AN Options History — April 2010

In April 2010, AN traded between $18.04 and $21.10. ATM implied volatility averaged 29.3%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 7.5% (HV 20d: 36.8%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.48.

Notable Days

  • 2010-04-28: Highest Volume — 3,004 contracts
  • 2010-04-07: Largest IV spike — 53.8% change
  • 2010-04-27: Highest IV Rank — 38.7%
  • 2010-04-06: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.48$18.04$21.10$18.16$20.20
Max Pain$18.21$17.50$20.00$17.50$20.00
ATM IV29.3%21.3%34.7%22.7%34.0%
Expected Move9.3%6.5%10.0%6.5%9.8%
HV 20d36.8%28.4%43.5%29.3%39.9%
HV 60d29.9%26.7%32.9%27.9%32.9%
IV Rank20.8%5.8%38.7%7.7%37.3%
IV Percentile14.6%1.2%27.0%2.0%26.6%
Term Structure-1.1%-4.5%13.4%13.4%-0.1%
VWIV31.3%18.6%34.7%18.6%34.0%
Skew 25d4.6%-3.1%11.7%7.9%4.9%
Skew 10d8.4%-7.3%63.9%63.9%5.9%
Call IV 25d27.8%20.0%33.3%20.0%25.1%
Put IV 25d32.4%27.9%36.7%27.9%29.9%
Bid-Ask Spread %20.0511.3429.5811.3419.00
Gamma HHI0.480.410.730.460.47
Net GEX226.8K60.4K776.0K147.9K225.6K
Net DEX-7.3M-12.9M-2.2M-2.4M-9.3M
Net VEX-66.7K-79.2K-61.7K-64.1K-71.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.0320.150.290.18
Total Volume1,0041273,0041,749176
Total OI24,403.85718,88228,06626,67421,414

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-04-01$18.16$17.5022.7%6.5%29.3%7.7%18.6%7.9%13.4%147.9K-2.4M-64.1K0.2911.34N/AN/A1,36038916,09610,578
2010-04-05$18.04$17.5027.6%9.2%28.4%14.8%30.9%4.0%-0.3%122.4K-2.2M-65.0K0.4429.58N/AN/A45419816,35310,794
2010-04-06$18.65$17.5021.5%10.0%30.9%5.9%31.5%4.7%-4.5%172.9K-4.9M-64.6K2.0517.05N/AN/A5541,13616,34110,817
2010-04-07$18.65$17.5033.0%9.6%30.9%22.8%30.6%3.9%-2.1%254.4K-4.9M-68.0K0.1712.69N/AN/A3596016,33211,305
2010-04-08$18.53$17.5021.4%9.9%30.9%5.9%30.7%3.7%-4.1%106.0K-4.2M-63.7K0.0720.19N/AN/A1651216,33211,305
2010-04-09$18.36$17.5029.9%9.8%30.8%18.2%33.7%-0.3%-2.5%129.1K-3.1M-65.0K3.7018.19N/AN/A2710016,36111,300
2010-04-12$18.37$17.5024.6%9.8%30.5%10.4%31.1%2.8%-2.4%67.8K-3.6M-62.1K0.3316.53N/AN/A1234116,35711,393
2010-04-13$18.28$17.5025.3%10.0%30.2%11.6%30.1%2.2%-3.8%60.4K-3.4M-61.7K0.2615.80N/AN/A1233216,37011,353
2010-04-14$19.59$17.5021.3%8.8%38.9%5.8%30.3%11.7%-2.0%776.0K-9.0M-65.9K0.3418.16N/AN/A1,39847516,41411,382
2010-04-15$19.56$17.5030.1%8.6%38.9%18.6%30.2%9.4%-2.5%702.8K-8.9M-65.4K0.2721.76N/AN/A51213816,64411,422
2010-04-16$19.08$17.5032.6%9.4%39.9%22.2%33.1%7.0%-3.9%108.2K-6.4M-64.4K0.2117.97N/AN/A51210616,64211,346
2010-04-19$19.18$17.5031.8%9.1%39.7%21.1%32.6%8.6%-2.3%130.4K-5.4M-63.7K0.1818.00N/AN/A2424410,1908,692
2010-04-20$19.59$17.5029.6%8.5%39.8%17.8%29.7%9.9%0.1%169.5K-7.1M-64.4K0.1019.95N/AN/A1,34113910,2588,709
2010-04-21$20.77$17.5031.9%9.1%42.5%21.2%31.5%4.8%-1.2%235.1K-11.9M-65.1K0.2624.31N/AN/A2,09853611,0218,814
2010-04-22$20.55$17.5030.4%8.7%41.3%19.1%30.3%0.2%-0.1%284.4K-11.7M-68.2K0.5829.15N/AN/A1,06862211,7559,151
2010-04-23$21.06$20.0032.3%9.3%41.8%31.0%32.7%3.0%-1.9%230.1K-12.6M-67.7K0.1726.51N/AN/A95616011,4039,623
2010-04-26$21.10$20.0032.4%9.3%41.7%31.3%32.3%4.0%0.7%234.6K-12.9M-67.1K0.0324.10N/AN/A8432411,4839,656
2010-04-27$20.57$20.0034.7%9.9%43.1%38.7%34.5%-2.1%-1.4%226.5K-11.2M-70.1K0.9322.79N/AN/A67963211,7289,668
2010-04-28$20.29$20.0034.7%9.9%43.5%38.7%34.7%-3.1%-0.8%220.5K-9.6M-73.7K20.1525.95N/AN/A1422,86211,7319,778
2010-04-29$20.53$20.0033.5%9.6%39.1%36.1%33.5%9.4%-0.7%157.4K-9.6M-79.2K0.2911.96N/AN/A1915511,71712,453
2010-04-30$20.20$20.0034.0%9.8%39.9%37.3%34.0%4.9%-0.1%225.6K-9.3M-71.4K0.1819.00N/AN/A1492711,7689,646