AN Options History — December 2010

In December 2010, AN traded between $26.27 and $28.46. ATM implied volatility averaged 28.6%, placing in the 28.8% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 13.1% (HV 20d: 15.6%). Max pain ranged from $22.50 to $24.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.50.

Notable Days

  • 2010-12-15: Highest Volume — 4,527 contracts
  • 2010-12-27: Largest IV spike — 11.5% change
  • 2010-12-07: Highest IV Rank — 44.1%
  • 2010-12-01: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.27$26.27$28.46$26.49$28.20
Max Pain$22.70$22.50$24.00$24.00$22.50
ATM IV28.6%24.1%34.6%31.8%26.3%
Expected Move8.0%6.9%9.1%9.1%7.6%
HV 20d15.6%12.6%26.3%26.3%12.6%
HV 60d26.3%25.3%27.1%27.0%25.3%
IV Rank28.8%17.1%44.1%36.9%22.9%
IV Percentile18.5%4.8%52.8%26.6%11.1%
Term Structure3.9%-0.0%5.9%-0.0%4.0%
VWIV28.8%22.9%37.6%30.9%28.2%
Skew 25d3.4%1.3%6.5%1.3%1.8%
Skew 10d6.3%-4.3%11.2%1.6%1.2%
Call IV 25d26.9%23.4%31.1%31.1%25.8%
Put IV 25d30.4%26.5%35.7%32.4%27.7%
Bid-Ask Spread %40.6318.2689.1974.3318.26
Gamma HHI0.190.160.250.170.17
Net GEX194.4K133.4K291.7K172.4K135.3K
Net DEX-18.9M-23.9M-13.5M-13.7M-23.2M
Net VEX-44.6K-51.2K-36.8K-40.2K-41.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.021.320.270.15
Total Volume652.727444,527176243
Total OI19,171.90916,14621,72716,14620,357

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-12-01$26.49$24.0031.8%9.1%26.3%36.9%30.9%1.3%-0.0%172.4K-13.7M-40.2K0.2774.33N/AN/A139378,1128,034
2010-12-02$26.91$24.0029.7%8.5%21.4%31.4%31.0%3.0%0.8%181.1K-14.8M-37.8K1.0071.14N/AN/A56568,1508,046
2010-12-03$26.89$24.0028.2%8.1%19.3%27.6%29.0%1.5%2.8%198.1K-14.9M-36.8K1.0156.41N/AN/A1371398,1538,042
2010-12-06$26.66$22.5031.3%8.9%17.4%35.6%33.3%3.8%4.3%196.3K-14.5M-38.5K1.0034.11N/AN/A22228,2478,153
2010-12-07$26.32$22.5034.6%8.6%17.9%44.1%33.3%6.5%5.3%185.6K-13.5M-41.4K0.9836.20N/AN/A9289138,2528,173
2010-12-08$26.27$22.5033.8%9.1%17.6%41.9%30.6%4.9%3.2%180.9K-13.6M-44.1K1.0832.55N/AN/A971059,0238,938
2010-12-09$26.34$22.5032.8%8.9%15.8%39.5%31.8%3.8%3.5%183.7K-13.9M-43.2K0.4841.47N/AN/A2701309,0699,032
2010-12-10$26.50$22.5029.3%8.7%15.7%30.4%31.8%1.5%3.8%196.9K-14.9M-44.2K1.1655.38N/AN/A5946889,2929,121
2010-12-13$26.66$22.5031.9%8.2%15.5%37.2%29.1%4.2%4.1%198.6K-15.9M-50.5K0.3039.98N/AN/A113349,8289,599
2010-12-14$26.93$22.5030.3%8.1%15.9%33.2%29.9%2.5%4.0%214.6K-17.1M-47.4K0.7233.60N/AN/A1801309,8459,575
2010-12-15$27.00$22.5029.5%8.5%12.9%31.1%37.6%4.8%3.2%204.2K-16.7M-49.0K0.1230.84N/AN/A4,0554729,7219,649
2010-12-16$27.41$22.5028.2%8.1%13.5%27.8%22.9%5.4%4.2%291.7K-22.7M-51.0K0.0430.90N/AN/A1,1414611,6349,935
2010-12-17$27.18$22.5027.1%7.8%13.9%25.0%32.3%4.9%4.8%251.6K-22.6M-51.2K0.1833.36N/AN/A85515611,7649,963
2010-12-20$27.41$22.5027.5%7.9%13.9%25.9%25.8%4.8%3.1%245.7K-21.8M-48.8K0.3232.92N/AN/A1866011,0179,233
2010-12-21$27.64$22.5025.1%7.2%13.9%19.8%25.1%3.0%5.0%234.3K-22.7M-46.9K1.3224.15N/AN/A30740611,1029,253
2010-12-22$28.00$22.5024.6%7.0%14.1%18.4%23.9%3.7%5.2%186.8K-23.2M-47.2K0.3430.27N/AN/A2006911,0749,614
2010-12-23$28.10$22.5024.1%6.9%13.7%17.1%24.5%2.3%5.9%175.9K-23.2M-46.8K0.0234.06N/AN/A301610,9829,657
2010-12-27$28.07$22.5026.9%7.7%12.7%24.2%26.6%2.9%3.7%178.2K-23.0M-45.8K0.1489.19N/AN/A3334710,9439,658
2010-12-28$28.02$22.5025.3%7.2%12.8%20.2%25.5%2.5%5.2%173.8K-22.8M-44.8K0.2337.07N/AN/A751710,8929,684
2010-12-29$28.38$22.5026.5%7.6%13.2%23.3%26.3%2.4%5.1%157.8K-23.8M-42.1K0.0728.44N/AN/A3522610,8689,677
2010-12-30$28.46$22.5025.4%7.3%12.7%20.6%24.7%3.8%5.6%133.4K-23.9M-41.2K0.1229.17N/AN/A1932410,7519,670
2010-12-31$28.20$22.5026.3%7.6%12.6%22.9%28.2%1.8%4.0%135.3K-23.2M-41.2K0.1518.26N/AN/A2113210,6739,684