AN Options History — October 2010

In October 2010, AN traded between $22.86 and $24.80. ATM implied volatility averaged 32.6%, placing in the 39.0% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 11.7% (HV 20d: 20.9%). Max pain ranged from $20.00 to $22.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.48.

Notable Days

  • 2010-10-28: Highest Volume — 3,393 contracts
  • 2010-10-11: Largest IV spike — 44.9% change
  • 2010-10-12: Highest IV Rank — 49.0%
  • 2010-10-06: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.57$22.86$24.80$23.59$23.22
Max Pain$20.90$20.00$22.00$20.00$22.00
ATM IV32.6%23.9%36.5%30.6%35.1%
Expected Move9.8%8.8%10.4%8.8%10.1%
HV 20d20.9%16.6%33.3%23.7%33.2%
HV 60d30.3%25.3%34.5%34.4%29.2%
IV Rank39.0%16.6%49.0%33.7%45.4%
IV Percentile29.9%4.4%53.2%17.5%49.6%
Term Structure-0.1%-6.8%4.5%4.5%-2.6%
VWIV35.2%31.5%46.4%31.8%34.9%
Skew 25d4.6%-2.0%7.0%2.1%-0.6%
Skew 10d12.7%-2.5%21.9%2.4%12.7%
Call IV 25d32.6%29.3%34.8%29.3%34.2%
Put IV 25d37.2%30.1%41.8%31.4%33.6%
Bid-Ask Spread %42.2821.5571.9927.4560.05
Gamma HHI0.290.190.550.260.21
Net GEX311.1K157.7K485.1K366.8K327.8K
Net DEX-11.0M-14.4M-7.1M-13.0M-8.0M
Net VEX-51.2K-56.8K-47.0K-49.6K-54.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.480.001.500.060.44
Total Volume632.76263,3931151,129
Total OI19,591.38115,13623,53621,65918,572

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$23.59$20.0030.6%8.8%23.7%33.7%31.8%2.1%4.5%366.8K-13.0M-49.6K0.0627.45N/AN/A108711,44210,217
2010-10-04$23.51$20.0032.9%10.2%21.3%39.8%39.3%7.0%1.0%376.0K-12.9M-49.1K0.7137.18N/AN/A19313711,51610,217
2010-10-05$23.59$21.0031.2%10.3%19.4%35.3%46.4%5.2%1.4%383.6K-13.0M-49.7K0.0926.78N/AN/A1,29511811,56710,322
2010-10-06$23.20$20.0032.4%10.4%20.2%38.5%35.7%4.8%2.1%397.8K-12.6M-56.2K0.8225.73N/AN/A19416012,69010,419
2010-10-07$23.35$20.0030.6%10.3%19.3%33.7%36.0%5.5%-0.2%420.1K-13.1M-56.8K0.0921.55N/AN/A6425812,78610,510
2010-10-08$23.27$20.0023.9%10.3%19.3%16.6%33.4%6.0%-0.4%430.3K-13.2M-56.7K0.4728.23N/AN/A773612,99210,519
2010-10-11$22.94$20.0034.6%10.4%19.8%44.1%0.0%5.8%1.4%418.8K-11.7M-54.2K0.8630.48N/AN/A857312,98610,536
2010-10-12$22.86$20.0036.5%10.4%19.7%49.0%38.7%4.8%0.4%436.8K-11.2M-52.5K0.7128.32N/AN/A1279013,03110,505
2010-10-13$23.07$20.0028.6%10.1%20.1%28.8%33.7%4.4%-0.4%485.1K-10.8M-52.4K1.5035.02N/AN/A365412,51510,570
2010-10-14$23.37$20.0035.8%10.3%20.1%47.2%34.7%5.3%-1.2%380.5K-12.5M-50.9K0.1639.63N/AN/A5569012,51210,572
2010-10-15$23.74$20.0032.9%9.4%20.8%39.8%33.8%4.3%0.0%468.3K-14.4M-48.7K0.0656.01N/AN/A6643812,71010,609
2010-10-18$23.89$20.0034.5%9.9%20.3%43.9%35.9%4.3%4.4%168.7K-9.1M-49.3K1.3552.42N/AN/A2813788,1506,986
2010-10-19$23.51$22.0033.3%9.5%20.0%40.6%35.7%6.0%-0.7%157.7K-8.2M-50.9K1.0042.49N/AN/A32328,2087,180
2010-10-20$23.84$22.0033.1%9.5%20.4%40.1%0.0%5.9%0.2%167.2K-9.0M-49.3K0.0039.29N/AN/A608,2367,202
2010-10-21$23.72$22.0032.6%9.3%20.4%38.8%34.6%5.8%-2.3%166.5K-8.9M-49.8K0.3848.43N/AN/A138528,2327,202
2010-10-22$23.82$22.0032.3%9.3%17.5%38.1%31.5%5.4%-0.8%172.2K-9.0M-48.8K0.3941.81N/AN/A31128,2517,252
2010-10-25$24.20$22.0034.0%9.7%16.6%42.5%33.2%5.3%-0.8%187.5K-9.9M-49.7K0.2453.67N/AN/A352858,2507,252
2010-10-26$24.55$22.0032.9%9.4%17.1%39.7%33.8%6.7%-0.9%204.0K-11.2M-47.0K0.0871.99N/AN/A240208,5157,284
2010-10-27$24.80$22.0033.7%9.7%17.0%41.7%33.8%4.6%0.3%210.9K-11.9M-47.1K0.6562.35N/AN/A1,3778928,5097,304
2010-10-28$22.95$22.0033.6%9.6%33.3%41.5%32.0%-2.0%-6.8%207.4K-7.1M-52.8K0.1358.98N/AN/A3,0143799,3137,778
2010-10-29$23.22$22.0035.1%10.1%33.2%45.4%34.9%-0.6%-2.6%327.8K-8.0M-54.4K0.4460.05N/AN/A78434510,9127,660