AN Options History — December 2009

In December 2009, AN traded between $17.60 and $19.88. ATM implied volatility averaged 35.4%, placing in the 1.3% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 14.2% (HV 20d: 21.3%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 2.25.

Notable Days

  • 2009-12-28: Highest Volume — 739 contracts
  • 2009-12-10: Largest IV spike — 11.9% change
  • 2009-12-10: Highest IV Rank — 3.7%
  • 2009-12-04: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.61$17.60$19.88$17.70$19.15
Max Pain$17.84$17.50$20.00$20.00$17.50
ATM IV35.4%30.4%40.4%40.4%30.9%
Expected Move10.3%8.7%11.7%11.6%8.9%
HV 20d21.3%18.5%27.3%27.3%20.6%
HV 60d35.3%34.1%37.0%37.0%34.1%
IV Rank1.3%0.0%3.7%3.2%0.5%
IV Percentile1.3%0.0%4.0%3.6%1.2%
Term Structure3.4%0.6%5.5%1.2%4.8%
VWIV35.1%24.0%40.9%40.4%33.6%
Skew 25d5.9%-3.6%11.0%8.3%8.7%
Skew 10d12.7%-2.8%26.8%10.8%12.7%
Call IV 25d32.2%24.9%38.9%28.7%30.8%
Put IV 25d38.1%25.5%45.3%37.0%39.4%
Bid-Ask Spread %12.459.0617.5313.1111.17
Gamma HHI0.410.350.510.350.49
Net GEX95.3K-35.9K252.8K5.6K211.2K
Net DEX-8.3M-15.6M-2.9M-3.0M-12.1M
Net VEX-69.7K-78.9K-59.8K-77.8K-59.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.250.0339.500.650.55
Total Volume232.54531739684397
Total OI33,566.59131,42434,96634,16731,903

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-12-01$17.70$20.0040.4%11.6%27.3%3.2%40.4%8.3%1.2%5.6K-3.0M-77.8K0.6513.11N/AN/A41526918,11616,051
2009-12-02$17.72$20.0039.9%11.4%25.1%2.8%39.9%8.1%0.6%3.7K-3.0M-78.9K0.6111.22N/AN/A794818,24416,126
2009-12-03$17.60$20.0038.2%11.0%25.0%1.4%0.0%3.6%0.6%1.6K-2.9M-78.8K0.4912.81N/AN/A803918,28916,160
2009-12-04$18.06$17.5037.4%11.7%26.6%0.6%40.9%7.9%2.0%14.4K-4.7M-78.3K0.7311.91N/AN/A14210318,35816,153
2009-12-07$18.07$17.5037.5%11.7%24.2%0.7%40.7%4.9%2.3%11.0K-5.0M-77.1K39.5011.50N/AN/A415818,41616,184
2009-12-08$18.07$17.5039.2%11.2%21.4%2.2%36.3%6.5%4.0%3.6K-4.7M-75.8K0.3113.04N/AN/A26818,41616,251
2009-12-09$18.05$17.5035.4%11.6%20.6%0.0%40.2%6.6%2.5%2.5K-4.5M-74.9K0.0312.61N/AN/A36118,43716,251
2009-12-10$18.16$17.5039.6%11.4%20.8%3.7%38.1%5.1%2.8%6.8K-5.4M-73.9K1.0714.27N/AN/A16017218,45816,251
2009-12-11$18.35$17.5039.4%11.3%19.9%3.5%32.5%7.1%2.4%12.8K-6.4M-74.5K0.1615.14N/AN/A641018,55116,389
2009-12-14$18.41$17.5038.7%11.1%19.8%2.9%34.9%1.0%2.6%20.9K-6.7M-71.5K0.399.50N/AN/A773018,54616,391
2009-12-15$18.01$17.5036.9%10.6%19.3%1.3%36.2%4.7%5.0%-35.9K-4.7M-70.1K0.2317.53N/AN/A3758518,58516,381
2009-12-16$18.16$17.5037.2%10.7%19.5%1.6%34.8%-1.2%3.7%46.7K-6.0M-67.9K1.3312.17N/AN/A516818,61216,144
2009-12-17$18.43$17.5037.2%10.7%20.2%1.6%34.5%1.9%4.3%90.5K-7.3M-68.1K0.299.93N/AN/A24718,59516,141
2009-12-18$18.90$17.5033.3%9.5%20.0%0.0%39.1%7.6%5.0%144.4K-9.6M-67.5K0.0510.85N/AN/A3151518,57316,137
2009-12-21$19.31$17.5032.2%9.2%20.1%0.0%32.3%7.7%4.6%181.2K-12.9M-65.9K0.0412.18N/AN/A2611117,57513,960
2009-12-22$19.55$17.5031.1%8.9%20.2%0.0%32.1%10.2%4.7%211.5K-14.0M-65.3K1.0710.30N/AN/A444717,72713,971
2009-12-23$19.66$17.5030.5%8.7%18.5%0.0%30.5%10.6%5.5%233.2K-14.6M-64.5K1.069.28N/AN/A909517,74013,984
2009-12-24$19.88$17.5030.4%8.7%18.5%0.0%31.3%11.0%4.3%252.8K-15.6M-61.6K0.4315.55N/AN/A301317,56013,867
2009-12-28$19.51$17.5031.9%9.1%19.7%1.2%24.0%-3.6%4.4%225.3K-14.0M-59.8K0.319.06N/AN/A56417517,55713,867
2009-12-29$19.35$17.5031.9%9.1%20.1%1.2%37.4%7.1%3.7%225.9K-13.0M-61.0K0.0514.25N/AN/A2301117,65214,019
2009-12-30$19.25$17.5030.4%8.7%20.4%0.0%28.1%6.5%4.3%227.3K-12.7M-60.1K0.1216.47N/AN/A2563117,84714,030
2009-12-31$19.15$17.5030.9%8.9%20.6%0.5%33.6%8.7%4.8%211.2K-12.1M-59.8K0.5511.17N/AN/A25614117,85214,051