AN Options History — July 2010

In July 2010, AN traded between $18.30 and $24.43. ATM implied volatility averaged 37.7%, placing in the 52.1% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 1.3% (HV 20d: 36.4%). Max pain ranged from $20.00 to $20.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.57.

Notable Days

  • 2010-07-20: Highest Volume — 3,785 contracts
  • 2010-07-07: Largest IV drop — 21.1% change
  • 2010-07-06: Highest IV Rank — 82.6%
  • 2010-07-06: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.09$18.30$24.43$19.46$24.43
Max Pain$20.00$20.00$20.00$20.00$20.00
ATM IV37.7%32.5%49.6%41.4%33.1%
Expected Move11.2%9.3%14.1%11.9%9.5%
HV 20d36.4%29.6%45.0%32.8%44.1%
HV 60d41.6%38.2%43.7%41.2%43.5%
IV Rank52.1%38.7%82.6%61.5%40.1%
IV Percentile42.2%22.2%95.2%57.5%24.2%
Term Structure0.0%-2.4%4.9%3.3%4.5%
VWIV39.6%33.4%51.3%34.2%34.3%
Skew 25d8.5%2.4%16.7%16.7%8.6%
Skew 10d20.7%-6.4%47.5%47.5%37.1%
Call IV 25d35.7%24.1%42.4%35.6%30.1%
Put IV 25d44.2%37.3%52.3%52.3%38.8%
Bid-Ask Spread %27.2415.7244.1923.0329.57
Gamma HHI0.490.320.970.360.41
Net GEX597.2K-68.5K6.8M225.2K306.8K
Net DEX-7.1M-20.3M3.9M-2.3M-19.8M
Net VEX-68.1K-77.4K-55.2K-77.4K-63.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.570.229.650.229.65
Total Volume986.905523,7854231,278
Total OI27,402.42921,02432,44329,23027,286

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-07-01$19.46$20.0041.4%11.9%32.8%61.5%34.2%16.7%3.3%225.2K-2.3M-77.4K0.2223.03N/AN/A3467715,66313,567
2010-07-02$18.90$20.0041.6%11.9%33.4%61.9%41.1%2.4%4.9%148.8K-158.1K-77.3K0.7928.71N/AN/A292315,42613,634
2010-07-06$18.30$20.0049.6%14.1%31.3%82.6%51.3%9.9%-1.1%-66.1K3.9M-66.8K0.7444.19N/AN/A16011915,41213,644
2010-07-07$18.95$20.0039.1%11.9%32.6%55.7%45.4%7.8%1.9%143.1K954.6K-70.1K2.2929.17N/AN/A23854615,45013,684
2010-07-08$19.22$20.0035.9%11.9%33.2%47.4%44.1%8.0%-0.4%238.1K-335.6K-70.9K0.5919.48N/AN/A1388215,28913,839
2010-07-09$19.37$20.0034.5%11.6%30.9%43.8%0.0%8.7%-0.4%315.4K-970.2K-68.4K4.4329.52N/AN/A9140315,31513,809
2010-07-12$19.30$20.0036.5%11.6%30.3%48.9%41.5%6.1%0.1%343.1K-189.6K-64.8K1.6634.72N/AN/A9515815,32513,922
2010-07-13$19.73$20.0036.0%11.6%31.6%47.7%40.9%8.2%-1.6%682.1K-2.4M-64.9K0.7932.02N/AN/A47637615,27414,041
2010-07-14$19.82$20.0036.4%11.9%30.7%48.8%41.6%8.7%-1.0%839.6K-2.7M-64.6K0.9827.45N/AN/A1,2661,23915,44513,796
2010-07-15$20.00$20.0040.1%11.5%30.5%58.2%40.1%7.6%-0.2%1.5M-4.4M-68.5K0.6430.38N/AN/A1,02365416,53614,851
2010-07-16$19.99$20.0041.8%12.0%30.0%62.6%42.7%6.5%-1.5%6.8M-4.6M-72.5K0.3415.72N/AN/A83328117,01115,432
2010-07-19$20.05$20.0042.6%12.2%29.6%64.6%44.4%11.8%-0.5%-68.5K-845.0K-69.9K1.6621.90N/AN/A4006659,49511,529
2010-07-20$21.64$20.0039.0%11.2%39.7%55.3%40.4%13.0%-1.0%-44.4K-6.4M-65.3K0.4230.86N/AN/A2,6721,1139,56111,980
2010-07-21$21.27$20.0038.5%11.0%39.3%54.1%40.9%6.4%-0.7%2.0K-5.5M-74.3K0.3129.77N/AN/A78824511,42512,735
2010-07-22$22.54$20.0036.5%10.5%44.0%48.9%35.0%15.8%-0.7%91.1K-12.0M-71.9K0.3120.22N/AN/A91828211,87412,887
2010-07-23$23.14$20.0034.0%9.8%42.4%42.6%35.7%4.5%0.7%133.8K-15.2M-65.9K1.1128.88N/AN/A13314812,09912,922
2010-07-26$24.34$20.0032.7%9.4%45.0%39.1%33.4%6.4%-0.4%213.6K-19.8M-55.2K0.2423.73N/AN/A1,55938112,02512,999
2010-07-27$24.25$20.0032.5%9.3%45.0%38.7%34.1%5.9%-1.5%309.5K-20.3M-60.0K3.4817.56N/AN/A17059113,24613,067
2010-07-28$23.91$20.0035.5%10.2%44.4%46.4%35.6%6.4%-2.4%194.2K-17.5M-72.7K1.5026.33N/AN/A19028513,25513,575
2010-07-29$24.33$20.0035.0%10.0%44.3%45.1%34.6%9.2%-1.2%249.4K-19.3M-65.5K0.7928.87N/AN/A14211213,39413,732
2010-07-30$24.43$20.0033.1%9.5%44.1%40.1%34.3%8.6%4.5%306.8K-19.8M-63.5K9.6529.57N/AN/A1201,15813,47913,807