AN Options History — March 2010

In March 2010, AN traded between $18.01 and $19.71. ATM implied volatility averaged 24.7%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 0.5% (HV 20d: 24.1%). Max pain ranged from $17.50 to $17.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 3.41.

Notable Days

  • 2010-03-24: Highest Volume — 3,903 contracts
  • 2010-03-09: Largest IV spike — 39.9% change
  • 2010-03-15: Highest IV Rank — 15.2%
  • 2010-03-15: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.68$18.01$19.71$18.20$18.08
Max Pain$17.50$17.50$17.50$17.50$17.50
ATM IV24.7%17.4%27.9%27.6%26.7%
Expected Move7.3%6.1%8.0%7.9%7.6%
HV 20d24.1%19.0%30.0%29.3%30.0%
HV 60d25.7%24.6%28.1%25.4%28.1%
IV Rank8.1%0.0%15.2%2.2%13.5%
IV Percentile2.3%0.0%7.1%0.8%7.1%
Term Structure3.4%-1.5%5.4%1.2%4.8%
VWIV25.9%17.6%30.5%27.6%26.6%
Skew 25d3.4%-5.8%9.2%8.6%5.0%
Skew 10d8.7%-7.2%39.0%10.7%7.1%
Call IV 25d23.6%16.5%26.7%18.9%21.8%
Put IV 25d27.0%19.4%30.8%27.5%26.8%
Bid-Ask Spread %16.699.3225.5116.8616.64
Gamma HHI0.710.480.850.660.48
Net GEX316.8K167.5K489.1K223.2K167.5K
Net DEX-5.9M-10.5M-2.3M-3.9M-2.3M
Net VEX-54.6K-67.2K-46.3K-54.5K-60.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.410.0040.750.041.12
Total Volume671.783123,9035712,101
Total OI22,472.8719,88325,83621,37825,836

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-03-01$18.20$17.5027.6%7.9%29.3%2.2%27.6%8.6%1.2%223.2K-3.9M-54.5K0.0416.86N/AN/A5512014,2137,165
2010-03-02$18.01$17.5025.9%7.4%29.1%0.0%25.0%4.9%2.5%202.4K-3.6M-53.7K40.7518.24N/AN/A416314,3247,175
2010-03-03$18.08$17.5027.5%7.9%28.5%2.6%0.0%3.7%-1.5%215.2K-3.8M-54.0K0.0524.69N/AN/A95514,2597,323
2010-03-04$18.40$17.5026.2%7.5%29.2%0.5%26.0%6.2%2.6%266.4K-4.8M-55.0K0.0325.51N/AN/A196614,2797,322
2010-03-05$18.76$17.5022.2%7.4%23.7%0.0%26.1%2.7%2.4%361.8K-6.6M-55.9K0.0113.43N/AN/A724814,3507,316
2010-03-08$18.90$17.5017.4%7.4%23.7%0.0%27.9%5.1%2.1%388.1K-7.1M-55.9K0.6014.28N/AN/A76545914,9217,308
2010-03-09$18.95$17.5024.4%7.1%23.7%9.9%29.0%3.9%3.1%489.1K-7.8M-56.2K1.1013.88N/AN/A101115,2187,189
2010-03-10$19.01$17.5018.1%7.0%22.9%1.0%25.2%3.7%3.0%466.8K-7.5M-54.6K0.3612.21N/AN/A281015,2097,181
2010-03-11$18.79$17.5022.0%6.3%23.0%6.7%26.2%3.2%5.4%341.7K-6.4M-52.0K0.4416.72N/AN/A1627115,2377,177
2010-03-12$18.54$17.5027.2%7.8%20.6%14.3%27.3%4.8%4.5%289.2K-5.7M-51.6K0.7121.75N/AN/A342415,1407,134
2010-03-15$18.30$17.5027.9%8.0%21.3%15.2%27.8%1.6%3.7%238.3K-4.4M-48.3K0.0010.29N/AN/A22015,1347,130
2010-03-16$18.45$17.5027.7%8.0%20.1%15.1%27.6%2.7%2.8%274.0K-4.9M-47.6K1.2419.02N/AN/A172115,1387,126
2010-03-17$18.47$17.5026.5%7.6%19.0%13.3%22.3%1.2%4.2%277.1K-5.1M-48.4K19.5018.86N/AN/A47815,1387,147
2010-03-18$18.29$17.5025.9%7.4%19.3%12.3%25.9%9.2%4.4%245.6K-4.5M-46.9K0.0012.73N/AN/A12015,1397,098
2010-03-19$18.56$17.5024.8%7.1%19.9%10.7%24.7%-0.3%5.3%289.5K-5.5M-46.3K0.7322.11N/AN/A34525215,1297,068
2010-03-22$18.92$17.5023.5%6.7%21.0%8.8%25.7%3.4%2.9%334.8K-6.6M-49.6K0.6516.51N/AN/A54735713,0476,836
2010-03-23$19.71$17.5023.4%6.7%23.8%8.7%23.4%8.2%3.6%460.5K-10.5M-52.2K0.099.32N/AN/A8757713,4426,917
2010-03-24$19.18$17.5024.3%7.0%26.3%10.1%0.0%4.4%3.8%414.6K-8.5M-51.9K10.5511.34N/AN/A3383,56513,7146,888
2010-03-25$19.03$17.5025.0%7.2%26.3%11.0%17.6%3.0%3.3%294.2K-6.6M-64.1K0.1915.34N/AN/A1573014,02010,033
2010-03-26$19.00$17.5025.3%7.3%25.7%11.5%30.5%4.6%5.3%293.4K-6.2M-63.3K0.2321.86N/AN/A2,47456114,0839,822
2010-03-29$19.02$17.5026.5%7.6%24.4%13.2%0.0%-5.6%3.3%376.1K-7.2M-67.2K0.0013.49N/AN/A205015,60210,119
2010-03-30$18.97$17.5021.3%6.1%24.0%5.7%25.5%-5.8%5.0%376.7K-7.3M-66.0K0.0018.78N/AN/A67015,71110,119
2010-03-31$18.08$17.5026.7%7.6%30.0%13.5%26.6%5.0%4.8%167.5K-2.3M-60.9K1.1216.64N/AN/A9931,10815,71710,119