AN Options History — June 2010

In June 2010, AN traded between $19.50 and $21.80. ATM implied volatility averaged 40.1%, placing in the 58.1% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 4.9% (HV 20d: 45.0%). Max pain ranged from $17.50 to $20.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 2.17.

Notable Days

  • 2010-06-29: Highest Volume — 2,723 contracts
  • 2010-06-04: Largest IV spike — 21.8% change
  • 2010-06-07: Highest IV Rank — 83.9%
  • 2010-06-07: Largest Expected Move — 13.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.56$19.50$21.80$19.64$19.50
Max Pain$18.86$17.50$20.00$20.00$20.00
ATM IV40.1%34.2%50.1%41.3%40.6%
Expected Move11.4%9.8%13.0%11.8%11.6%
HV 20d45.0%36.4%52.0%46.2%36.4%
HV 60d41.6%38.7%42.6%38.7%41.2%
IV Rank58.1%43.0%83.9%61.2%59.4%
IV Percentile49.2%27.4%91.7%50.0%52.8%
Term Structure1.0%-1.2%5.1%-0.1%5.1%
VWIV40.4%27.1%51.5%41.3%40.7%
Skew 25d8.7%0.5%18.6%15.1%6.6%
Skew 10d18.2%-1.2%28.3%22.2%25.5%
Call IV 25d36.0%25.4%45.8%33.6%43.1%
Put IV 25d44.7%33.6%50.6%48.7%49.7%
Bid-Ask Spread %22.4712.9832.2227.2117.81
Gamma HHI0.390.370.430.370.37
Net GEX394.2K243.9K553.7K269.9K243.9K
Net DEX-11.4M-18.5M-2.7M-8.2M-2.7M
Net VEX-74.0K-79.7K-70.1K-75.6K-79.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.170.0019.160.061.11
Total Volume546.864352,72336137
Total OI25,857.40924,43929,27424,43929,274

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-06-01$19.64$20.0041.3%11.8%46.2%61.2%41.3%15.1%-0.1%269.9K-8.2M-75.6K0.0627.21N/AN/A34214,23010,209
2010-06-02$20.48$20.0038.9%11.2%48.6%55.1%38.9%17.3%0.5%349.9K-11.3M-73.9K0.0630.11N/AN/A2701714,23210,210
2010-06-03$21.32$20.0037.1%10.6%50.2%50.6%38.6%5.3%0.1%373.5K-15.8M-73.8K1.0523.80N/AN/A24125414,43910,206
2010-06-04$20.86$17.5045.3%12.7%49.1%71.4%43.8%6.6%-0.5%331.5K-12.8M-75.5K0.0523.57N/AN/A7343514,11010,345
2010-06-07$19.90$17.5050.1%13.0%52.0%83.9%45.7%4.7%-0.2%291.6K-8.9M-75.7K1.8332.22N/AN/A11621214,46710,354
2010-06-08$20.42$17.5046.1%12.8%48.7%73.5%43.7%6.4%-0.5%321.4K-10.9M-75.9K0.4919.37N/AN/A1004914,52110,514
2010-06-09$20.41$17.5047.1%12.6%48.5%76.2%51.5%8.9%0.1%334.0K-11.0M-75.3K10.4912.98N/AN/A4143014,54510,495
2010-06-10$21.06$17.5043.6%12.5%49.2%67.3%48.0%10.9%-1.2%394.0K-14.1M-71.6K0.6316.56N/AN/A271714,54210,344
2010-06-11$21.33$17.5036.8%10.5%47.0%49.7%43.0%11.6%1.0%417.6K-15.5M-70.1K0.6420.01N/AN/A51632914,53510,345
2010-06-14$21.41$17.5036.4%10.4%45.3%48.6%37.7%11.1%0.6%432.9K-16.1M-70.5K0.2018.54N/AN/A78616014,81810,598
2010-06-15$21.80$17.5034.2%9.8%45.5%43.0%35.2%11.7%1.8%508.6K-18.5M-70.4K0.8723.32N/AN/A29125315,40910,758
2010-06-16$21.36$17.5036.0%10.3%45.2%47.6%36.8%6.5%1.8%491.5K-15.9M-71.6K0.5825.11N/AN/A47227615,36110,934
2010-06-17$20.96$17.5040.1%11.5%46.1%58.2%39.8%9.4%-1.1%456.2K-13.7M-74.9K0.2525.06N/AN/A61215015,59111,027
2010-06-18$21.18$20.0037.3%10.7%43.3%50.9%33.8%5.4%2.2%553.7K-15.3M-73.6K0.0019.27N/AN/A402115,90811,158
2010-06-21$20.67$20.0038.6%11.1%41.9%54.3%38.0%0.5%1.3%479.4K-12.3M-75.6K1.9224.06N/AN/A122315,42310,759
2010-06-22$20.21$20.0037.9%10.9%41.9%52.6%27.1%18.6%1.8%431.4K-9.6M-74.0K1.6617.69N/AN/A17629215,43510,770
2010-06-23$20.42$20.0037.9%10.9%41.7%52.5%40.5%9.6%1.6%465.8K-10.8M-76.1K0.9323.11N/AN/A434015,48210,962
2010-06-24$19.79$20.0038.4%11.0%43.4%53.7%38.3%7.1%2.9%375.8K-6.8M-73.7K0.6521.08N/AN/A59538915,12410,923
2010-06-25$20.03$20.0037.5%10.8%39.6%51.6%40.6%6.1%2.5%406.0K-7.9M-74.9K0.1726.96N/AN/A2304015,38711,255
2010-06-28$19.94$20.0037.8%10.8%39.6%52.2%39.1%5.1%3.1%431.4K-7.8M-72.6K19.1624.42N/AN/A2547915,53311,270
2010-06-29$19.53$20.0042.3%12.1%39.7%63.8%47.1%6.5%-0.6%311.3K-4.8M-73.6K4.9222.14N/AN/A4602,26315,45211,609
2010-06-30$19.50$20.0040.6%11.6%36.4%59.4%40.7%6.6%5.1%243.9K-2.7M-79.7K1.1117.81N/AN/A657215,70413,570