AN Options History — November 2010

In November 2010, AN traded between $23.52 and $26.84. ATM implied volatility averaged 31.7%, placing in the 36.7% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 4.9% (HV 20d: 36.6%). Max pain ranged from $22.00 to $24.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 1.58.

Notable Days

  • 2010-11-04: Highest Volume — 1,493 contracts
  • 2010-11-05: Largest IV drop — 17.8% change
  • 2010-11-04: Highest IV Rank — 48.7%
  • 2010-11-04: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$25.89$23.52$26.84$23.52$26.13
Max Pain$23.57$22.00$24.00$22.00$24.00
ATM IV31.7%29.1%36.4%32.6%32.7%
Expected Move9.2%8.6%10.4%9.3%9.4%
HV 20d36.6%26.2%39.8%33.5%26.2%
HV 60d29.4%27.4%30.1%29.3%27.4%
IV Rank36.7%30.1%48.7%38.9%39.2%
IV Percentile27.6%15.5%57.9%27.0%34.5%
Term Structure0.4%-4.7%3.3%-1.0%0.8%
VWIV31.8%27.6%34.6%32.6%34.5%
Skew 25d3.0%-2.3%6.7%2.3%3.6%
Skew 10d9.1%-5.8%19.8%18.3%9.0%
Call IV 25d30.2%27.2%34.3%32.6%31.2%
Put IV 25d33.2%31.6%36.0%34.9%34.8%
Bid-Ask Spread %56.3643.2380.3566.5757.82
Gamma HHI0.220.170.290.250.17
Net GEX325.1K121.0K552.7K430.3K173.0K
Net DEX-16.1M-20.6M-9.3M-9.3M-13.1M
Net VEX-47.0K-57.0K-39.8K-57.0K-41.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.580.0813.800.611.38
Total Volume405.571241,49315350
Total OI18,163.85715,96719,52619,43216,265

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-01$23.52$22.0032.6%9.3%33.5%38.9%32.6%2.3%-1.0%430.3K-9.3M-57.0K0.6166.57N/AN/A955811,5197,913
2010-11-02$23.80$22.0036.3%10.4%33.7%48.5%34.6%-2.3%-1.1%467.6K-10.4M-54.0K0.4745.79N/AN/A1165511,5387,966
2010-11-03$24.97$23.0035.9%10.3%37.0%47.4%34.6%0.9%-4.7%552.7K-15.5M-51.2K0.2070.86N/AN/A57511511,5118,015
2010-11-04$25.69$23.0036.4%10.4%38.1%48.7%33.1%5.9%0.5%515.9K-18.5M-50.6K0.1754.85N/AN/A1,28021311,4218,086
2010-11-05$26.38$23.0029.9%9.0%38.7%32.1%27.6%4.5%-0.2%374.7K-20.0M-49.9K0.1760.88N/AN/A1,12519310,9248,134
2010-11-08$26.54$23.0029.4%8.7%37.9%30.9%32.5%3.8%0.6%363.6K-20.6M-48.0K0.2845.86N/AN/A2396711,0408,278
2010-11-09$26.28$23.0030.5%8.7%38.2%33.6%30.7%2.6%-1.3%425.8K-19.4M-50.2K0.0854.29N/AN/A9647410,9328,274
2010-11-10$26.84$24.0029.1%9.2%38.6%30.1%32.4%6.7%-0.8%328.6K-20.2M-45.1K5.4963.17N/AN/A9451610,4848,338
2010-11-11$26.63$24.0030.0%8.6%38.9%32.4%30.3%3.9%0.3%368.1K-19.9M-44.1K0.4043.23N/AN/A421710,5138,126
2010-11-12$26.40$24.0030.6%8.8%39.1%33.8%30.9%2.4%2.6%366.5K-18.9M-47.4K0.0852.11N/AN/A4053110,4758,129
2010-11-15$26.36$24.0030.5%8.8%39.1%33.7%29.7%2.1%1.8%353.8K-18.7M-46.3K0.1752.03N/AN/A4638010,4078,155
2010-11-16$25.74$24.0030.4%8.7%39.8%33.3%31.0%6.6%3.3%443.0K-16.5M-49.0K0.1567.28N/AN/A75011410,4268,221
2010-11-17$25.96$24.0032.6%9.4%39.7%39.1%0.0%3.6%0.8%347.8K-17.1M-47.9K1.8145.22N/AN/A162910,3998,330
2010-11-18$25.89$24.0030.2%8.7%39.6%32.9%0.0%3.9%1.4%308.8K-16.4M-47.5K2.3367.94N/AN/A214910,0968,359
2010-11-19$26.13$24.0030.3%8.7%39.6%33.2%31.0%2.9%1.6%121.0K-17.4M-43.8K0.8544.19N/AN/A484110,1058,396
2010-11-22$26.06$24.0030.5%8.7%39.5%33.5%32.3%1.3%0.3%166.3K-13.0M-43.4K0.2880.35N/AN/A167478,1817,786
2010-11-23$25.98$24.0031.9%9.2%39.3%37.2%31.8%0.9%1.7%178.8K-13.0M-43.0K2.0548.19N/AN/A43888,3177,783
2010-11-24$26.33$24.0031.1%8.9%39.4%35.1%30.9%2.0%0.3%173.7K-13.7M-43.6K1.8357.23N/AN/A23428,3187,871
2010-11-26$26.04$24.0031.0%8.9%26.3%35.0%30.8%3.3%0.3%173.1K-13.1M-43.7K0.6052.73N/AN/A1598,3197,881
2010-11-29$26.03$24.0033.6%9.6%26.3%41.5%33.6%1.8%2.3%194.2K-13.2M-39.8K13.8052.99N/AN/A101388,3247,886
2010-11-30$26.13$24.0032.7%9.4%26.2%39.2%34.5%3.6%0.8%173.0K-13.1M-41.6K1.3857.82N/AN/A21298,2608,005