AN Options History — August 2010

In August 2010, AN traded between $22.56 and $24.85. ATM implied volatility averaged 36.8%, placing in the 49.6% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 2.9% (HV 20d: 39.6%). Max pain ranged from $20.00 to $24.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 1.33.

Notable Days

  • 2010-08-23: Highest Volume — 1,313 contracts
  • 2010-08-03: Largest IV spike — 21.2% change
  • 2010-08-03: Highest IV Rank — 68.0%
  • 2010-08-03: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.55$22.56$24.85$24.64$22.56
Max Pain$22.45$20.00$24.00$20.00$24.00
ATM IV36.8%32.9%43.9%36.2%38.1%
Expected Move10.5%9.8%12.6%10.4%10.9%
HV 20d39.6%30.2%49.0%41.4%30.2%
HV 60d40.7%36.6%43.5%42.8%36.6%
IV Rank49.6%39.6%68.0%48.3%53.0%
IV Percentile42.4%23.8%81.0%36.1%53.2%
Term Structure1.3%-0.6%4.2%0.1%0.8%
VWIV36.4%29.9%41.6%36.2%37.8%
Skew 25d7.2%3.6%12.3%8.5%4.9%
Skew 10d19.5%7.4%36.9%36.9%21.5%
Call IV 25d33.6%27.0%36.4%31.6%36.4%
Put IV 25d40.8%37.7%43.8%40.1%41.4%
Bid-Ask Spread %27.9215.4945.5320.4836.84
Gamma HHI0.420.340.500.460.36
Net GEX208.1K146.9K269.5K267.5K193.7K
Net DEX-13.4M-20.7M-7.1M-19.9M-7.1M
Net VEX-70.2K-79.6K-66.3K-69.3K-68.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.330.006.621.730.00
Total Volume352.22751,3138725
Total OI26,778.63621,30329,27927,99723,112

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-08-02$24.64$20.0036.2%10.4%41.4%48.3%36.2%8.5%0.1%267.5K-19.9M-69.3K1.7320.48N/AN/A32055213,43914,558
2010-08-03$23.71$20.0043.9%12.6%42.4%68.0%41.6%8.1%-0.6%169.4K-15.1M-79.6K2.6526.56N/AN/A14237613,45714,824
2010-08-04$24.53$20.0035.0%10.0%42.3%45.0%36.0%8.9%1.0%242.2K-19.1M-70.4K0.4626.54N/AN/A1547113,50415,064
2010-08-05$24.55$20.0034.5%9.9%42.5%43.9%35.3%8.6%0.5%243.8K-19.1M-70.1K0.5722.74N/AN/A1247113,50415,118
2010-08-06$24.43$22.5032.9%9.8%43.0%39.6%34.2%12.3%1.4%257.2K-18.6M-70.7K1.6216.00N/AN/A6610713,53415,127
2010-08-09$24.85$22.5035.1%9.9%42.6%45.4%35.2%11.9%0.5%256.8K-20.7M-67.5K0.3822.58N/AN/A1977513,55115,175
2010-08-10$24.02$22.5034.4%10.0%45.5%43.7%41.2%10.4%0.5%227.9K-17.0M-72.6K6.6216.21N/AN/A138613,69815,213
2010-08-11$23.26$22.5040.9%11.4%47.9%60.3%40.7%7.9%0.6%179.3K-13.7M-70.6K1.2315.49N/AN/A12615513,66715,257
2010-08-12$23.11$22.5039.1%11.2%48.2%55.5%36.1%7.8%0.2%197.2K-12.6M-69.1K0.1824.59N/AN/A66311813,48515,230
2010-08-13$22.68$22.5039.2%11.2%49.0%55.9%37.4%5.9%0.7%182.8K-10.7M-74.7K0.7828.34N/AN/A1169013,99415,285
2010-08-16$22.80$22.5039.4%11.3%49.0%56.3%35.8%7.5%-0.0%172.0K-10.8M-72.2K0.2727.55N/AN/A2556813,72815,244
2010-08-17$23.37$22.5036.1%10.4%42.1%47.9%34.2%6.4%1.4%197.0K-13.7M-70.5K1.5828.18N/AN/A34554413,63015,216
2010-08-18$23.82$22.5035.1%10.1%41.7%45.3%34.6%7.3%1.5%269.5K-14.6M-67.7K0.1930.34N/AN/A1442713,40715,169
2010-08-19$23.42$22.5034.8%10.0%37.5%44.6%41.2%7.4%1.9%250.6K-12.7M-67.3K5.1233.47N/AN/A4925113,41315,158
2010-08-20$23.42$22.5035.0%10.0%36.4%45.1%31.7%6.2%2.2%189.0K-13.1M-66.3K0.7032.03N/AN/A302113,40615,293
2010-08-23$23.23$22.5035.1%10.1%31.3%45.3%35.2%3.6%4.2%146.9K-9.1M-67.0K0.2130.45N/AN/A1,08522810,51610,787
2010-08-24$23.49$24.0037.3%10.7%31.7%51.1%36.2%5.4%1.8%169.7K-10.9M-69.4K0.1845.53N/AN/A2995411,48811,011
2010-08-25$23.50$24.0036.4%10.4%31.3%48.7%36.9%4.7%2.4%188.3K-10.6M-69.8K0.9131.56N/AN/A15814411,73511,048
2010-08-26$22.98$24.0036.8%10.6%31.4%49.7%35.3%4.3%3.1%187.4K-9.1M-72.5K0.3526.72N/AN/A1013511,86311,174
2010-08-27$23.24$24.0036.5%10.5%31.7%49.1%38.5%4.7%3.0%201.4K-9.7M-69.7K3.4539.59N/AN/A206911,80911,199
2010-08-30$22.58$24.0037.0%10.6%32.8%50.2%29.9%5.6%1.9%189.1K-7.6M-68.6K0.2032.55N/AN/A1623311,82011,220
2010-08-31$22.56$24.0038.1%10.9%30.2%53.0%37.8%4.9%0.8%193.7K-7.1M-68.4K0.0036.84N/AN/A5011,87211,240