AN Options History — September 2009

In September 2009, AN traded between $17.52 and $18.46. 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 5.5% (HV 20d: 38.4%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 5.10.

Notable Days

  • 2009-09-03: Highest Volume — 3,172 contracts
  • 2009-09-03: Largest IV drop — 8.1% change
  • 2009-09-08: Highest IV Rank — 6.5%
  • 2009-09-08: Largest Expected Move — 13.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.98$17.52$18.46$18.02$18.08
Max Pain$17.86$17.50$20.00$20.00$17.50
ATM IV43.9%39.3%47.7%47.2%39.9%
Expected Move12.7%11.3%13.9%13.5%11.4%
HV 20d38.4%28.6%41.2%40.7%28.6%
HV 60d38.8%35.4%40.8%40.3%35.4%
IV Rank4.3%1.5%6.5%6.2%1.9%
IV Percentile7.3%0.8%16.3%13.5%1.2%
Term Structure2.6%-1.7%6.1%0.8%6.1%
VWIV43.1%24.0%50.9%45.2%38.9%
Skew 25d6.2%-7.4%22.7%0.9%12.8%
Skew 10d13.2%-12.5%35.8%-1.8%14.6%
Call IV 25d38.6%25.3%43.0%40.7%25.3%
Put IV 25d44.9%33.8%52.8%41.6%38.2%
Bid-Ask Spread %15.339.1226.8424.039.12
Gamma HHI0.520.340.700.340.62
Net GEX-227.5K-579.2K-78.6K-78.6K-264.0K
Net DEX-2.6M-8.3M1.7M-2.8M-4.0M
Net VEX-114.5K-124.6K-99.4K-123.2K-99.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.100.2528.182.223.23
Total Volume1,344.952713,1722,251626
Total OI73,955.09571,04577,81271,04572,968

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$18.02$20.0047.2%13.5%40.7%6.2%45.2%0.9%0.8%-78.6K-2.8M-123.2K2.2224.03N/AN/A7001,55125,99245,053
2009-09-02$17.75$20.0046.3%13.3%40.9%5.7%45.7%22.7%2.6%-139.6K1.2M-124.6K1.4826.84N/AN/A9301,37826,35745,891
2009-09-03$17.89$20.0042.6%12.2%41.1%3.5%42.5%10.1%1.9%-174.9K727.3K-119.0K2.1313.26N/AN/A1,0152,15726,42746,332
2009-09-04$17.67$17.5044.5%13.5%39.6%4.7%47.6%8.2%1.6%-196.8K1.7M-122.6K1.7113.12N/AN/A42272126,82147,391
2009-09-08$18.26$17.5047.7%13.9%39.7%6.5%49.7%10.5%1.2%-173.5K-2.6M-118.9K4.8210.77N/AN/A6832826,88847,472
2009-09-09$18.32$17.5044.4%13.4%39.7%4.6%44.5%10.5%2.3%-170.3K-3.4M-116.7K0.2512.82N/AN/A1,44235526,86147,242
2009-09-10$18.46$17.5046.2%13.2%39.5%5.7%45.5%11.0%1.3%-128.7K-7.7M-123.3K1.7112.23N/AN/A18732028,06046,139
2009-09-11$17.86$17.5045.1%12.9%41.0%5.0%50.9%9.0%3.9%-245.0K-1.9M-119.8K9.3618.93N/AN/A2041,91028,03146,035
2009-09-14$17.81$17.5046.3%13.3%38.6%5.7%46.3%7.8%1.5%-374.2K-1.4M-112.8K0.9012.01N/AN/A1,2171,10028,06646,394
2009-09-15$18.42$17.5047.1%13.5%40.3%6.2%41.7%10.4%-1.7%-146.8K-8.3M-118.0K2.6114.27N/AN/A5381,40529,10247,009
2009-09-16$18.40$17.5045.6%13.1%40.1%5.3%45.1%8.1%1.0%-128.9K-7.3M-119.0K26.2010.95N/AN/A441,15329,12847,903
2009-09-17$17.80$17.5044.2%12.7%41.1%4.4%43.8%9.0%2.2%-579.2K-1.0M-118.0K2.5218.98N/AN/A30677029,11248,647
2009-09-18$17.92$17.5043.2%12.4%41.2%3.9%43.1%6.5%3.0%-392.1K-3.5M-116.1K5.8115.40N/AN/A12472029,27548,537
2009-09-21$17.93$17.5042.1%12.1%41.2%3.2%42.5%10.3%2.9%-154.2K-2.9M-111.1K28.1819.06N/AN/A912,56426,76544,789
2009-09-22$18.18$17.5042.5%12.2%40.2%3.5%41.2%-0.7%4.1%-189.4K-5.5M-115.8K0.3511.01N/AN/A81428226,82746,453
2009-09-23$17.76$17.5042.3%12.1%34.9%3.3%41.6%-4.1%2.2%-223.4K-2.1M-111.8K6.6919.00N/AN/A6845526,70746,489
2009-09-24$17.52$17.5041.3%11.8%34.6%2.7%40.9%-7.4%4.4%-243.9K782.0K-106.2K1.3814.59N/AN/A17824526,55446,305
2009-09-25$17.66$17.5041.9%12.0%34.9%3.1%41.8%4.0%3.7%-239.7K64.7K-106.9K0.8214.87N/AN/A564626,60146,396
2009-09-28$17.81$17.5042.2%12.1%35.3%3.3%41.9%-4.2%4.8%-257.5K-1.0M-102.5K0.3715.30N/AN/A521926,60946,417
2009-09-29$17.99$17.5039.3%11.3%33.9%1.5%24.0%-4.4%5.5%-275.9K-2.9M-99.7K4.3415.35N/AN/A3151,36826,57646,436
2009-09-30$18.08$17.5039.9%11.4%28.6%1.9%38.9%12.8%6.1%-264.0K-4.0M-99.4K3.239.12N/AN/A14847826,63246,336