AN Options History — November 2009

In November 2009, AN traded between $17.44 and $19.11. ATM implied volatility averaged 43.7%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 0.3% (HV 20d: 44.0%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 3.99.

Notable Days

  • 2009-11-23: Highest Volume — 5,294 contracts
  • 2009-11-06: Largest IV drop — 11.2% change
  • 2009-11-03: Highest IV Rank — 8.0%
  • 2009-11-03: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.16$17.44$19.11$17.56$17.65
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV43.7%40.1%49.9%48.5%42.0%
Expected Move12.6%11.5%14.3%13.9%12.0%
HV 20d44.0%28.0%52.7%49.4%28.0%
HV 60d39.5%37.0%40.8%40.6%37.1%
IV Rank4.5%2.8%8.0%7.2%4.6%
IV Percentile14.9%2.4%34.9%32.1%8.7%
Term Structure0.0%-3.6%2.5%-3.0%1.3%
VWIV44.1%40.1%49.9%46.5%41.0%
Skew 25d6.0%-6.9%19.3%2.8%19.3%
Skew 10d13.9%-9.5%30.6%5.7%30.6%
Call IV 25d39.3%29.2%50.3%48.8%29.3%
Put IV 25d45.3%34.7%51.5%51.5%48.6%
Bid-Ask Spread %22.7714.8332.3924.1520.86
Gamma HHI0.490.340.700.620.34
Net GEX-130.3K-395.6K10.5K-154.5K10.5K
Net DEX-1.6M-5.4M3.0M3.0M-2.2M
Net VEX-85.6K-95.9K-71.7K-87.4K-78.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.990.0618.563.132.46
Total Volume869.65195,294578568
Total OI38,07231,87140,40238,09633,943

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$17.56$20.0048.5%13.9%49.4%7.2%46.5%2.8%-3.0%-154.5K3.0M-87.4K3.1324.15N/AN/A14043818,68419,412
2009-11-03$18.08$20.0049.9%14.3%50.3%8.0%49.9%-1.7%-3.6%-142.5K294.6K-90.5K0.8914.83N/AN/A64157118,76919,450
2009-11-04$18.20$20.0049.6%14.2%50.3%7.8%49.9%-5.0%-2.1%-134.0K-1.0M-92.7K2.1521.25N/AN/A4781,02819,16819,593
2009-11-05$18.02$20.0048.6%13.9%50.4%7.2%48.5%-3.5%-2.0%-156.9K206.6K-94.8K2.2017.74N/AN/A5111219,54020,100
2009-11-06$18.56$20.0043.1%13.5%51.5%3.9%47.0%13.4%-1.1%-162.6K-2.4M-95.9K0.3820.92N/AN/A2027619,56220,027
2009-11-09$19.11$20.0042.9%12.0%52.2%3.8%47.0%4.9%1.2%-135.1K-5.4M-94.6K0.4529.70N/AN/A24010719,68720,042
2009-11-10$18.76$20.0041.6%12.4%52.7%3.0%43.3%4.2%-0.2%-165.3K-3.9M-92.4K0.0631.23N/AN/A18119,75720,090
2009-11-11$18.75$20.0041.9%12.8%47.0%3.1%42.6%4.5%1.0%-174.1K-3.9M-90.3K0.2432.39N/AN/A1202919,76520,089
2009-11-12$18.36$20.0044.6%12.8%47.0%4.8%44.1%8.7%-1.0%-183.7K-1.7M-89.5K0.5021.21N/AN/A1396919,81320,102
2009-11-13$18.28$20.0043.3%12.4%47.0%4.0%43.4%4.7%2.5%-185.8K-1.1M-87.3K18.5625.46N/AN/A3259419,89020,105
2009-11-16$18.72$20.0043.3%12.4%43.5%4.0%0.0%8.7%1.3%-99.3K-3.3M-86.1K6.0822.43N/AN/A127319,89820,494
2009-11-17$18.59$20.0044.1%12.7%43.5%4.6%43.4%9.2%0.5%-107.7K-2.6M-83.8K17.5021.50N/AN/A23519,89420,474
2009-11-18$18.47$20.0043.4%12.4%43.5%4.1%0.0%6.6%-1.2%-111.8K-2.0M-83.1K2.2623.31N/AN/A5813119,89420,508
2009-11-19$18.03$20.0043.0%12.3%42.0%3.8%42.8%7.4%0.5%-256.8K101.6K-80.9K9.7220.67N/AN/A2011,95319,90520,474
2009-11-20$17.78$20.0041.2%11.8%41.2%2.8%40.9%4.0%2.1%-395.6K975.7K-79.2K1.3724.54N/AN/A16422419,90220,250
2009-11-23$17.75$20.0042.3%12.1%40.7%4.1%42.7%-6.9%-0.1%-54.8K-1.6M-76.3K9.5917.19N/AN/A5004,79416,38116,775
2009-11-24$17.45$20.0041.1%11.8%34.6%3.6%41.1%15.5%0.5%-8.8K-1.3M-71.7K0.6824.41N/AN/A1,45798916,69815,173
2009-11-25$17.63$20.0040.2%11.5%32.5%3.0%40.2%7.2%2.0%6.1K-2.6M-79.5K0.3519.94N/AN/A54119117,75515,698
2009-11-27$17.44$20.0040.1%11.5%32.7%2.9%40.1%16.1%1.4%6.6K-2.3M-78.7K1.2721.65N/AN/A18223217,95815,721
2009-11-30$17.65$20.0042.0%12.0%28.0%4.6%41.0%19.3%1.3%10.5K-2.2M-78.1K2.4620.86N/AN/A16440418,02515,918