AN Options History — May 2009

In May 2009, AN traded between $15.06 and $17.56. ATM implied volatility averaged 54.0%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 1.6% (HV 20d: 55.6%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 2.13.

Notable Days

  • 2009-05-06: Highest Volume — 10,229 contracts
  • 2009-05-12: Largest IV spike — 38.8% change
  • 2009-05-04: Highest IV Rank — 21.1%
  • 2009-05-05: Largest Expected Move — 17.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.14$15.06$17.56$17.43$15.88
Max Pain$15.38$12.50$17.50$12.50$15.00
ATM IV54.0%36.7%62.0%59.7%53.8%
Expected Move16.1%14.0%17.8%17.1%15.4%
HV 20d55.6%43.8%62.6%62.5%46.9%
HV 60d64.2%63.1%67.2%67.2%65.0%
IV Rank16.6%7.1%21.1%19.8%16.4%
IV Percentile18.0%4.0%26.6%25.0%16.7%
Term Structure0.3%-2.8%3.1%2.9%-0.8%
VWIV56.0%49.5%63.4%60.4%54.1%
Skew 25d9.2%-1.2%16.4%7.7%8.6%
Skew 10d19.2%-3.0%37.8%27.0%24.7%
Call IV 25d51.8%43.3%60.7%57.0%48.1%
Put IV 25d61.0%46.2%68.8%64.7%56.7%
Bid-Ask Spread %27.9919.8537.0525.9829.48
Gamma HHI0.210.190.240.220.24
Net GEX150.0K21.0K283.9K108.9K179.2K
Net DEX-18.6M-33.3M-8.0M-33.3M-16.6M
Net VEX-215.5K-251.1K-200.9K-251.1K-201.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.130.0514.290.5214.29
Total Volume2,867.5551910,2291,5202,691
Total OI101,600.1594,741108,932100,127105,535

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$17.43$12.5059.7%17.1%62.5%19.8%60.4%7.7%2.9%108.9K-33.3M-251.1K0.5225.98N/AN/A99752343,05957,068
2009-05-04$17.56$17.5062.0%17.6%62.4%21.1%61.2%6.7%-1.5%82.9K-31.6M-238.3K3.3331.88N/AN/A12039941,32157,283
2009-05-05$17.39$17.5059.2%17.8%62.6%19.6%58.0%13.7%-0.4%88.3K-29.9M-236.1K0.9022.13N/AN/A63657241,37157,382
2009-05-06$17.27$17.5055.9%16.3%60.0%17.7%63.4%16.4%0.7%88.9K-29.6M-231.0K0.6524.32N/AN/A6,2124,01741,55757,589
2009-05-07$16.92$17.5053.3%15.6%59.8%16.3%57.9%11.9%-0.9%283.9K-30.4M-244.3K0.3423.83N/AN/A3,7541,26547,18560,373
2009-05-08$16.63$15.0051.4%15.4%58.0%15.2%58.5%9.4%0.9%273.7K-21.9M-217.4K1.2430.80N/AN/A34742942,07859,373
2009-05-11$16.24$15.0036.7%16.9%58.6%7.1%56.6%7.3%0.8%75.7K-17.3M-202.5K0.1236.22N/AN/A3,76345342,12059,310
2009-05-12$15.92$15.0050.9%17.4%57.6%15.0%56.8%12.6%-2.1%189.4K-16.1M-206.2K0.1929.90N/AN/A3,84474745,40659,191
2009-05-13$15.06$15.0052.6%16.9%61.0%15.9%55.8%8.6%-0.8%196.4K-9.5M-208.9K0.0923.47N/AN/A4,29836648,27459,277
2009-05-14$15.46$15.0058.9%16.9%60.2%19.3%58.3%9.2%-1.3%239.1K-14.7M-211.2K1.0129.21N/AN/A1,6921,70648,22358,999
2009-05-15$15.97$15.0057.9%16.6%61.0%18.7%55.3%8.8%2.6%199.8K-20.9M-216.6K0.9937.05N/AN/A76775949,16959,763
2009-05-18$15.66$15.0055.7%16.0%57.6%17.4%53.8%8.7%3.1%141.2K-11.9M-208.4K1.1219.85N/AN/A40245141,57553,166
2009-05-19$16.15$15.0056.4%16.2%56.1%17.8%54.7%15.5%0.4%211.0K-17.4M-207.8K7.0521.06N/AN/A1471,03741,79953,289
2009-05-20$15.39$15.0053.9%15.5%58.4%16.5%49.5%7.9%0.0%127.4K-9.9M-201.3K0.0526.57N/AN/A3,08214341,83453,345
2009-05-21$15.09$15.0052.3%15.0%46.0%15.5%52.3%8.5%2.7%143.3K-8.0M-201.8K3.4528.94N/AN/A1,1583,99144,04953,372
2009-05-22$15.23$15.0053.2%15.3%43.8%16.1%53.1%8.5%1.6%50.5K-8.7M-213.3K4.1934.00N/AN/A19782644,66956,825
2009-05-26$16.26$15.0048.9%14.0%47.1%13.7%52.9%9.3%-2.8%198.0K-20.5M-203.6K0.9920.47N/AN/A56255644,82056,599
2009-05-27$15.68$15.0054.7%15.7%47.0%16.9%54.3%5.3%-0.2%101.3K-14.5M-206.9K2.0231.55N/AN/A32165044,98857,710
2009-05-28$15.56$15.0052.4%15.0%45.9%15.6%52.3%-1.2%2.2%21.0K-10.1M-200.9K0.0533.18N/AN/A3,31815345,05258,005
2009-05-29$15.88$15.0053.8%15.4%46.9%16.4%54.1%8.6%-0.8%179.2K-16.6M-201.7K14.2929.48N/AN/A1762,51547,54657,989