AN Options History — November 2008

In November 2008, AN traded between $5.77 and $8.54. ATM implied volatility averaged 168.4%, placing in the 79.8% IV rank vs the trailing year. The 30-day expected move averaged 47.2%. IV traded above realized volatility by 5.7% (HV 20d: 162.7%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.01.

Notable Days

  • 2008-11-06: Highest Volume — 20,499 contracts
  • 2008-11-13: Largest IV drop — 27.3% change
  • 2008-11-11: Highest IV Rank — 98.0%
  • 2008-11-20: Largest Expected Move — 57.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.68$5.77$8.54$6.50$8.54
Max Pain$8.03$7.50$10.00$10.00$7.50
ATM IV168.4%135.4%201.4%139.6%135.4%
Expected Move47.2%38.8%57.5%40.0%38.8%
HV 20d162.7%136.5%183.4%155.5%136.5%
HV 60d124.3%112.4%132.8%112.4%132.6%
IV Rank79.8%61.6%98.0%63.9%61.6%
IV Percentile95.9%88.5%99.6%96.0%88.5%
Term Structure-0.1%-20.7%70.5%16.9%15.8%
VWIV162.8%91.6%205.9%91.6%192.4%
Skew 25d44.8%2.8%79.6%79.6%59.7%
Skew 10d101.6%-3.8%152.6%91.0%134.2%
Call IV 25d134.2%98.0%179.3%98.0%100.9%
Put IV 25d178.9%143.5%195.2%177.6%160.6%
Bid-Ask Spread %34.3012.7362.5616.7336.26
Gamma HHI0.430.380.530.410.42
Net GEX-57.6K-154.3K-26.2K-135.5K-30.8K
Net DEX10.6M-953.7K17.7M16.4M-953.7K
Net VEX-61.8K-74.3K-49.4K-58.0K-74.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.008.030.422.13
Total Volume1,991.6327320,4993161,623
Total OI86,017.31669,76993,65669,76985,568

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$6.50$10.00139.6%40.0%155.5%63.9%91.6%79.6%16.9%-135.5K16.4M-58.0K0.4216.73N/AN/A2229418,84250,927
2008-11-04$6.97$10.00139.0%39.8%159.0%63.6%136.8%42.7%4.5%-154.3K17.4M-59.0K0.0918.83N/AN/A5835219,04651,001
2008-11-05$6.09$10.00166.4%47.7%164.2%78.7%149.5%2.8%70.5%-100.8K17.7M-49.4K0.5912.73N/AN/A55032419,46151,033
2008-11-06$5.77$10.00195.7%56.1%157.0%94.9%191.5%10.6%-1.1%-105.9K16.3M-49.7K0.0118.46N/AN/A20,30919019,75251,034
2008-11-07$6.55$7.50160.5%42.5%164.6%75.4%152.5%46.0%-12.7%-54.6K11.0M-68.7K0.2751.59N/AN/A1,50341239,63350,996
2008-11-10$6.15$7.50190.8%50.1%165.6%92.1%165.5%27.3%-0.6%-34.5K11.1M-62.9K1.0643.36N/AN/A39542040,71050,986
2008-11-11$6.13$7.50201.4%50.7%165.5%98.0%172.4%45.5%-4.4%-42.1K11.7M-61.1K1.3437.92N/AN/A10213740,60250,916
2008-11-12$5.96$7.50195.3%50.0%162.0%94.6%0.0%42.1%-5.0%-34.1K12.2M-58.4K0.0032.74N/AN/A07340,67250,940
2008-11-13$7.28$7.50142.0%40.7%178.0%65.2%171.7%54.9%-8.8%-80.6K10.8M-67.7K0.1742.51N/AN/A3736440,67250,972
2008-11-14$6.35$7.50154.2%44.2%183.4%71.9%155.2%28.4%-12.8%-34.6K10.9M-61.6K0.0840.91N/AN/A6275340,85450,962
2008-11-17$6.16$7.50173.2%49.6%183.3%82.4%0.0%47.3%-8.3%-41.6K12.9M-55.4K0.0034.52N/AN/A635040,99850,948
2008-11-18$6.14$7.50189.0%54.2%181.7%91.2%182.7%38.9%-17.6%-33.1K12.1M-57.7K1.1334.04N/AN/A53560241,52050,948
2008-11-19$6.17$7.50189.8%54.4%172.9%91.6%157.4%44.5%-10.7%-30.9K11.9M-58.0K0.0336.00N/AN/A4531542,00051,451
2008-11-20$6.25$7.50200.6%57.5%163.9%97.6%166.1%53.2%-20.7%-29.6K11.4M-59.4K0.9662.56N/AN/A35434142,21151,416
2008-11-21$6.45$7.50173.2%49.7%152.6%82.5%174.4%56.1%-10.0%-26.2K11.3M-60.2K8.0336.05N/AN/A3853,09342,36451,292
2008-11-24$7.56$7.50159.2%45.6%158.0%74.7%205.9%50.4%-7.8%-42.6K3.7M-69.5K0.8630.12N/AN/A91979339,72444,150
2008-11-25$7.75$7.50148.5%42.6%147.3%68.8%156.6%59.8%9.2%-45.5K2.8M-70.0K0.9633.19N/AN/A22221340,11444,709
2008-11-26$8.20$7.50145.6%41.7%140.2%67.2%144.9%60.7%1.1%-36.9K721.3K-72.7K0.0433.23N/AN/A1,1344140,17744,728
2008-11-28$8.54$7.50135.4%38.8%136.5%61.6%192.4%59.7%15.8%-30.8K-953.7K-74.3K2.1336.26N/AN/A5181,10540,81044,758