AN Options History — December 2008

In December 2008, AN traded between $8.32 and $10.27. ATM implied volatility averaged 119.0%, placing in the 52.6% IV rank vs the trailing year. The 30-day expected move averaged 34.5%. IV traded above realized volatility by 17.5% (HV 20d: 101.5%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 1 of 22 days. Put/call ratio averaged 2.32.

Notable Days

2008-12-12: Highest Volume — 35,358 contracts
2008-12-30: Largest IV drop — 23.8% change
2008-12-01: Highest IV Rank — 71.7%
2008-12-01: Largest Expected Move — 44.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.27	$8.32	$10.27	$8.55	$9.88
Max Pain	$10.23	$7.50	$12.50	$7.50	$10.00
ATM IV	119.0%	96.0%	153.8%	153.8%	99.3%
Expected Move	34.5%	27.5%	44.1%	44.1%	28.5%
HV 20d	101.5%	81.5%	135.8%	135.8%	86.6%
HV 60d	131.5%	128.0%	133.6%	132.5%	129.6%
IV Rank	52.6%	39.8%	71.7%	71.7%	41.7%
IV Percentile	83.7%	75.4%	92.5%	92.5%	76.2%
Term Structure	-7.8%	-17.5%	2.3%	-11.6%	-1.7%
VWIV	130.7%	92.9%	193.6%	150.2%	104.1%
Skew 25d	48.8%	22.3%	68.8%	55.4%	22.3%
Skew 10d	113.5%	53.8%	143.4%	138.8%	58.6%
Call IV 25d	96.9%	74.1%	109.0%	109.0%	96.6%
Put IV 25d	145.7%	118.9%	172.1%	164.4%	118.9%
Bid-Ask Spread %	21.65	8.53	38.07	36.60	14.34
Gamma HHI	0.54	0.39	0.70	0.42	0.57
Net GEX	-70.5K	-269.0K	343.2K	-39.3K	-269.0K
Net DEX	-679.0K	-7.3M	6.8M	-1.2M	-1.9M
Net VEX	-78.0K	-97.2K	-57.6K	-74.8K	-66.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.32	0.01	21.14	1.83	0.51
Total Volume	4,071.364	226	35,358	599	1,460
Total OI	89,888.318	72,170	103,969	86,789	75,724

Daily Data (22 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
2008-12-01	$8.55	$7.50	153.8%	44.1%	135.8%	71.7%	150.2%	55.4%	-11.6%	-39.3K	-1.2M	-74.8K	1.83	36.60	N/A	N/A	212	387	41,171	45,618
2008-12-02	$9.17	$7.50	133.5%	38.3%	135.0%	60.5%	160.4%	54.5%	-16.6%	-26.8K	-4.2M	-76.9K	21.14	38.07	N/A	N/A	1,258	26,589	41,237	45,807
2008-12-03	$9.25	$7.50	127.5%	36.6%	133.5%	57.2%	146.7%	56.7%	-2.1%	-120.4K	331.8K	-97.2K	1.76	33.86	N/A	N/A	136	239	41,937	59,362
2008-12-04	$9.30	$7.50	128.1%	36.7%	121.5%	57.6%	138.8%	54.3%	-17.5%	-126.0K	53.5K	-95.7K	0.83	34.28	N/A	N/A	1,327	1,095	41,987	59,000
2008-12-05	$9.51	$12.50	121.0%	36.2%	118.2%	53.7%	124.5%	47.5%	-11.1%	-105.6K	-1.1M	-95.8K	0.41	21.35	N/A	N/A	460	189	42,308	59,566
2008-12-08	$10.16	$12.50	121.6%	36.1%	113.1%	54.0%	142.8%	55.9%	-13.5%	-82.3K	-6.2M	-94.9K	1.57	24.93	N/A	N/A	220	345	42,481	59,656
2008-12-09	$9.68	$12.50	119.9%	37.0%	111.8%	53.0%	136.5%	55.7%	-14.8%	-85.3K	-3.2M	-94.7K	0.71	24.79	N/A	N/A	401	286	42,202	59,830
2008-12-10	$10.27	$12.50	115.3%	36.3%	112.1%	50.5%	118.2%	53.1%	-3.6%	-69.6K	-7.3M	-92.7K	0.53	22.96	N/A	N/A	1,511	800	42,338	59,727
2008-12-11	$9.50	$12.50	126.9%	36.4%	116.5%	56.9%	144.3%	46.0%	-8.8%	-119.3K	-1.3M	-90.9K	6.30	16.88	N/A	N/A	108	680	42,025	59,762
2008-12-12	$8.88	$12.50	118.0%	33.8%	100.3%	52.0%	193.6%	68.8%	-4.9%	-138.2K	3.8M	-78.7K	0.01	24.75	N/A	N/A	34,923	435	41,992	60,038
2008-12-15	$8.77	$10.00	117.8%	33.8%	84.7%	51.8%	147.9%	60.0%	-4.3%	-71.5K	-6.8M	-74.6K	2.65	24.81	N/A	N/A	344	912	54,948	49,021
2008-12-16	$9.61	$10.00	111.9%	32.1%	86.8%	48.6%	108.6%	62.0%	-5.0%	180.9K	-4.1M	-80.3K	0.19	22.56	N/A	N/A	1,912	367	43,096	47,688
2008-12-17	$9.69	$10.00	108.1%	31.0%	86.5%	46.5%	157.5%	52.4%	-1.8%	268.7K	-5.4M	-80.2K	0.57	15.03	N/A	N/A	1,298	741	44,636	47,768
2008-12-18	$9.63	$10.00	100.6%	28.8%	86.9%	42.4%	112.2%	43.2%	-0.8%	219.9K	-4.3M	-75.0K	0.41	15.41	N/A	N/A	732	297	43,615	48,326
2008-12-19	$9.65	$10.00	99.3%	28.5%	87.1%	41.7%	126.1%	39.4%	-1.3%	343.2K	-2.0M	-75.1K	0.26	19.29	N/A	N/A	2,660	699	43,366	48,305
2008-12-22	$8.75	$10.00	122.7%	35.2%	96.8%	54.6%	122.3%	29.3%	-9.9%	-202.2K	5.0M	-64.8K	8.37	25.27	N/A	N/A	156	1,305	31,250	40,920
2008-12-23	$8.32	$10.00	122.8%	35.2%	83.1%	54.6%	122.7%	36.9%	-9.6%	-190.3K	6.8M	-61.3K	0.44	12.80	N/A	N/A	684	304	31,237	41,765
2008-12-24	$8.75	$10.00	122.8%	35.2%	84.4%	54.7%	92.9%	46.8%	-8.3%	-221.6K	5.0M	-63.9K	0.07	13.37	N/A	N/A	756	51	31,908	41,991
2008-12-26	$8.56	$10.00	125.8%	36.1%	82.8%	56.3%	117.6%	43.0%	-14.7%	-208.8K	5.7M	-62.0K	0.35	13.03	N/A	N/A	167	59	32,147	42,041
2008-12-29	$8.57	$10.00	126.1%	36.1%	81.5%	56.4%	112.2%	40.4%	-11.3%	-221.2K	5.9M	-57.6K	0.97	13.39	N/A	N/A	976	945	32,280	42,088
2008-12-30	$9.45	$10.00	96.0%	27.5%	88.6%	39.8%	96.5%	49.5%	2.3%	-266.0K	1.7M	-62.6K	1.19	8.53	N/A	N/A	522	622	32,761	42,618
2008-12-31	$9.88	$10.00	99.3%	28.5%	86.6%	41.7%	104.1%	22.3%	-1.7%	-269.0K	-1.9M	-66.2K	0.51	14.34	N/A	N/A	968	492	33,076	42,648