AN Options History — January 2009

In January 2009, AN traded between $7.91 and $11.00. ATM implied volatility averaged 105.9%, placing in the 45.3% IV rank vs the trailing year. The 30-day expected move averaged 30.5%. IV traded above realized volatility by 15.2% (HV 20d: 90.8%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 3.22.

Notable Days

  • 2009-01-09: Highest Volume — 25,028 contracts
  • 2009-01-14: Largest IV spike — 79.2% change
  • 2009-01-14: Highest IV Rank — 70.0%
  • 2009-01-20: Largest Expected Move — 34.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.14$7.91$11.00$10.64$9.28
Max Pain$9.50$7.50$10.00$10.00$10.00
ATM IV105.9%84.1%150.7%99.3%85.3%
Expected Move30.5%24.5%34.9%28.5%24.5%
HV 20d90.8%85.4%96.3%90.1%86.4%
HV 60d120.4%104.2%130.5%130.5%104.2%
IV Rank45.3%33.3%70.0%41.6%33.9%
IV Percentile76.0%65.9%92.1%75.4%65.9%
Term Structure-7.7%-14.3%-0.8%-3.3%-0.8%
VWIV107.2%85.8%129.6%100.2%85.8%
Skew 25d20.5%-0.7%32.6%32.6%-0.7%
Skew 10d42.7%-1.3%75.3%75.3%-1.3%
Call IV 25d96.8%82.3%112.3%83.3%89.4%
Put IV 25d117.3%88.7%132.1%115.9%88.7%
Bid-Ask Spread %28.8517.8337.5718.7736.80
Gamma HHI0.560.480.660.610.61
Net GEX-202.0K-400.7K-115.5K-269.7K-215.1K
Net DEX6.6M-8.9M22.6M-6.1M7.3M
Net VEX-59.2K-67.5K-51.2K-65.0K-59.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.220.2020.312.030.64
Total Volume2,586.8523825,028437238
Total OI66,408.139,629105,14476,11143,009

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$10.64$10.0099.3%28.5%90.1%41.6%100.2%32.6%-3.3%-269.7K-6.1M-65.0K2.0318.77N/AN/A14429333,34842,763
2009-01-05$10.90$7.50101.9%28.5%90.3%43.1%91.7%28.2%-5.6%-300.1K-7.8M-61.6K0.2024.47N/AN/A60512233,34842,975
2009-01-06$11.00$7.50102.8%27.9%90.1%43.6%110.2%19.3%-5.1%-262.2K-8.9M-62.9K9.2817.83N/AN/A5765,34633,39343,059
2009-01-07$9.86$7.50108.4%27.9%96.3%46.7%99.8%16.7%-2.1%-338.8K-466.1K-67.5K1.2526.07N/AN/A25131533,77147,244
2009-01-08$9.84$7.5099.8%28.2%94.7%41.9%98.5%26.5%-5.0%-379.7K309.5K-63.3K20.3133.68N/AN/A2855,78933,77447,129
2009-01-09$9.65$10.0085.2%30.1%92.3%33.9%105.6%20.5%-10.3%-400.7K1.4M-64.9K11.6330.82N/AN/A1,98223,04633,88348,160
2009-01-12$8.96$10.0091.3%30.6%91.9%37.3%108.6%14.4%-8.5%-132.5K22.6M-63.1K0.7129.03N/AN/A1,07977135,19069,954
2009-01-13$8.97$10.0084.1%30.8%88.7%33.3%104.8%17.6%-8.1%-126.9K13.5M-63.9K0.5926.32N/AN/A74443635,79760,300
2009-01-14$8.09$10.00150.7%34.6%96.0%70.0%110.3%17.6%-11.4%-115.5K14.4M-56.6K3.0324.50N/AN/A28787135,84160,395
2009-01-15$8.35$10.00119.6%34.3%90.3%52.9%114.4%24.1%-11.4%-130.8K13.5M-56.6K0.8227.00N/AN/A1,06086735,79158,504
2009-01-16$8.42$10.00115.9%33.2%90.3%50.8%114.2%19.3%-12.6%-137.9K13.5M-56.8K6.1026.46N/AN/A6338435,67958,051
2009-01-20$7.91$10.00121.8%34.9%92.4%54.1%115.4%25.8%-8.8%-120.2K9.5M-51.6K0.6228.62N/AN/A34521412,35527,274
2009-01-21$8.11$10.00119.3%34.2%93.2%52.7%119.4%24.2%-10.2%-133.2K9.8M-51.2K2.6731.21N/AN/A9826212,59627,284
2009-01-22$8.06$10.00117.2%33.6%87.0%51.6%129.6%25.5%-14.3%-132.2K9.6M-51.8K0.6629.08N/AN/A48131612,66227,401
2009-01-23$8.14$10.00113.8%32.6%85.4%49.7%105.5%16.7%-6.7%-138.0K9.8M-52.0K0.2729.13N/AN/A3609612,69227,655
2009-01-26$8.97$10.00104.3%29.9%90.6%44.4%112.4%24.7%-6.7%-163.6K8.3M-57.4K0.6737.57N/AN/A86957912,77327,742
2009-01-27$8.79$10.00107.7%30.9%90.5%46.3%110.2%22.8%-9.5%-156.5K8.1M-57.7K0.3333.08N/AN/A68522813,54628,288
2009-01-28$9.24$10.00103.9%29.8%92.1%44.2%116.6%18.6%-10.9%-170.0K7.2M-59.6K1.7534.96N/AN/A15827613,90228,204
2009-01-29$9.67$10.0086.0%24.7%86.8%34.3%90.5%15.3%-1.9%-216.5K6.1M-61.4K0.7431.57N/AN/A69951714,02728,403
2009-01-30$9.28$10.0085.3%24.5%86.4%33.9%85.8%-0.7%-0.8%-215.1K7.3M-59.3K0.6436.80N/AN/A1459314,40328,606