AN Options History — August 2009

In August 2009, AN traded between $18.49 and $20.69. ATM implied volatility averaged 43.9%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 7.9% (HV 20d: 35.9%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 1.75.

Notable Days

  • 2009-08-04: Highest Volume — 5,942 contracts
  • 2009-08-24: Largest IV spike — 9.5% change
  • 2009-08-17: Highest IV Rank — 7.5%
  • 2009-08-17: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.33$18.49$20.69$20.69$18.98
Max Pain$20.95$17.50$22.50$17.50$20.00
ATM IV43.9%39.2%49.2%43.6%40.5%
Expected Move12.7%11.2%14.1%12.5%11.6%
HV 20d35.9%31.1%40.9%31.1%40.4%
HV 60d41.6%38.4%45.0%43.8%39.1%
IV Rank4.3%1.5%7.5%4.1%2.3%
IV Percentile3.9%0.4%12.7%1.6%0.8%
Term Structure1.7%-0.5%4.9%2.3%2.9%
VWIV45.3%39.4%50.5%43.3%41.7%
Skew 25d7.1%-1.6%16.2%4.5%6.5%
Skew 10d11.4%-7.8%25.6%8.5%9.3%
Call IV 25d41.5%30.0%46.7%41.6%37.5%
Put IV 25d48.6%43.2%53.6%46.1%44.0%
Bid-Ask Spread %21.6512.0934.8017.1414.86
Gamma HHI0.380.300.610.480.31
Net GEX192.4K38.4K401.5K401.5K38.4K
Net DEX-18.5M-34.3M-9.3M-34.3M-11.1M
Net VEX-129.1K-145.7K-116.4K-119.2K-122.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.750.087.294.605.44
Total Volume1,725.4763395,9422,7622,575
Total OI69,393.1963,80772,26263,80769,559

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$20.69$17.5043.6%12.5%31.1%4.1%43.3%4.5%2.3%401.5K-34.3M-119.2K4.6017.14N/AN/A4932,26927,34736,460
2009-08-04$19.68$17.5042.5%12.2%34.1%3.4%42.5%14.6%2.8%366.6K-26.4M-129.1K7.2914.58N/AN/A7175,22527,49537,962
2009-08-05$19.50$17.5043.0%12.3%33.9%3.8%43.3%10.1%2.2%194.7K-20.1M-145.7K0.8919.55N/AN/A31027727,46242,031
2009-08-06$19.47$17.5042.8%12.3%33.6%3.7%50.5%14.3%4.9%205.6K-20.3M-143.3K0.7112.09N/AN/A1,7181,22027,45142,072
2009-08-07$19.98$22.5044.8%13.1%33.5%4.8%49.7%9.0%2.9%234.7K-25.5M-138.8K1.7528.87N/AN/A56398728,40342,227
2009-08-10$19.19$22.5044.0%13.6%34.8%4.3%47.7%8.5%-0.4%231.9K-18.7M-140.3K0.9921.90N/AN/A18117928,33642,647
2009-08-11$19.06$22.5043.4%13.7%34.9%4.0%48.3%7.2%-0.3%244.9K-17.6M-136.1K1.3825.18N/AN/A41156828,30642,715
2009-08-12$19.30$22.5045.0%13.5%34.0%4.9%49.1%8.0%0.5%247.0K-19.8M-138.1K0.8421.20N/AN/A18415528,52942,572
2009-08-13$19.27$22.5047.0%13.5%34.1%6.1%46.4%6.0%0.2%289.8K-19.4M-130.1K0.8324.41N/AN/A39132428,54442,493
2009-08-14$18.49$22.5048.1%13.8%37.5%6.8%47.7%3.4%1.8%300.1K-13.1M-132.8K0.2222.67N/AN/A66514628,70542,611
2009-08-17$18.72$22.5049.2%14.1%36.7%7.5%47.1%3.5%0.7%249.7K-14.7M-128.0K0.7122.99N/AN/A1,6281,16328,41142,558
2009-08-18$18.90$20.0047.0%13.5%36.7%6.1%47.6%4.6%-0.5%117.8K-16.6M-128.3K0.0825.83N/AN/A3933029,31342,807
2009-08-19$19.21$20.0044.3%12.7%37.2%4.5%44.5%4.6%2.9%329.5K-19.3M-125.6K0.5325.64N/AN/A75140029,24542,715
2009-08-20$19.10$20.0043.1%12.4%34.7%3.8%42.8%5.1%2.1%262.0K-17.8M-123.7K0.1314.64N/AN/A1,37018429,35742,905
2009-08-21$19.11$20.0042.4%12.2%33.7%3.4%44.4%4.9%1.9%83.8K-18.1M-120.0K4.0934.80N/AN/A12149529,31842,910
2009-08-24$18.51$22.5046.4%13.3%35.2%5.8%46.0%-1.6%1.3%55.1K-9.3M-116.4K0.7713.70N/AN/A1,20292723,89940,064
2009-08-25$19.57$22.5042.7%12.2%40.9%3.6%44.7%6.1%0.1%63.3K-16.1M-121.7K2.9826.18N/AN/A1,2983,87024,31640,719
2009-08-26$19.74$22.5040.8%11.7%39.8%2.5%43.9%6.5%1.7%39.4K-16.9M-124.4K1.2125.87N/AN/A16920424,80543,169
2009-08-27$19.73$22.5041.1%11.8%39.0%2.6%41.1%6.6%2.4%40.2K-17.0M-123.3K0.6625.66N/AN/A74449124,84543,164
2009-08-28$19.63$22.5039.2%11.2%38.9%1.5%39.4%16.2%3.4%44.4K-16.3M-124.5K0.5716.88N/AN/A78844925,27443,536
2009-08-31$18.98$20.0040.5%11.6%40.4%2.3%41.7%6.5%2.9%38.4K-11.1M-122.0K5.4414.86N/AN/A4002,17525,69843,861