AN Options History — January 2011

In January 2011, AN traded between $27.53 and $29.77. ATM implied volatility averaged 28.9%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 12.1% (HV 20d: 16.8%). Max pain ranged from $22.50 to $28.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.27.

Notable Days

  • 2011-01-19: Highest Volume — 3,175 contracts
  • 2011-01-13: Largest IV spike — 30.7% change
  • 2011-01-31: Highest IV Rank — 38.4%
  • 2011-01-10: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$28.56$27.53$29.77$28.48$28.71
Max Pain$26.30$22.50$28.00$22.50$28.00
ATM IV28.9%23.5%32.4%26.8%32.4%
Expected Move8.7%7.1%9.8%7.7%9.3%
HV 20d16.8%12.6%21.8%12.8%21.5%
HV 60d24.2%18.7%26.1%25.4%18.7%
IV Rank29.4%15.6%38.4%24.1%38.4%
IV Percentile24.0%4.4%41.7%13.1%41.7%
Term Structure0.1%-2.9%5.5%3.9%-2.3%
VWIV29.2%19.3%35.3%22.8%35.3%
Skew 25d3.3%-1.4%6.3%2.8%4.4%
Skew 10d6.1%-11.9%16.6%4.6%1.4%
Call IV 25d28.7%21.8%32.3%25.5%31.8%
Put IV 25d32.0%24.9%36.2%28.3%36.2%
Bid-Ask Spread %45.1028.5757.5730.9545.15
Gamma HHI0.230.160.300.170.26
Net GEX136.9K113.3K176.9K126.5K130.2K
Net DEX-18.5M-25.8M-7.3M-23.3M-7.3M
Net VEX-50.7K-55.3K-39.6K-40.4K-52.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.001.170.000.05
Total Volume559.6133,17526681
Total OI17,321.758,59421,99120,2528,800

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-01-03$28.48$22.5026.8%7.7%12.8%24.1%22.8%2.8%3.9%126.5K-23.3M-40.4K0.0030.95N/AN/A266010,5369,716
2011-01-04$28.04$22.5027.1%7.8%13.9%24.8%19.8%-1.4%4.1%149.7K-21.9M-40.6K0.5532.64N/AN/A1045710,3869,716
2011-01-05$28.19$22.5024.6%7.1%12.6%18.5%19.3%4.5%5.5%119.9K-22.1M-39.6K0.0028.57N/AN/A73010,2149,773
2011-01-06$27.53$22.5025.1%7.2%15.8%19.8%22.5%1.9%4.1%147.6K-20.3M-41.1K0.0136.84N/AN/A2,0961410,1849,773
2011-01-07$27.76$26.0024.6%9.0%16.0%18.3%0.0%2.9%0.2%176.9K-22.3M-55.0K0.8239.88N/AN/A26021411,4609,767
2011-01-10$28.35$26.0025.6%9.8%17.2%20.9%0.0%4.3%-1.6%154.9K-23.7M-53.5K0.6946.69N/AN/A16011111,5149,978
2011-01-11$28.18$26.0024.0%8.6%17.5%17.0%29.5%2.5%0.9%148.3K-23.2M-55.3K0.1652.37N/AN/A1642711,36110,082
2011-01-12$28.28$26.0023.5%8.8%17.3%15.6%31.2%2.8%-0.8%146.6K-23.4M-54.4K0.0834.45N/AN/A2522011,35110,093
2011-01-13$28.24$28.0030.7%8.8%17.4%34.0%30.3%1.9%0.2%138.8K-23.2M-54.7K0.1447.09N/AN/A1402011,35110,108
2011-01-14$28.39$28.0031.9%9.2%16.7%37.3%29.7%3.5%0.1%122.1K-23.3M-53.2K0.0748.44N/AN/A1471111,24610,112
2011-01-18$28.20$28.0031.9%9.2%16.6%37.2%31.9%4.3%-1.3%116.9K-22.6M-53.3K0.2256.53N/AN/A1784011,16210,120
2011-01-19$28.53$28.0031.8%9.1%16.8%37.0%32.5%3.6%-1.2%113.3K-22.4M-53.0K0.0248.17N/AN/A3,1195610,77710,160
2011-01-20$28.82$28.0030.9%8.9%16.9%34.6%32.9%5.8%-1.2%137.3K-25.8M-53.3K0.0456.77N/AN/A1,1644911,77810,213
2011-01-21$28.76$27.0030.7%8.8%16.5%34.0%30.5%1.7%-0.3%139.2K-24.1M-53.5K0.0943.79N/AN/A1,52614411,27510,250
2011-01-24$29.18$27.0030.6%8.8%17.1%33.8%32.0%5.3%-2.4%129.0K-7.9M-52.9K0.1255.63N/AN/A138175,3123,282
2011-01-25$29.45$27.0031.5%9.0%17.3%36.1%32.6%6.3%-2.9%139.1K-8.4M-51.3K0.0557.57N/AN/A242115,3263,296
2011-01-26$29.63$27.0031.1%8.9%17.2%35.2%30.3%4.0%-0.6%139.5K-8.6M-51.2K0.5948.48N/AN/A66395,3213,303
2011-01-27$29.77$28.0030.3%8.7%16.8%33.1%29.0%2.1%-1.2%137.5K-8.9M-51.1K1.1744.20N/AN/A675,3233,342
2011-01-28$28.70$28.0032.0%9.2%21.8%37.5%33.4%2.3%-0.3%124.9K-7.5M-52.9K0.4547.68N/AN/A119545,3263,348
2011-01-31$28.71$28.0032.4%9.3%21.5%38.4%35.3%4.4%-2.3%130.2K-7.3M-52.8K0.0545.15N/AN/A7745,4113,389