AN Options History — July 2009 In July 2009, AN traded between $16.35 and $20.68. ATM implied volatility averaged 47.9%, placing in the 7.7% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 6.4% (HV 20d: 41.5%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 2.63.
Notable Days 2009-07-16 : Highest Volume — 8,236 contracts2009-07-31 : Largest IV drop — 19.5% change2009-07-07 : Highest IV Rank — 10.7%2009-07-15 : Largest Expected Move — 15.8%Monthly Statistics Metric Avg Min Max Open Close Price $18.37 $16.35 $20.68 $17.77 $20.68 Max Pain $16.82 $15.00 $17.50 $15.00 $17.50 ATM IV 47.9% 41.9% 54.4% 43.1% 41.9% Expected Move 14.4% 12.0% 15.8% 12.4% 12.0% HV 20d 41.5% 31.0% 47.8% 38.7% 31.0% HV 60d 48.1% 43.7% 52.6% 52.3% 44.1% IV Rank 7.7% 3.1% 10.7% 8.2% 3.1% IV Percentile 7.0% 0.4% 19.0% 1.2% 0.4% Term Structure 0.2% -3.7% 9.6% 8.6% 3.8% VWIV 50.8% 35.9% 61.1% 35.9% 41.9% Skew 25d 8.8% -7.1% 14.2% -7.1% 3.4% Skew 10d 21.1% -12.8% 41.2% -12.8% 6.3% Call IV 25d 47.0% 37.3% 53.8% 44.4% 40.4% Put IV 25d 55.8% 37.3% 63.0% 37.3% 43.8% Bid-Ask Spread % 23.90 12.13 34.53 17.54 13.20 Gamma HHI 0.29 0.20 0.49 0.30 0.49 Net GEX 269.4K 100.2K 393.4K 362.6K 393.4K Net DEX -29.1M -50.7M -16.8M -35.3M -33.6M Net VEX -136.4K -160.2K -119.5K -158.0K -119.7K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 2.63 0.03 27.39 2.36 1.59 Total Volume 1,510.864 144 8,236 1,139 3,000 Total OI 85,338.545 57,688 113,041 105,733 62,960
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 2009-07-01 $17.77 $15.00 43.1% 12.4% 38.7% 8.2% 35.9% -7.1% 8.6% 362.6K -35.3M -158.0K 2.36 17.54 N/A N/A 339 800 45,304 60,429 2009-07-02 $16.88 $15.00 42.6% 12.2% 42.9% 7.9% 43.9% 13.8% 9.6% 225.0K -23.3M -160.2K 3.78 12.13 N/A N/A 262 990 44,782 61,066 2009-07-06 $16.95 $17.50 45.4% 15.1% 42.9% 9.5% 61.1% 12.1% 1.2% 223.0K -22.8M -152.2K 4.11 23.88 N/A N/A 110 452 44,950 60,736 2009-07-07 $16.35 $17.50 47.4% 15.6% 43.6% 10.7% 60.7% 9.3% -0.6% 170.8K -16.8M -148.1K 0.21 19.00 N/A N/A 569 117 44,918 60,922 2009-07-08 $16.83 $15.00 46.4% 15.5% 45.2% 10.1% 52.1% 9.9% 1.0% 190.0K -21.5M -148.8K 0.09 18.00 N/A N/A 1,728 149 44,961 60,995 2009-07-09 $16.70 $15.00 47.9% 15.4% 44.7% 6.8% 50.7% 10.9% -1.1% 199.9K -20.7M -149.5K 0.16 19.51 N/A N/A 488 77 45,862 60,989 2009-07-10 $16.53 $15.00 51.4% 15.2% 44.8% 8.7% 59.8% 9.3% -0.5% 195.2K -19.0M -147.3K 27.39 21.71 N/A N/A 23 630 46,145 60,901 2009-07-13 $17.33 $15.00 46.8% 15.6% 47.8% 6.0% 52.0% 12.3% -0.5% 137.1K -28.7M -138.4K 0.86 21.85 N/A N/A 337 290 46,032 61,414 2009-07-14 $17.57 $17.50 43.9% 15.2% 47.0% 4.3% 56.9% 10.4% 0.7% 108.6K -32.5M -135.1K 1.63 19.39 N/A N/A 161 263 46,090 61,626 2009-07-15 $18.04 $17.50 46.8% 15.8% 43.6% 6.0% 51.7% 10.0% -0.2% 118.4K -41.0M -129.4K 0.42 31.61 N/A N/A 1,071 455 46,009 61,784 2009-07-16 $18.10 $17.50 54.4% 15.6% 43.5% 10.5% 54.2% 14.2% -1.7% 100.2K -45.1M -126.7K 0.03 23.95 N/A N/A 7,996 240 46,419 62,104 2009-07-17 $18.23 $17.50 53.3% 15.3% 43.3% 9.9% 49.9% 8.6% -1.0% 280.5K -50.7M -140.8K 0.26 32.86 N/A N/A 787 206 51,521 61,520 2009-07-20 $18.69 $17.50 51.7% 14.8% 43.6% 8.9% 49.8% 8.8% 0.7% 364.2K -23.2M -126.1K 0.95 31.28 N/A N/A 451 429 25,866 31,917 2009-07-21 $18.82 $17.50 45.8% 13.1% 41.8% 5.4% 49.8% 9.3% 0.9% 345.0K -22.8M -134.3K 2.10 27.00 N/A N/A 187 392 25,765 32,057 2009-07-22 $18.89 $17.50 46.6% 13.3% 39.7% 5.9% 45.7% 7.8% -0.5% 349.7K -23.7M -133.4K 1.17 34.53 N/A N/A 266 311 25,748 31,940 2009-07-23 $19.59 $17.50 48.1% 13.8% 40.7% 6.8% 50.3% 8.3% -2.6% 355.9K -27.7M -131.3K 1.23 26.40 N/A N/A 551 675 25,863 32,164 2009-07-24 $20.01 $17.50 48.4% 13.9% 37.4% 6.9% 48.3% 9.3% -1.4% 350.4K -29.5M -127.6K 2.78 28.42 N/A N/A 204 567 26,108 32,557 2009-07-27 $19.75 $17.50 50.5% 14.5% 38.0% 8.2% 51.0% 9.2% -3.2% 353.5K -28.2M -128.2K 2.24 24.84 N/A N/A 173 387 26,249 32,694 2009-07-28 $19.67 $17.50 49.6% 14.2% 37.9% 7.7% 52.2% 9.0% -2.3% 345.9K -27.8M -124.6K 0.73 31.45 N/A N/A 83 61 26,056 32,984 2009-07-29 $20.20 $17.50 50.3% 14.4% 38.0% 8.1% 50.2% 8.5% -2.4% 373.0K -31.0M -119.5K 0.40 25.94 N/A N/A 1,708 677 26,062 33,018 2009-07-30 $20.63 $17.50 52.0% 14.9% 37.9% 9.1% 50.6% 5.6% -3.7% 385.0K -34.2M -122.0K 3.39 21.34 N/A N/A 1,042 3,535 26,710 33,251 2009-07-31 $20.68 $17.50 41.9% 12.0% 31.0% 3.1% 41.9% 3.4% 3.8% 393.4K -33.6M -119.7K 1.59 13.20 N/A N/A 1,157 1,843 26,859 36,101
« Jun 2009 | All History | Aug 2009 » Home AN History July 2009