AN Options History — September 2008

In September 2008, AN traded between $10.75 and $13.33. ATM implied volatility averaged 70.5%, placing in the 59.6% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded below realized volatility by 2.8% (HV 20d: 73.3%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 7 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 19.64.

Notable Days

  • 2008-09-08: Highest Volume — 5,161 contracts
  • 2008-09-19: Largest IV spike — 58.6% change
  • 2008-09-19: Highest IV Rank — 100.0%
  • 2008-09-19: Largest Expected Move — 31.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.48$10.75$13.33$12.02$11.24
Max Pain$12.50$12.50$12.50$12.50$12.50
ATM IV70.5%49.6%110.3%49.6%89.9%
Expected Move20.1%14.2%31.6%14.2%25.8%
HV 20d73.3%63.0%102.4%69.2%101.5%
HV 60d75.5%70.5%85.2%70.5%85.2%
IV Rank59.6%35.8%100.0%35.8%76.4%
IV Percentile89.1%63.9%100.0%63.9%99.2%
Term Structure-4.0%-55.8%28.1%4.6%-4.9%
VWIV64.2%47.5%86.4%49.6%86.4%
Skew 25d15.0%1.8%30.2%19.2%26.1%
Skew 10d30.4%-33.1%54.0%31.6%-0.8%
Call IV 25d62.4%37.6%79.4%43.3%68.0%
Put IV 25d77.3%62.5%94.1%62.5%94.1%
Bid-Ask Spread %39.3513.02107.7619.3792.78
Gamma HHI0.210.170.330.180.33
Net GEX-7.1K-118.9K113.5K15.4K-118.9K
Net DEX-2.1M-11.6M5.2M-883.0K5.2M
Net VEX-73.7K-79.9K-65.7K-65.7K-67.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio19.640.06308.070.106.93
Total Volume1,804.19205,1612,3373,790
Total OI83,754.47677,55588,67981,57881,671

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-09-02$12.02$12.5049.6%14.2%69.2%35.8%49.6%19.2%4.6%15.4K-883.0K-65.7K0.1019.37N/AN/A2,11821925,98155,597
2008-09-03$12.64$12.5054.1%15.5%63.0%42.2%52.0%30.2%1.2%58.1K-4.7M-70.6K9.8621.28N/AN/A2702,66127,02055,670
2008-09-04$12.14$12.5051.6%14.8%64.9%38.7%51.6%11.2%5.9%27.3K-1.3M-74.2K6.8624.40N/AN/A1991,36627,17057,737
2008-09-05$12.28$12.5051.4%17.1%63.9%38.4%55.8%13.6%-2.7%30.6K-1.5M-76.4K1.7413.02N/AN/A22038227,28958,377
2008-09-08$13.33$12.5069.2%16.6%65.9%63.1%57.3%9.8%-0.5%56.1K-7.5M-77.1K0.0616.45N/AN/A4,88327827,40658,534
2008-09-09$13.09$12.5064.5%17.8%66.1%56.6%61.3%1.8%-3.1%113.5K-8.0M-79.9K0.3630.09N/AN/A2,42887428,40658,627
2008-09-10$12.62$12.5066.1%18.2%66.9%58.9%63.1%13.5%-5.0%-8.4K-2.0M-76.3K7.2817.09N/AN/A3542,57826,59059,092
2008-09-11$12.73$12.5063.2%18.1%65.3%54.8%61.3%16.3%-4.0%-27.6K-2.1M-77.2K1.7617.96N/AN/A37265426,70260,043
2008-09-12$12.40$12.5064.9%18.6%64.4%57.2%0.0%5.5%-5.7%-28.2K-979.2K-78.3K11.3816.80N/AN/A1314826,94960,445
2008-09-15$12.25$12.5068.0%19.5%63.5%61.4%73.8%13.7%-6.7%-40.6K329.4K-73.7K3.4420.89N/AN/A21875126,96260,508
2008-09-16$12.71$12.5070.5%20.2%63.3%65.0%73.0%15.6%-8.5%-39.6K-2.3M-77.5K0.7939.78N/AN/A41532727,01160,878
2008-09-17$11.74$12.5073.2%21.0%63.8%68.7%73.8%13.1%-7.1%-52.1K2.9M-74.1K6.5424.38N/AN/A1591,04027,19761,026
2008-09-18$13.30$12.5069.5%19.9%76.9%63.6%71.0%13.2%-5.5%-11.5K-7.0M-76.4K2.6637.89N/AN/A4931,31327,16860,799
2008-09-19$13.32$12.50110.3%31.6%76.9%100.0%72.5%27.8%-55.8%45.3K-11.6M-79.3K0.86107.76N/AN/A75965027,44261,237
2008-09-22$12.31$12.5073.8%21.2%81.8%57.8%73.1%21.1%-6.5%-16.1K-1.1M-73.5K2.3349.06N/AN/A13531522,02655,529
2008-09-23$12.61$12.5076.3%21.9%80.2%60.7%0.0%10.8%-3.7%-15.6K-616.3K-73.5K0.0047.06N/AN/A02021,98855,809
2008-09-24$12.70$12.5079.4%22.8%79.9%64.3%76.0%11.3%-5.8%-25.3K-479.7K-71.7K2.0049.91N/AN/A306021,98855,839
2008-09-25$13.04$12.5070.0%20.1%79.4%53.4%69.1%13.5%0.7%-11.5K-1.3M-69.5K0.2333.96N/AN/A2976722,00855,879
2008-09-26$12.83$12.5077.0%22.1%79.3%61.6%47.5%14.2%0.5%-34.8K-666.6K-69.4K0.0057.29N/AN/A02,39622,13855,932
2008-09-29$10.75$12.5087.3%25.0%102.4%73.4%52.3%12.6%28.1%-64.8K1.3M-67.1K308.0789.18N/AN/A154,62122,13858,036
2008-09-30$11.24$12.5089.9%25.8%101.5%76.4%86.4%26.1%-4.9%-118.9K5.2M-67.3K6.9392.78N/AN/A4783,31221,75759,914