AN Options History — June 2009 In June 2009, AN traded between $16.05 and $18.05. ATM implied volatility averaged 50.8%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded above realized volatility by 1.5% (HV 20d: 49.2%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 1.74.
Notable Days 2009-06-04 : Highest Volume — 7,606 contracts2009-06-25 : Largest IV drop — 13.0% change2009-06-04 : Highest IV Rank — 17.8%2009-06-04 : Largest Expected Move — 16.1%Monthly Statistics Metric Avg Min Max Open Close Price $17.16 $16.05 $18.05 $16.99 $17.35 Max Pain $15.00 $15.00 $15.00 $15.00 $15.00 ATM IV 50.8% 45.0% 56.3% 49.1% 45.9% Expected Move 14.6% 12.9% 16.1% 14.1% 13.2% HV 20d 49.2% 38.0% 55.1% 53.3% 38.0% HV 60d 58.6% 52.1% 66.0% 65.9% 52.2% IV Rank 13.3% 9.3% 17.8% 13.8% 9.8% IV Percentile 9.7% 1.2% 20.2% 9.1% 2.0% Term Structure 4.4% -4.3% 9.2% -2.5% 6.1% VWIV 52.1% 43.7% 58.0% 49.6% 43.7% Skew 25d 10.0% 3.9% 24.1% 10.5% 15.4% Skew 10d 23.8% 8.7% 45.6% 25.2% 25.0% Call IV 25d 45.3% 31.4% 53.7% 39.7% 34.4% Put IV 25d 55.3% 49.6% 62.1% 50.2% 49.8% Bid-Ask Spread % 20.08 9.77 27.39 24.97 18.27 Gamma HHI 0.30 0.20 0.40 0.27 0.25 Net GEX 566.2K 119.8K 1.1M 385.5K 323.1K Net DEX -33.6M -53.5M -13.9M -31.7M -29.8M Net VEX -191.3K -216.9K -163.7K -196.8K -163.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.74 0.13 7.65 1.04 3.81 Total Volume 2,328.273 130 7,606 2,645 130 Total OI 113,534.5 103,878 122,128 107,618 105,722
Daily Data (22 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 2009-06-01 $16.99 $15.00 49.1% 14.1% 53.3% 13.8% 49.6% 10.5% -2.5% 385.5K -31.7M -196.8K 1.04 24.97 N/A N/A 1,294 1,351 47,594 60,024 2009-06-02 $17.62 $15.00 52.1% 14.9% 54.9% 15.4% 53.9% 23.2% -4.3% 446.8K -39.3M -201.2K 0.28 15.86 N/A N/A 3,203 895 48,569 60,126 2009-06-03 $17.37 $15.00 54.8% 15.7% 55.1% 17.0% 55.0% 24.1% -3.5% 469.2K -36.9M -212.3K 0.38 15.29 N/A N/A 3,973 1,500 50,847 60,502 2009-06-04 $17.38 $15.00 56.3% 16.1% 55.0% 17.8% 56.4% 17.9% -3.7% 595.1K -38.4M -210.1K 0.13 17.23 N/A N/A 6,713 893 52,820 60,758 2009-06-05 $17.44 $15.00 53.0% 14.7% 54.4% 16.0% 51.8% 6.6% 6.4% 801.7K -42.9M -216.9K 0.73 25.62 N/A N/A 2,467 1,809 55,613 60,981 2009-06-08 $17.84 $15.00 52.8% 15.1% 54.5% 15.8% 50.8% 8.2% 5.2% 928.0K -49.0M -214.1K 0.49 15.92 N/A N/A 1,217 599 56,090 62,152 2009-06-09 $17.78 $15.00 49.3% 14.3% 53.6% 13.9% 49.6% 8.1% 7.2% 974.5K -48.7M -207.9K 1.71 25.20 N/A N/A 509 871 55,993 62,616 2009-06-10 $18.05 $15.00 48.2% 14.2% 52.9% 13.3% 50.0% 6.1% 7.0% 1.1M -53.5M -195.0K 0.67 24.78 N/A N/A 762 509 55,841 63,151 2009-06-11 $17.93 $15.00 49.6% 14.2% 47.9% 11.9% 48.4% 6.2% 4.4% 1.1M -52.9M -194.2K 0.60 26.23 N/A N/A 1,230 740 55,621 63,498 2009-06-12 $17.57 $15.00 51.2% 14.7% 48.5% 12.8% 51.0% 5.1% 5.5% 985.3K -44.1M -197.0K 1.35 19.36 N/A N/A 566 766 55,350 63,668 2009-06-15 $17.10 $15.00 51.5% 14.8% 48.9% 13.0% 52.6% 6.2% 5.3% 889.1K -35.7M -192.1K 2.47 23.01 N/A N/A 1,009 2,496 55,348 64,178 2009-06-16 $16.26 $15.00 51.5% 14.8% 51.9% 13.0% 54.5% 6.3% 4.0% 206.6K -21.1M -190.0K 0.86 17.08 N/A N/A 795 687 55,464 66,471 2009-06-17 $16.48 $15.00 51.1% 14.6% 51.0% 12.7% 53.7% 4.7% 6.5% 428.1K -23.9M -190.6K 0.63 26.59 N/A N/A 698 438 55,300 66,719 2009-06-18 $16.76 $15.00 51.2% 14.7% 47.8% 12.8% 53.3% 7.4% 4.6% 632.2K -26.6M -187.7K 0.91 27.39 N/A N/A 118 107 55,133 66,974 2009-06-19 $17.06 $15.00 50.8% 14.6% 47.2% 12.6% 52.2% 3.9% 6.0% 913.4K -30.5M -190.7K 0.57 17.33 N/A N/A 520 294 55,089 67,039 2009-06-22 $16.57 $15.00 53.5% 15.3% 48.8% 14.1% 58.0% 4.3% 3.7% 196.5K -20.7M -179.7K 7.65 20.14 N/A N/A 664 5,080 44,377 59,501 2009-06-23 $16.10 $15.00 55.5% 15.9% 44.4% 15.3% 55.1% 6.1% 6.5% 135.6K -15.2M -179.3K 6.18 24.92 N/A N/A 273 1,687 44,863 60,059 2009-06-24 $16.05 $15.00 52.8% 15.2% 42.3% 13.7% 52.5% 7.1% 7.9% 119.8K -13.9M -178.7K 0.39 17.41 N/A N/A 617 238 44,952 60,927 2009-06-25 $16.96 $15.00 46.0% 13.2% 46.3% 9.9% 53.5% 6.5% 8.0% 234.4K -24.7M -173.4K 5.00 9.77 N/A N/A 297 1,486 45,283 60,965 2009-06-26 $17.23 $15.00 45.0% 12.9% 46.1% 9.3% 46.0% 14.9% 9.2% 311.0K -28.0M -171.3K 0.40 15.32 N/A N/A 799 316 45,122 60,495 2009-06-29 $17.55 $15.00 45.4% 13.0% 40.0% 9.5% 54.4% 20.8% 7.5% 362.2K -32.4M -165.2K 2.08 14.00 N/A N/A 197 409 45,419 60,545 2009-06-30 $17.35 $15.00 45.9% 13.2% 38.0% 9.8% 43.7% 15.4% 6.1% 323.1K -29.8M -163.7K 3.81 18.27 N/A N/A 27 103 45,322 60,400
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