AN Options History — September 2010

In September 2010, AN traded between $23.00 and $24.54. ATM implied volatility averaged 34.0%, placing in the 42.5% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 5.2% (HV 20d: 28.7%). Max pain ranged from $20.00 to $24.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2010-09-15: Highest Volume — 850 contracts
  • 2010-09-07: Largest IV spike — 28.7% change
  • 2010-09-01: Highest IV Rank — 50.9%
  • 2010-09-01: Largest Expected Move — 10.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.48$23.00$24.54$23.21$23.25
Max Pain$20.38$20.00$24.00$24.00$20.00
ATM IV34.0%28.0%37.2%37.2%33.8%
Expected Move9.9%9.0%10.7%10.7%9.7%
HV 20d28.7%25.3%33.5%29.3%25.3%
HV 60d36.3%34.3%37.4%36.7%34.3%
IV Rank42.5%27.2%50.9%50.9%42.0%
IV Percentile31.5%13.1%46.4%46.4%30.2%
Term Structure2.6%-0.0%5.2%0.1%2.7%
VWIV33.9%31.2%42.4%33.8%31.2%
Skew 25d5.6%1.8%12.4%12.4%4.9%
Skew 10d13.0%2.0%21.3%16.8%11.3%
Call IV 25d32.1%26.8%34.2%26.8%30.6%
Put IV 25d37.7%34.9%41.1%39.2%35.5%
Bid-Ask Spread %29.8623.1542.4842.4827.86
Gamma HHI0.300.240.360.360.28
Net GEX272.5K208.8K348.5K208.8K340.9K
Net DEX-11.3M-15.3M-9.9M-9.9M-11.1M
Net VEX-58.7K-66.4K-51.2K-66.4K-52.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.039.671.630.06
Total Volume307.38135850245202
Total OI22,570.66720,75323,94423,11321,579

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-09-01$23.21$24.0037.2%10.7%29.3%50.9%33.8%12.4%0.1%208.8K-9.9M-66.4K1.6342.48N/AN/A9315211,87311,240
2010-09-02$23.88$24.0032.2%9.2%31.4%38.0%32.0%4.8%5.2%213.1K-12.5M-65.5K1.1129.97N/AN/A23826411,89111,375
2010-09-03$24.54$20.0028.0%9.9%32.9%27.2%31.6%4.9%2.7%246.3K-15.3M-62.8K0.4230.38N/AN/A30612811,92911,376
2010-09-07$23.92$20.0036.1%10.4%33.5%47.8%34.9%5.9%1.7%224.2K-12.9M-65.0K0.2827.85N/AN/A2938112,02211,449
2010-09-08$23.90$20.0033.1%10.3%31.3%40.1%0.0%6.4%2.9%237.1K-12.7M-64.9K0.8429.27N/AN/A191612,21711,450
2010-09-09$23.45$20.0036.1%10.3%29.8%47.8%38.4%7.2%2.9%239.8K-10.9M-64.8K0.5728.09N/AN/A442512,12611,434
2010-09-10$23.35$20.0034.2%9.8%29.8%43.1%42.4%7.5%3.2%244.2K-10.4M-63.2K9.6730.35N/AN/A1211612,10011,434
2010-09-13$23.50$20.0034.9%10.0%28.9%44.9%35.8%6.5%2.1%244.4K-10.9M-60.8K1.3528.00N/AN/A628412,11211,434
2010-09-14$23.54$20.0033.7%9.7%28.9%41.7%36.1%6.0%2.9%243.2K-11.1M-60.6K0.1628.54N/AN/A69311011,97011,458
2010-09-15$23.57$20.0033.9%9.7%27.6%42.3%32.7%6.1%2.2%348.5K-11.1M-56.7K0.1025.39N/AN/A7737712,33611,557
2010-09-16$23.26$20.0034.0%9.7%27.1%42.5%34.0%5.1%3.4%313.9K-9.9M-58.6K0.0330.73N/AN/A4881512,18811,524
2010-09-17$23.34$20.0033.1%9.5%26.5%40.2%32.8%6.0%4.1%307.9K-10.4M-56.2K0.2232.27N/AN/A2866212,42511,519
2010-09-20$23.69$20.0032.9%9.4%27.0%39.8%32.0%5.4%3.5%251.7K-12.1M-55.9K0.5833.42N/AN/A1599210,67410,079
2010-09-21$23.26$20.0034.2%9.8%27.7%43.0%32.6%6.0%2.8%243.5K-10.7M-56.3K0.2432.06N/AN/A43210410,74410,161
2010-09-22$23.12$20.0035.6%10.2%27.4%46.6%32.5%5.7%1.3%274.6K-10.4M-55.7K0.1224.59N/AN/A3213711,09610,191
2010-09-23$23.00$20.0036.2%10.4%27.5%48.1%32.9%3.9%-0.0%281.8K-10.3M-56.0K1.2939.84N/AN/A8210611,20710,192
2010-09-24$23.70$20.0031.5%9.0%28.3%36.0%31.5%4.2%4.7%317.3K-13.0M-51.2K0.1426.79N/AN/A1221711,20310,198
2010-09-27$23.23$20.0034.5%9.9%29.1%43.8%34.0%1.8%3.7%308.5K-11.1M-54.0K1.3923.15N/AN/A314311,16410,196
2010-09-28$23.22$20.0034.0%9.8%27.0%42.6%33.2%4.4%2.2%312.7K-10.7M-52.3K0.1431.79N/AN/A1522211,16510,195
2010-09-29$23.08$20.0034.4%9.9%27.2%43.5%34.4%3.0%1.3%319.3K-10.4M-52.4K0.0424.25N/AN/A92411,28710,214
2010-09-30$23.25$20.0033.8%9.7%25.3%42.0%31.2%4.9%2.7%340.9K-11.1M-52.5K0.0627.86N/AN/A1901211,36210,217