AN Options History — April 2009 In April 2009, AN traded between $13.97 and $17.86. ATM implied volatility averaged 72.8%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 21.6%. IV traded above realized volatility by 2.4% (HV 20d: 70.4%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 2.56.
Notable Days 2009-04-29 : Highest Volume — 22,658 contracts2009-04-23 : Largest IV drop — 34.6% change2009-04-20 : Highest IV Rank — 34.2%2009-04-20 : Largest Expected Move — 24.6%Monthly Statistics Metric Avg Min Max Open Close Price $15.98 $13.97 $17.86 $13.97 $17.71 Max Pain $12.26 $10.00 $12.50 $10.00 $12.50 ATM IV 72.8% 56.0% 85.9% 71.1% 58.5% Expected Move 21.6% 16.1% 24.6% 20.4% 16.8% HV 20d 70.4% 57.2% 77.6% 74.8% 67.1% HV 60d 68.3% 65.1% 74.8% 73.2% 67.0% IV Rank 27.0% 17.8% 34.2% 26.1% 19.1% IV Percentile 43.4% 24.2% 61.5% 42.9% 24.2% Term Structure -4.6% -14.6% 14.4% 14.4% 4.5% VWIV 79.0% 57.6% 94.2% 78.1% 57.6% Skew 25d 14.3% 7.2% 27.5% 24.2% 8.6% Skew 10d 29.1% 12.6% 64.2% 64.2% 25.9% Call IV 25d 68.8% 38.8% 84.1% 59.1% 55.5% Put IV 25d 83.1% 64.1% 96.1% 83.3% 64.1% Bid-Ask Spread % 23.40 15.30 33.39 15.30 23.05 Gamma HHI 0.27 0.20 0.34 0.28 0.22 Net GEX 137.0K 38.9K 285.2K 145.2K 143.0K Net DEX -30.6M -40.8M -15.1M -22.2M -33.8M Net VEX -198.7K -239.6K -190.9K -195.3K -239.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.56 0.13 10.06 10.06 0.66 Total Volume 3,374.857 399 22,658 2,146 5,006 Total OI 91,172.286 73,214 106,788 95,673 95,946
Daily Data (21 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 2009-04-01 $13.97 $10.00 71.1% 20.4% 74.8% 26.1% 78.1% 24.2% 14.4% 145.2K -22.2M -195.3K 10.06 15.30 N/A N/A 194 1,952 40,582 55,091 2009-04-02 $15.15 $10.00 74.4% 21.3% 76.7% 27.9% 78.7% 10.8% 8.2% 158.5K -30.9M -198.0K 2.37 16.22 N/A N/A 884 2,094 40,618 55,825 2009-04-03 $15.38 $12.50 70.4% 24.0% 76.7% 25.7% 83.9% 12.8% -6.8% 154.4K -31.7M -197.4K 1.36 25.27 N/A N/A 282 383 40,597 56,266 2009-04-06 $15.35 $12.50 75.3% 24.5% 75.3% 28.4% 89.7% 10.2% -9.5% 152.7K -32.2M -196.9K 3.50 24.80 N/A N/A 477 1,671 40,748 56,316 2009-04-07 $14.69 $12.50 72.2% 24.5% 75.4% 26.7% 94.2% 9.0% -9.2% 141.2K -27.9M -199.6K 8.07 27.48 N/A N/A 44 355 40,944 57,180 2009-04-08 $15.24 $12.50 68.1% 24.4% 75.8% 24.4% 84.1% 14.7% -9.8% 129.7K -31.1M -195.8K 1.15 29.80 N/A N/A 316 364 40,953 57,340 2009-04-09 $16.00 $12.50 83.4% 23.9% 76.7% 32.9% 91.4% 12.2% -12.2% 128.4K -36.5M -193.4K 5.99 16.97 N/A N/A 381 2,282 41,006 57,558 2009-04-13 $16.21 $12.50 85.5% 24.5% 76.6% 34.1% 92.3% 11.5% -12.9% 103.9K -39.1M -191.0K 3.66 23.61 N/A N/A 269 984 41,293 58,752 2009-04-14 $15.66 $12.50 84.6% 24.2% 77.6% 33.5% 84.0% 17.3% -10.9% 86.9K -34.7M -191.0K 3.42 21.11 N/A N/A 1,344 4,592 41,199 58,660 2009-04-15 $15.72 $12.50 83.3% 23.9% 74.0% 32.8% 85.1% 14.7% -7.9% 38.9K -34.8M -199.2K 1.44 17.71 N/A N/A 249 358 41,821 62,963 2009-04-16 $16.31 $12.50 74.1% 21.2% 72.9% 27.7% 91.9% 13.9% -6.9% 92.7K -38.9M -193.1K 3.55 25.93 N/A N/A 877 3,114 41,147 62,265 2009-04-17 $16.64 $12.50 72.7% 20.8% 73.0% 27.0% 87.3% 17.8% -6.7% 99.4K -40.8M -194.6K 1.71 15.60 N/A N/A 559 956 41,636 65,152 2009-04-20 $15.69 $12.50 85.9% 24.6% 58.8% 34.2% 80.6% 16.3% -8.9% 60.1K -19.6M -197.4K 0.22 30.43 N/A N/A 1,395 310 31,491 41,723 2009-04-21 $15.00 $12.50 82.4% 23.6% 57.2% 32.3% 85.8% 16.6% -8.8% 52.9K -15.1M -197.6K 2.92 24.87 N/A N/A 120 351 32,572 41,989 2009-04-22 $15.37 $12.50 85.6% 24.5% 57.5% 34.1% 83.9% 12.9% -14.6% 80.5K -18.6M -197.6K 0.14 21.57 N/A N/A 3,603 509 32,571 42,215 2009-04-23 $16.94 $12.50 56.0% 16.1% 63.9% 17.8% 63.6% 7.2% 2.9% 226.4K -30.0M -190.9K 0.99 16.67 N/A N/A 3,976 3,933 34,111 42,013 2009-04-24 $16.19 $12.50 65.4% 18.7% 66.6% 22.9% 64.4% 9.1% -0.4% 163.8K -25.7M -198.5K 1.00 28.90 N/A N/A 486 487 34,759 43,738 2009-04-27 $16.95 $12.50 60.4% 17.3% 68.0% 20.2% 64.6% 22.9% -0.3% 202.4K -29.4M -203.1K 0.13 29.91 N/A N/A 1,893 245 36,078 45,156 2009-04-28 $17.47 $12.50 58.9% 16.9% 66.7% 19.3% 59.5% 27.5% 1.9% 230.2K -33.4M -200.3K 0.53 33.39 N/A N/A 600 319 36,099 45,206 2009-04-29 $17.86 $12.50 61.0% 17.5% 66.7% 20.5% 58.3% 10.4% -2.4% 285.2K -37.1M -202.4K 0.89 22.79 N/A N/A 12,000 10,658 37,760 45,279 2009-04-30 $17.71 $12.50 58.5% 16.8% 67.1% 19.1% 57.6% 8.6% 4.5% 143.0K -33.8M -239.6K 0.66 23.05 N/A N/A 3,012 1,994 40,329 55,617
« Mar 2009 | All History | May 2009 » Home AN History April 2009