AN Options History — March 2009

In March 2009, AN traded between $9.47 and $14.29. ATM implied volatility averaged 77.7%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 22.4%. IV traded above realized volatility by 14.8% (HV 20d: 62.9%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.28.

Notable Days

  • 2009-03-20: Highest Volume — 35,980 contracts
  • 2009-03-09: Largest IV spike — 9.8% change
  • 2009-03-02: Highest IV Rank — 35.5%
  • 2009-03-09: Largest Expected Move — 25.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.06$9.47$14.29$9.92$13.88
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV77.7%70.5%88.2%88.2%72.0%
Expected Move22.4%20.2%25.9%25.3%20.6%
HV 20d62.9%49.4%76.4%58.8%75.3%
HV 60d75.8%72.5%77.5%77.2%73.3%
IV Rank29.8%25.8%35.5%35.5%26.6%
IV Percentile52.3%43.3%65.1%65.1%44.4%
Term Structure5.0%-2.2%9.6%-0.9%8.1%
VWIV78.0%66.4%87.9%87.9%79.3%
Skew 25d16.0%7.4%27.5%22.5%23.1%
Skew 10d38.9%21.1%72.5%40.5%59.9%
Call IV 25d71.9%58.6%80.5%78.7%62.6%
Put IV 25d87.9%75.9%103.4%101.2%85.7%
Bid-Ask Spread %19.9613.6730.9730.9714.21
Gamma HHI0.350.240.550.400.28
Net GEX3.3K-282.2K420.2K-231.0K134.3K
Net DEX-11.6M-31.6M9.7M6.5M-22.1M
Net VEX-126.2K-202.3K-85.6K-92.7K-197.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.280.094.550.650.89
Total Volume4,833.27331435,980496860
Total OI84,363.575,11195,53975,11195,539

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-03-02$9.92$10.0088.2%25.3%58.8%35.5%87.9%22.5%-0.9%-231.0K6.5M-92.7K0.6530.97N/AN/A30119528,40646,705
2009-03-03$9.72$10.0085.1%24.4%59.4%33.8%66.4%23.2%3.0%-239.0K7.5M-91.1K0.4722.35N/AN/A27212928,64946,695
2009-03-04$9.64$10.0082.4%23.6%57.8%32.4%85.7%22.8%2.2%-257.3K8.6M-88.6K4.5519.93N/AN/A12356028,87046,697
2009-03-05$9.47$10.0080.5%23.1%57.9%31.3%81.0%18.3%2.9%-270.8K9.7M-86.2K0.0922.15N/AN/A2882628,96346,655
2009-03-06$9.72$10.0079.6%24.9%56.4%30.8%78.4%24.2%-2.2%-282.2K8.8M-85.6K0.6217.02N/AN/A47729829,10146,652
2009-03-09$10.40$10.0087.4%25.9%49.4%35.1%84.3%27.5%0.4%-259.6K2.5M-87.4K0.7714.51N/AN/A13,83410,71629,37246,744
2009-03-10$11.22$10.0084.6%24.8%57.0%33.6%86.3%16.2%4.4%-107.9K-6.5M-92.3K3.1418.52N/AN/A1,1443,59431,35347,184
2009-03-11$11.51$10.0079.0%21.8%53.7%30.4%82.2%12.3%5.7%-17.2K-9.9M-101.3K0.7316.84N/AN/A1,9071,39332,78347,312
2009-03-12$11.78$10.0073.4%21.1%54.0%27.4%75.3%7.9%9.0%36.2K-12.9M-97.8K0.0918.43N/AN/A7,31462633,60947,703
2009-03-13$12.10$10.0074.8%21.4%54.5%28.1%75.3%10.5%6.4%145.1K-16.8M-98.1K0.9221.58N/AN/A59154634,38248,174
2009-03-16$11.85$10.0071.2%20.4%53.6%26.1%74.7%10.3%7.0%119.5K-15.1M-95.2K1.6018.82N/AN/A55688934,50548,440
2009-03-17$12.79$10.0071.9%20.6%55.1%26.5%72.0%13.9%9.6%420.2K-23.0M-93.1K1.2613.76N/AN/A1,2611,59334,56148,959
2009-03-18$13.50$10.0073.4%21.0%57.0%27.4%75.1%18.5%7.4%81.8K-30.3M-97.5K1.2216.19N/AN/A68182935,57850,109
2009-03-19$13.70$10.0074.5%21.4%56.5%28.0%66.6%12.8%0.5%147.1K-31.6M-96.4K1.0323.59N/AN/A86889235,79550,366
2009-03-20$12.07$10.0075.8%21.7%73.9%28.7%70.7%18.2%5.4%19.9K-14.5M-98.4K1.6022.92N/AN/A13,84722,13335,87450,924
2009-03-23$13.03$10.0080.1%23.0%76.4%31.1%81.7%11.1%3.8%56.8K-12.3M-182.6K0.6414.95N/AN/A4,9273,17035,09951,801
2009-03-24$13.04$10.0078.8%22.6%74.9%30.4%80.5%12.4%5.2%88.7K-15.7M-197.5K4.2413.67N/AN/A6392,70739,58853,908
2009-03-25$13.74$10.0079.4%22.8%76.0%30.7%78.9%14.1%8.8%104.8K-19.7M-197.4K1.4219.67N/AN/A1,1211,58739,03054,840
2009-03-26$14.08$10.0072.6%20.8%75.9%26.9%74.3%11.6%5.6%121.0K-22.6M-200.4K0.5126.12N/AN/A59930739,69254,952
2009-03-27$14.29$10.0070.5%20.2%74.8%25.8%81.5%13.5%8.9%132.1K-24.5M-202.3K0.7127.32N/AN/A97269540,04254,964
2009-03-30$13.85$10.0075.1%21.5%76.4%28.3%78.6%7.4%9.2%129.9K-21.1M-197.9K0.9925.55N/AN/A43443140,27955,143
2009-03-31$13.88$10.0072.0%20.6%75.3%26.6%79.3%23.1%8.1%134.3K-22.1M-197.3K0.8914.21N/AN/A45540540,41555,124