AN Options History — February 2010

In February 2010, AN traded between $17.59 and $18.55. ATM implied volatility averaged 35.7%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 8.1% (HV 20d: 27.6%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.76.

Notable Days

  • 2010-02-10: Highest Volume — 2,904 contracts
  • 2010-02-11: Largest IV drop — 30.8% change
  • 2010-02-10: Highest IV Rank — 30.5%
  • 2010-02-04: Largest Expected Move — 11.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.07$17.59$18.55$18.25$17.75
Max Pain$18.55$17.50$20.00$20.00$17.50
ATM IV35.7%26.2%49.1%39.5%26.2%
Expected Move9.8%7.5%11.7%11.3%7.5%
HV 20d27.6%24.9%30.1%26.3%27.9%
HV 60d24.9%24.1%25.6%24.1%24.9%
IV Rank10.2%0.0%30.5%14.8%0.0%
IV Percentile15.4%0.0%59.1%17.1%0.0%
Term Structure-0.9%-5.6%2.3%-3.0%2.3%
VWIV33.0%26.2%39.5%39.5%26.2%
Skew 25d4.8%-7.5%17.0%17.0%3.8%
Skew 10d7.6%-11.7%26.0%26.0%5.5%
Call IV 25d29.3%17.0%37.8%25.4%22.6%
Put IV 25d34.2%26.3%42.4%42.4%26.3%
Bid-Ask Spread %23.0614.5837.1114.5815.12
Gamma HHI0.600.450.720.590.58
Net GEX229.9K138.7K327.7K258.0K167.2K
Net DEX-3.5M-5.4M-1.4M-3.7M-2.5M
Net VEX-63.5K-72.7K-53.2K-70.7K-53.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.760.006.793.461.41
Total Volume387242,90458154
Total OI24,900.84221,20127,66724,88321,451

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$18.25$20.0039.5%11.3%26.3%14.8%39.5%17.0%-3.0%258.0K-3.7M-70.7K3.4614.58N/AN/A134516,5768,307
2010-02-02$18.55$20.0040.1%11.5%27.0%15.8%36.4%3.3%-4.2%319.0K-5.0M-72.7K0.0022.47N/AN/A256016,5798,315
2010-02-03$18.48$20.0039.6%11.4%26.2%15.0%37.7%2.7%-2.4%327.7K-5.0M-72.5K0.0022.08N/AN/A29016,8328,315
2010-02-04$17.60$20.0040.8%11.7%26.4%17.0%38.1%4.5%-5.6%186.8K-1.6M-65.3K0.3117.46N/AN/A1574816,7488,315
2010-02-05$17.59$20.0043.9%10.9%24.9%22.0%37.9%8.3%-1.3%184.0K-1.4M-64.9K0.1531.56N/AN/A3835716,7358,317
2010-02-08$17.61$20.0044.1%10.9%24.9%22.3%0.0%6.2%-2.3%197.6K-1.8M-64.5K0.0025.64N/AN/A24016,9478,357
2010-02-09$17.96$20.0046.5%10.8%26.7%26.2%36.2%4.1%-1.4%237.6K-2.8M-65.8K4.4628.85N/AN/A2410716,9348,357
2010-02-10$18.23$20.0049.1%11.2%27.1%30.5%36.6%4.6%-2.9%275.5K-3.9M-67.5K0.2123.59N/AN/A2,39650816,9468,421
2010-02-11$17.69$17.5034.0%9.7%28.6%5.9%34.0%-7.5%-0.7%143.0K-1.5M-63.4K6.0920.40N/AN/A2271,38218,8048,857
2010-02-12$17.72$17.5032.6%9.4%28.2%3.7%31.7%4.9%0.9%138.7K-1.6M-63.4K6.7937.11N/AN/A1912918,8658,787
2010-02-16$18.11$17.5035.0%10.0%29.3%8.0%33.8%-2.0%-0.7%199.6K-3.4M-64.5K0.5821.88N/AN/A1528818,8808,787
2010-02-17$18.46$17.5033.4%9.6%30.1%5.3%32.9%3.2%-0.5%260.6K-5.2M-64.4K0.8925.91N/AN/A575118,9718,579
2010-02-18$18.50$17.5032.3%9.3%30.0%3.4%32.2%4.3%-0.6%262.8K-5.4M-64.1K0.0030.81N/AN/A46018,9518,553
2010-02-19$18.42$17.5029.0%8.3%28.5%0.0%29.3%1.1%1.4%257.3K-5.1M-62.6K4.9334.88N/AN/A9647318,9258,553
2010-02-22$18.36$17.5027.7%7.9%27.9%0.0%27.8%10.6%1.5%279.0K-5.1M-59.0K1.5618.38N/AN/A457014,0927,109
2010-02-23$18.02$17.5029.0%8.3%28.2%2.1%28.9%8.3%0.9%228.6K-3.8M-56.2K0.5415.54N/AN/A723914,1007,137
2010-02-24$18.13$17.5027.4%7.9%28.3%0.0%27.4%7.8%1.4%232.7K-3.8M-55.7K0.3616.27N/AN/A1234414,1357,152
2010-02-25$17.97$17.5028.2%8.1%28.2%1.3%28.2%6.7%0.5%212.1K-3.2M-55.9K1.7915.59N/AN/A142514,2507,177
2010-02-26$17.75$17.5026.2%7.5%27.9%0.0%26.2%3.8%2.3%167.2K-2.5M-53.2K1.4115.12N/AN/A649014,2567,195