AN Options History — January 2010

In January 2010, AN traded between $18.00 and $20.69. ATM implied volatility averaged 34.8%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 10.4% (HV 20d: 24.4%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.97.

Notable Days

  • 2010-01-13: Highest Volume — 6,058 contracts
  • 2010-01-11: Largest IV spike — 11.5% change
  • 2010-01-29: Highest IV Rank — 12.4%
  • 2010-01-29: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.30$18.00$20.69$19.27$18.00
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV34.8%31.5%38.0%33.4%38.0%
Expected Move10.1%9.1%10.9%10.1%10.9%
HV 20d24.4%19.1%26.5%20.3%25.6%
HV 60d31.0%24.7%35.1%34.2%24.7%
IV Rank4.9%0.9%12.4%2.5%12.4%
IV Percentile6.5%2.0%13.9%3.6%13.9%
Term Structure-0.1%-2.4%1.9%1.4%-2.4%
VWIV34.3%31.9%37.4%35.1%37.2%
Skew 25d3.5%-3.1%8.7%2.8%-1.9%
Skew 10d4.6%-6.4%12.7%8.7%-5.3%
Call IV 25d32.9%27.1%37.4%35.6%37.3%
Put IV 25d36.4%33.3%39.1%38.4%35.4%
Bid-Ask Spread %21.8716.5029.8625.7529.49
Gamma HHI0.580.480.750.520.49
Net GEX343.7K174.7K620.8K239.4K177.4K
Net DEX-11.6M-21.5M-3.0M-12.7M-3.0M
Net VEX-66.5K-74.5K-56.9K-57.7K-69.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.004.730.260.03
Total Volume991.15836,0585341,822
Total OI28,690.15820,37738,30431,89123,228

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-01-04$19.27$20.0033.4%10.1%20.3%2.5%35.1%2.8%1.4%239.4K-12.7M-57.7K0.2625.75N/AN/A42411017,87414,017
2010-01-05$19.57$20.0031.9%9.9%19.1%1.2%33.7%5.1%1.4%312.6K-14.1M-56.9K0.1629.86N/AN/A1,47823217,88814,076
2010-01-06$20.32$20.0035.2%10.1%22.5%4.0%35.2%7.0%1.3%418.0K-18.9M-58.5K0.6418.25N/AN/A95461518,84614,092
2010-01-07$20.68$20.0035.1%9.9%22.7%3.9%34.6%5.2%1.6%445.0K-21.1M-61.4K0.7220.79N/AN/A15010819,27014,512
2010-01-08$20.69$20.0031.5%9.9%22.7%0.9%33.6%5.8%0.6%481.3K-21.5M-59.9K0.1022.85N/AN/A20219,40514,518
2010-01-11$20.45$20.0035.1%9.7%23.6%4.0%32.9%4.4%1.9%506.2K-20.6M-59.0K0.1620.70N/AN/A1322119,40014,533
2010-01-12$20.00$20.0034.3%10.2%25.5%3.3%35.5%2.0%-0.4%588.2K-17.4M-58.1K0.1717.15N/AN/A2784719,50714,554
2010-01-13$19.91$20.0036.0%9.7%25.7%4.7%33.9%4.2%1.1%620.8K-16.6M-57.7K0.1822.28N/AN/A5,14591319,58114,560
2010-01-14$19.53$20.0034.1%9.8%25.4%3.1%34.2%2.3%-1.2%599.1K-16.5M-72.5K0.1725.79N/AN/A5639722,99914,990
2010-01-15$19.18$20.0033.1%9.5%26.5%3.0%32.2%6.3%0.5%348.5K-14.8M-70.9K2.8020.32N/AN/A30886323,30914,995
2010-01-19$19.34$20.0031.7%9.1%26.2%1.5%31.9%8.7%0.5%272.8K-8.7M-69.9K0.6716.50N/AN/A76851613,7216,656
2010-01-20$19.19$20.0033.5%9.6%25.0%3.4%33.6%7.2%-1.6%300.7K-8.4M-73.7K2.9016.99N/AN/A3631,05314,2907,095
2010-01-21$18.67$20.0034.0%9.7%25.7%4.1%33.1%2.4%-0.7%224.5K-5.6M-74.4K3.2521.88N/AN/A9129614,4127,981
2010-01-22$18.36$20.0035.9%10.3%25.6%6.4%36.0%-0.8%-0.3%190.1K-4.2M-73.1K0.1922.79N/AN/A91217414,4378,240
2010-01-25$18.61$20.0037.8%10.8%26.1%8.9%32.8%4.8%-0.7%220.8K-5.2M-74.5K0.0018.14N/AN/A3014,7648,238
2010-01-26$18.55$20.0037.3%10.7%25.6%8.9%0.0%2.2%-1.3%215.3K-4.8M-73.4K0.8918.75N/AN/A353114,7648,238
2010-01-27$18.34$20.0036.6%10.5%25.1%8.1%0.0%2.0%-0.7%194.1K-3.9M-72.3K4.7329.37N/AN/A157114,7998,247
2010-01-28$18.03$20.0037.3%10.7%25.6%9.4%37.4%-3.1%-2.0%174.7K-3.1M-70.2K0.3617.83N/AN/A1635914,8098,268
2010-01-29$18.00$20.0038.0%10.9%25.6%12.4%37.2%-1.9%-2.4%177.4K-3.0M-69.8K0.0329.49N/AN/A1,7725014,9568,272