AN Options History — May 2010

In May 2010, AN traded between $18.40 and $20.86. ATM implied volatility averaged 40.9%, placing in the 58.2% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 1.4% (HV 20d: 42.3%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 2.63.

Notable Days

  • 2010-05-05: Highest Volume — 4,031 contracts
  • 2010-05-20: Largest IV spike — 38.5% change
  • 2010-05-20: Highest IV Rank — 100.0%
  • 2010-05-20: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.62$18.40$20.86$20.52$20.03
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV40.9%35.9%56.4%35.9%36.9%
Expected Move11.6%10.3%16.2%10.3%10.6%
HV 20d42.3%37.5%46.4%39.8%46.1%
HV 60d35.0%31.3%38.8%31.3%38.6%
IV Rank58.2%41.4%100.0%41.4%50.1%
IV Percentile48.0%30.6%100.0%30.6%32.5%
Term Structure-0.5%-7.7%3.5%-1.0%2.2%
VWIV41.6%35.9%52.8%35.9%36.4%
Skew 25d11.1%4.7%20.2%10.3%14.7%
Skew 10d18.5%1.5%40.4%12.6%23.3%
Call IV 25d33.5%23.2%40.0%23.2%27.4%
Put IV 25d44.6%32.6%58.3%33.5%42.1%
Bid-Ask Spread %28.7611.8045.0719.4934.69
Gamma HHI0.390.330.470.470.38
Net GEX294.7K185.4K410.3K241.3K304.1K
Net DEX-8.5M-14.6M-3.7M-10.6M-9.6M
Net VEX-77.5K-82.7K-69.7K-69.7K-77.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.630.0025.400.131.76
Total Volume785.65444,03113291
Total OI24,672.621,44226,47521,45124,444

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-05-03$20.52$20.0035.9%10.3%39.8%41.4%35.9%10.3%-1.0%241.3K-10.6M-69.7K0.1319.49N/AN/A1171511,8069,645
2010-05-04$20.28$20.0038.0%10.9%39.0%46.2%37.9%8.4%-2.2%227.8K-9.6M-71.5K0.0511.80N/AN/A6893711,8069,636
2010-05-05$20.01$20.0037.7%10.8%39.4%48.4%37.5%4.7%-2.6%217.6K-8.9M-72.2K0.0317.56N/AN/A3,92210911,9589,640
2010-05-06$19.32$20.0040.6%11.6%41.6%55.9%42.1%7.5%-1.8%301.3K-8.3M-80.4K0.4745.07N/AN/A44420715,2109,575
2010-05-07$19.03$20.0042.6%12.0%41.9%60.8%46.9%8.8%-0.6%268.3K-6.7M-80.8K0.2933.29N/AN/A40811715,2539,601
2010-05-10$20.14$20.0040.1%10.5%46.2%54.8%36.6%8.0%-0.1%390.3K-11.2M-80.0K2.4331.65N/AN/A19747915,1939,652
2010-05-11$20.41$20.0042.6%11.0%46.2%60.9%38.4%7.0%-1.4%376.5K-12.8M-80.2K0.8025.24N/AN/A836615,1149,863
2010-05-12$20.86$20.0037.8%10.5%40.2%49.3%37.1%5.1%0.9%410.3K-14.6M-78.3K0.5132.24N/AN/A1,38770615,1129,887
2010-05-13$20.05$20.0037.8%10.8%42.9%49.2%38.0%7.4%-0.9%398.7K-11.5M-82.7K0.0924.44N/AN/A2542316,02510,019
2010-05-14$19.46$20.0038.6%11.1%43.4%51.0%39.4%7.5%1.6%330.3K-8.2M-82.2K1.7427.19N/AN/A17230016,07810,039
2010-05-17$19.46$20.0039.5%11.3%43.3%54.4%39.9%6.7%0.2%344.3K-7.9M-79.7K1.4333.06N/AN/A405716,07310,152
2010-05-18$18.99$20.0041.5%11.9%43.5%61.8%0.0%12.8%-0.6%268.4K-5.3M-76.8K0.1826.16N/AN/A731316,08910,197
2010-05-19$19.11$20.0040.7%11.7%37.5%59.8%41.0%13.3%-0.9%285.1K-5.8M-77.5K4.6532.64N/AN/A177916,10310,204
2010-05-20$18.40$20.0056.4%16.2%39.3%100.0%48.7%18.3%-7.7%185.4K-3.7M-75.5K25.4028.84N/AN/A621,57516,10810,159
2010-05-21$19.28$20.0044.9%12.9%42.2%70.4%52.8%20.2%0.2%310.2K-6.6M-79.9K2.9927.86N/AN/A7422116,10810,367
2010-05-24$18.85$20.0041.3%11.8%42.7%61.3%46.4%16.0%3.1%215.0K-5.7M-76.7K0.0732.82N/AN/A2,39615714,5339,323
2010-05-25$19.16$20.0041.5%11.9%42.7%61.9%51.2%14.8%3.5%283.6K-6.6M-79.3K0.0033.92N/AN/A44016,1689,318
2010-05-26$19.05$20.0044.2%12.7%42.5%68.6%46.5%14.8%-1.5%228.9K-6.4M-75.8K0.6130.09N/AN/A442714,1709,318
2010-05-27$20.05$20.0039.8%11.4%46.4%57.3%38.6%15.8%-0.3%306.5K-9.4M-74.0K8.9127.23N/AN/A10290914,1829,324
2010-05-28$20.03$20.0036.9%10.6%46.1%50.1%36.4%14.7%2.2%304.1K-9.6M-77.2K1.7634.69N/AN/A335814,22410,220