AN Options History — February 2009

In February 2009, AN traded between $9.36 and $11.38. ATM implied volatility averaged 85.0%, placing in the 33.8% IV rank vs the trailing year. The 30-day expected move averaged 24.5%. IV traded above realized volatility by 12.4% (HV 20d: 72.7%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 8.64.

Notable Days

  • 2009-02-03: Highest Volume — 31,084 contracts
  • 2009-02-10: Largest IV spike — 22.5% change
  • 2009-02-12: Highest IV Rank — 37.6%
  • 2009-02-12: Largest Expected Move — 26.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.29$9.36$11.38$9.36$9.98
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV85.0%74.9%92.0%89.8%81.9%
Expected Move24.5%22.5%26.4%25.8%23.5%
HV 20d72.7%60.9%82.7%81.7%60.9%
HV 60d88.1%78.3%103.4%103.4%78.4%
IV Rank33.8%28.2%37.6%36.4%32.0%
IV Percentile62.8%56.7%68.3%67.5%56.7%
Term Structure1.4%-3.3%8.7%-3.3%-0.0%
VWIV86.2%81.5%90.4%90.4%81.5%
Skew 25d20.7%10.1%51.7%15.2%18.9%
Skew 10d36.6%18.0%79.0%18.7%30.2%
Call IV 25d76.0%50.9%89.9%89.9%75.5%
Put IV 25d96.7%87.1%105.1%105.1%94.4%
Bid-Ask Spread %25.5515.5131.1124.6329.66
Gamma HHI0.580.390.910.610.40
Net GEX-367.8K-1.7M-137.7K-219.5K-226.0K
Net DEX3.4M-4.8M8.5M7.2M5.8M
Net VEX-86.3K-99.9K-57.3K-57.3K-97.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio8.640.0855.390.544.13
Total Volume4,435.63216631,084166231
Total OI66,599.05343,12278,57443,12275,223

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-02-02$9.36$10.0089.8%25.8%81.7%36.4%90.4%15.2%-3.3%-219.5K7.2M-57.3K0.5424.63N/AN/A1085814,49328,629
2009-02-03$9.73$10.0083.5%23.9%82.5%32.9%83.4%24.9%4.7%-245.4K5.9M-58.3K2.0025.95N/AN/A10,35520,72914,58328,618
2009-02-04$9.86$10.0086.1%24.7%82.7%34.4%86.2%45.0%3.5%-236.4K5.9M-84.7K32.3330.62N/AN/A902,91024,62438,497
2009-02-05$10.30$10.0087.0%24.9%74.6%34.8%87.0%51.7%-0.2%-240.1K3.0M-86.5K0.2719.76N/AN/A84322924,65738,808
2009-02-06$11.38$10.0075.2%22.5%82.2%28.3%81.9%11.3%-0.2%-137.7K-4.8M-88.6K2.0326.42N/AN/A4961,00925,29638,847
2009-02-09$11.33$10.0074.9%23.0%81.7%28.2%90.2%17.0%-2.7%-150.6K-4.6M-87.2K1.5825.75N/AN/A15123825,48839,500
2009-02-10$10.71$10.0091.8%25.9%79.5%37.5%89.6%11.0%1.0%-241.6K-636.5K-86.0K0.9830.34N/AN/A19218825,46839,470
2009-02-11$10.86$10.0088.3%25.9%79.5%35.6%84.5%16.5%-0.6%-255.3K-1.3M-83.4K1.9515.51N/AN/A22043025,46639,502
2009-02-12$11.03$10.0092.0%26.4%67.4%37.6%90.3%10.1%-0.9%-232.6K-2.9M-83.2K55.3921.62N/AN/A23813,18325,59039,696
2009-02-13$10.68$10.0088.2%25.3%69.2%35.5%86.1%17.5%2.6%-367.4K1.5M-95.7K1.1016.44N/AN/A79787625,63646,997
2009-02-17$10.16$10.0088.3%25.3%72.6%35.6%87.9%20.7%1.1%-484.4K6.7M-90.0K24.5430.87N/AN/A2265,54626,22247,003
2009-02-18$10.20$10.0087.2%25.0%67.5%35.0%85.9%15.0%0.7%-661.6K7.9M-93.1K2.5427.47N/AN/A36893526,27551,158
2009-02-19$10.14$10.0083.5%23.9%67.7%32.9%85.1%14.9%6.1%-830.0K8.3M-92.6K0.6420.16N/AN/A53134226,38151,826
2009-02-20$9.78$10.0085.3%24.4%69.5%33.9%90.1%17.4%1.5%-1.7M8.5M-86.9K0.5525.37N/AN/A69537926,79151,783
2009-02-23$9.57$10.0084.8%24.3%70.4%33.7%85.0%24.1%-2.6%-200.6K8.2M-80.5K0.0829.12N/AN/A5,49242223,28036,384
2009-02-24$10.14$10.0083.3%23.9%65.0%32.8%83.5%29.0%2.8%-141.5K3.2M-89.5K14.1927.29N/AN/A75210,66928,19036,629
2009-02-25$10.15$10.0082.3%23.6%64.3%32.3%85.1%21.8%8.7%-185.2K3.8M-99.9K3.1031.11N/AN/A4501,39428,62445,497
2009-02-26$10.17$10.0082.7%23.7%62.3%32.5%83.8%11.4%4.5%-196.6K3.7M-99.2K16.1627.38N/AN/A1462,35928,32245,929
2009-02-27$9.98$10.0081.9%23.5%60.9%32.0%81.5%18.9%-0.0%-226.0K5.8M-97.2K4.1329.66N/AN/A4518628,39146,832