AN Options History — October 2008 In October 2008, AN traded between $4.21 and $11.49. ATM implied volatility averaged 138.5%, placing in the 76.5% IV rank vs the trailing year. The 30-day expected move averaged 39.8%. IV traded above realized volatility by 26.6% (HV 20d: 111.9%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 6.45.
Notable Days 2008-10-10 : Highest Volume — 16,629 contracts2008-10-10 : Largest IV spike — 53.6% change2008-10-06 : Highest IV Rank — 100.0%2008-10-28 : Largest Expected Move — 54.6%Monthly Statistics Metric Avg Min Max Open Close Price $7.64 $4.21 $11.49 $11.49 $6.87 Max Pain $11.41 $10.00 $15.00 $12.50 $10.00 ATM IV 138.5% 84.7% 205.0% 84.7% 140.4% Expected Move 39.8% 24.3% 54.6% 24.3% 40.3% HV 20d 111.9% 95.9% 155.2% 100.0% 155.2% HV 60d 92.8% 84.2% 113.1% 85.2% 113.1% IV Rank 76.5% 42.6% 100.0% 70.4% 64.4% IV Percentile 98.8% 96.4% 100.0% 97.2% 96.4% Term Structure 0.4% -15.2% 25.7% -6.0% 11.7% VWIV 133.3% 66.5% 240.6% 98.0% 140.8% Skew 25d 43.9% 7.5% 100.0% 7.5% 100.0% Skew 10d 82.5% 33.6% 175.4% 33.6% 175.4% Call IV 25d 114.1% 79.5% 170.9% 89.7% 90.3% Put IV 25d 158.0% 97.2% 241.6% 97.2% 190.4% Bid-Ask Spread % 24.43 11.33 49.41 49.41 25.19 Gamma HHI 0.44 0.31 0.77 0.46 0.40 Net GEX -168.7K -675.4K -37.8K -179.9K -142.8K Net DEX 13.2M 6.5M 22.2M 6.5M 16.4M Net VEX -57.6K -75.4K -28.2K -73.4K -62.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 6.45 0.39 48.71 4.25 0.39 Total Volume 3,607.087 226 16,629 289 1,295 Total OI 78,327.261 49,695 106,981 86,531 69,310
Daily Data (23 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2008-10-01 $11.49 $12.50 84.7% 24.3% 100.0% 70.4% 98.0% 7.5% -6.0% -179.9K 6.5M -73.4K 4.25 49.41 N/A N/A 55 234 21,879 64,652 2008-10-02 $10.70 $12.50 97.8% 28.0% 102.0% 85.5% 66.5% 17.1% -4.9% -185.5K 9.1M -70.7K 8.10 48.21 N/A N/A 120 972 21,884 64,750 2008-10-03 $10.93 $12.50 103.2% 29.6% 102.3% 91.8% 83.7% 30.1% -9.7% -198.2K 8.7M -70.7K 2.12 30.35 N/A N/A 211 447 21,981 64,831 2008-10-06 $10.46 $15.00 117.5% 31.3% 97.7% 100.0% 104.5% 29.4% -15.2% -166.0K 8.7M -70.8K 5.62 26.04 N/A N/A 222 1,247 22,154 64,831 2008-10-07 $10.25 $15.00 120.5% 31.1% 97.7% 100.0% 110.7% 25.4% -13.8% -163.9K 9.2M -68.8K 2.60 20.81 N/A N/A 461 1,200 22,176 64,466 2008-10-08 $10.02 $15.00 109.4% 31.7% 97.3% 88.5% 110.3% 24.3% -10.7% -163.0K 9.2M -70.7K 12.70 27.09 N/A N/A 79 1,003 22,571 65,020 2008-10-09 $8.55 $15.00 133.5% 39.7% 110.0% 100.0% 127.6% 28.3% 25.7% -81.0K 11.2M -58.8K 5.73 40.45 N/A N/A 1,515 8,683 22,534 65,039 2008-10-10 $8.10 $12.50 205.0% 51.1% 110.7% 100.0% 154.6% 44.7% 2.6% -203.3K 11.9M -75.4K 11.08 30.38 N/A N/A 1,377 15,252 23,496 70,502 2008-10-13 $7.90 $12.50 127.6% 38.3% 110.6% 57.3% 129.3% 37.1% 11.6% -278.7K 16.9M -67.0K 2.63 20.79 N/A N/A 1,106 2,908 23,395 79,269 2008-10-14 $7.67 $10.00 112.0% 35.4% 108.4% 48.7% 118.3% 49.2% 14.2% -342.8K 17.9M -65.8K 3.81 18.48 N/A N/A 750 2,861 24,429 80,617 2008-10-15 $6.91 $10.00 101.0% 37.0% 110.4% 42.6% 131.0% 39.3% 5.6% -334.6K 20.3M -56.2K 2.87 21.73 N/A N/A 199 572 24,517 81,526 2008-10-16 $6.95 $10.00 143.5% 41.1% 95.9% 66.0% 143.0% 55.1% 4.9% -94.1K 22.2M -55.0K 2.24 17.10 N/A N/A 823 1,842 24,516 81,752 2008-10-17 $7.34 $10.00 138.1% 39.6% 100.2% 63.1% 124.5% 57.9% 6.9% -675.4K 19.5M -62.8K 1.52 12.99 N/A N/A 347 529 25,006 81,975 2008-10-20 $7.50 $10.00 119.1% 34.1% 100.0% 52.6% 107.1% 27.2% 3.4% -111.3K 11.2M -62.2K 1.24 15.84 N/A N/A 968 1,198 15,563 34,132 2008-10-21 $6.96 $10.00 113.5% 32.6% 99.8% 49.5% 118.0% 46.7% 0.4% -97.7K 12.6M -54.9K 2.40 23.42 N/A N/A 100 240 16,145 34,904 2008-10-22 $5.96 $10.00 149.6% 42.9% 108.1% 69.4% 106.5% 54.7% -7.4% -76.7K 13.0M -43.7K 9.95 18.42 N/A N/A 486 4,836 16,106 35,070 2008-10-23 $5.15 $10.00 176.7% 50.7% 111.8% 84.4% 171.6% 28.7% -0.2% -54.3K 12.8M -36.8K 10.42 11.33 N/A N/A 1,102 11,483 16,442 36,845 2008-10-24 $4.43 $10.00 184.6% 52.9% 117.0% 88.7% 180.5% 46.7% -12.5% -49.3K 11.4M -33.7K 2.13 19.26 N/A N/A 351 746 17,294 39,690 2008-10-27 $4.21 $10.00 187.0% 53.6% 107.5% 90.1% 240.6% 70.7% -12.2% -37.8K 11.4M -28.2K 1.79 18.91 N/A N/A 81 145 17,582 39,165 2008-10-28 $5.05 $10.00 190.5% 54.6% 131.4% 92.0% 155.9% 79.3% -12.5% -54.0K 13.1M -33.6K 0.46 22.56 N/A N/A 950 433 17,618 39,270 2008-10-29 $5.86 $10.00 182.0% 52.2% 146.2% 87.3% 150.4% 49.8% 7.5% -63.8K 13.0M -42.8K 48.71 16.97 N/A N/A 253 12,324 18,386 39,422 2008-10-30 $6.52 $10.00 147.6% 42.3% 153.6% 68.3% 192.1% 59.7% 19.3% -126.2K 16.2M -60.5K 5.60 26.16 N/A N/A 145 812 18,510 50,305 2008-10-31 $6.87 $10.00 140.4% 40.3% 155.2% 64.4% 140.8% 100.0% 11.7% -142.8K 16.4M -62.7K 0.39 25.19 N/A N/A 929 366 18,562 50,748
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