AN Options History — October 2009

In October 2009, AN traded between $17.24 and $21.17. ATM implied volatility averaged 44.1%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 8.5% (HV 20d: 35.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 2.56.

Notable Days

  • 2009-10-14: Highest Volume — 7,381 contracts
  • 2009-10-14: Largest IV spike — 35.7% change
  • 2009-10-14: Highest IV Rank — 11.6%
  • 2009-10-28: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.90$17.24$21.17$17.40$17.24
Max Pain$19.77$17.50$20.00$17.50$20.00
ATM IV44.1%37.2%55.8%40.2%48.2%
Expected Move12.8%11.5%14.8%11.5%13.8%
HV 20d35.6%25.9%49.9%31.3%49.9%
HV 60d36.9%34.2%40.8%35.9%40.8%
IV Rank4.5%0.3%11.6%2.1%7.0%
IV Percentile14.5%0.4%42.5%1.6%31.0%
Term Structure-2.2%-5.3%4.7%4.7%-4.2%
VWIV44.0%38.7%51.4%39.9%49.7%
Skew 25d4.9%-5.8%17.8%-0.6%3.0%
Skew 10d9.4%-16.0%28.8%-0.9%3.2%
Call IV 25d42.3%33.5%51.0%34.3%48.7%
Put IV 25d47.3%33.7%53.3%33.7%51.6%
Bid-Ask Spread %18.219.0027.079.0021.33
Gamma HHI0.520.270.710.670.60
Net GEX-69.5K-434.7K448.4K-309.9K-143.6K
Net DEX-7.9M-23.2M4.1M2.4M3.7M
Net VEX-86.5K-94.7K-77.2K-94.7K-85.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.560.0317.531.880.77
Total Volume1,631.1361247,3811,493717
Total OI55,383.77328,50377,67673,06037,877

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-10-01$17.40$17.5040.2%11.5%31.3%2.1%39.9%-0.6%4.7%-309.9K2.4M-94.7K1.889.00N/AN/A51997426,73446,326
2009-10-02$17.25$17.5043.0%12.3%31.2%3.8%43.1%17.8%2.6%-302.8K4.1M-94.1K1.1215.86N/AN/A37642026,68846,369
2009-10-05$17.73$20.0043.5%13.3%32.6%4.1%43.1%8.0%-2.1%-336.6K-40.8K-90.8K0.5224.63N/AN/A32517026,64246,305
2009-10-06$17.95$20.0043.5%13.3%30.6%4.1%45.2%8.6%-2.5%-324.3K-2.8M-89.8K0.6714.45N/AN/A18612426,69545,924
2009-10-07$18.04$20.0042.8%13.6%30.7%3.6%43.9%11.3%-4.0%-327.6K-3.6M-87.3K1.3815.53N/AN/A527226,55645,896
2009-10-08$18.09$20.0039.3%13.0%30.5%1.6%43.5%6.4%-1.4%-357.4K-4.7M-85.1K1.5827.07N/AN/A9021,42126,55945,896
2009-10-09$17.99$20.0037.2%12.8%28.2%0.3%40.0%7.6%-2.1%-434.7K-2.9M-82.5K0.1916.21N/AN/A53510326,38445,654
2009-10-12$18.25$20.0042.2%12.8%28.6%3.3%44.9%9.1%-1.5%-353.5K-6.4M-79.8K12.1618.16N/AN/A1401,70326,54245,719
2009-10-13$18.29$20.0041.1%12.8%25.9%2.7%38.7%9.1%-2.1%-385.2K-5.7M-80.5K17.5311.75N/AN/A1526326,57046,846
2009-10-14$19.53$20.0055.8%11.9%34.9%11.6%41.9%6.2%-2.8%60.9K-18.9M-83.9K0.5924.97N/AN/A4,6482,73326,56547,050
2009-10-15$19.80$20.0041.9%12.0%32.3%3.1%44.4%5.8%-2.8%397.6K-23.2M-82.5K0.6619.32N/AN/A28718928,16149,474
2009-10-16$19.69$20.0041.3%11.9%32.5%2.8%41.1%2.5%-0.3%448.4K-17.8M-79.1K0.0720.54N/AN/A2,88420628,14649,530
2009-10-19$20.74$20.0044.3%12.7%36.5%4.6%43.0%5.2%-3.4%79.6K-13.9M-77.2K0.4818.23N/AN/A1,01748413,81314,690
2009-10-20$20.56$20.0042.3%12.1%36.9%3.4%41.6%6.4%-1.5%75.3K-13.4M-80.9K0.2718.93N/AN/A1,69546014,36214,954
2009-10-21$20.56$20.0045.0%12.9%35.3%5.0%45.0%1.2%-4.3%99.9K-14.4M-85.9K0.1319.16N/AN/A3,17741315,26415,227
2009-10-22$21.17$20.0044.0%12.6%35.2%4.5%41.8%4.4%-4.3%289.7K-18.3M-91.3K0.0317.03N/AN/A5961818,09015,153
2009-10-23$20.53$20.0045.0%12.9%38.0%5.1%45.4%0.6%-3.5%255.2K-16.1M-92.3K2.0718.93N/AN/A45894718,46715,153
2009-10-26$20.04$20.0046.3%13.3%39.6%5.8%47.3%1.2%-4.2%162.3K-12.9M-91.6K1.2119.45N/AN/A26432018,46315,998
2009-10-27$18.78$20.0046.8%13.4%46.9%6.1%47.8%-1.3%-4.4%44.1K-6.5M-87.5K6.3516.99N/AN/A2171,37718,47016,174
2009-10-28$18.09$20.0051.7%14.8%48.9%9.1%51.4%2.3%-5.3%-24.0K-2.3M-88.6K4.9220.94N/AN/A5692,80218,38417,022
2009-10-29$18.09$20.0044.5%12.8%46.7%4.7%44.7%-5.8%-0.1%-141.3K751.5K-91.3K1.6412.09N/AN/A41968818,53119,120
2009-10-30$17.24$20.0048.2%13.8%49.9%7.0%49.7%3.0%-4.2%-143.6K3.7M-85.8K0.7721.33N/AN/A40431318,56319,314