.37N/AN/A8454025,83955,322
2008-08-29$11.35$12.5056.6%16.2%66.5%45.7%65.6%10.6%-2.7%7.2K1.8M-66.8K0.2818.55N/AN/A1835225,85155,566