AN Options History — February 2011

In February 2011, AN traded between $28.25 and $34.87. ATM implied volatility averaged 29.1%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 17.4% (HV 20d: 46.6%). Max pain ranged from $28.00 to $32.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.74.

Notable Days

  • 2011-02-03: Highest Volume — 1,218 contracts
  • 2011-02-03: Largest IV drop — 25.4% change
  • 2011-02-23: Highest IV Rank — 44.4%
  • 2011-02-23: Largest Expected Move — 10.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$32.64$28.25$34.87$29.15$33.64
Max Pain$30.74$28.00$32.00$28.00$32.00
ATM IV29.1%24.3%34.7%33.4%30.8%
Expected Move8.4%7.2%10.0%9.6%8.8%
HV 20d46.6%21.9%55.6%21.9%53.3%
HV 60d29.7%18.1%33.9%18.1%33.8%
IV Rank30.1%17.6%44.4%41.0%34.4%
IV Percentile29.2%6.0%65.1%50.8%36.1%
Term Structure-0.4%-4.4%1.8%-4.4%1.6%
VWIV28.9%21.8%38.1%32.5%31.2%
Skew 25d3.8%0.2%6.6%3.4%3.7%
Skew 10d8.6%-7.4%23.6%5.0%14.1%
Call IV 25d27.5%22.5%32.0%31.2%29.8%
Put IV 25d31.3%26.9%37.1%34.7%33.5%
Bid-Ask Spread %62.6743.7382.5644.4569.47
Gamma HHI0.260.200.410.280.25
Net GEX196.7K118.0K377.0K141.7K138.5K
Net DEX-12.5M-16.2M-7.0M-8.2M-12.1M
Net VEX-47.9K-54.4K-39.0K-52.0K-50.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.740.003.280.180.74
Total Volume358.526221,218176223
Total OI10,473.5268,85211,6788,85210,545

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$29.15$28.0033.4%9.6%21.9%41.0%32.5%3.4%-4.4%141.7K-8.2M-52.0K0.1844.45N/AN/A149275,4613,391
2011-02-02$28.25$28.0033.6%9.6%24.1%41.4%33.9%5.2%0.5%138.6K-7.0M-52.3K3.2859.71N/AN/A1735685,5573,399
2011-02-03$31.45$28.0025.0%7.2%45.0%19.5%24.1%3.5%-4.0%144.7K-12.2M-45.8K0.5545.69N/AN/A7844345,6933,936
2011-02-04$30.84$31.0024.3%8.1%44.7%17.6%28.3%3.7%-0.1%142.1K-10.8M-50.9K1.0749.68N/AN/A2272425,9354,305
2011-02-07$31.67$31.0024.6%7.5%45.3%18.5%26.4%4.7%0.8%187.6K-12.2M-49.3K0.9743.73N/AN/A100976,0734,509
2011-02-08$32.60$31.0026.1%8.0%45.7%22.3%26.9%6.6%-1.9%202.6K-13.7M-45.1K0.5352.95N/AN/A133706,0194,584
2011-02-09$33.57$31.0030.5%7.9%46.1%33.5%26.5%3.3%0.3%160.4K-15.0M-41.7K0.5063.09N/AN/A6513255,9084,627
2011-02-10$33.07$31.0029.2%8.4%46.8%30.1%28.8%3.4%-1.8%237.0K-14.3M-49.3K0.5474.50N/AN/A95516,4374,928
2011-02-11$33.96$31.0025.4%7.3%47.1%20.6%25.6%0.2%0.5%255.4K-15.1M-43.3K0.4867.61N/AN/A93456,2024,965
2011-02-14$33.63$31.0027.3%7.8%47.6%25.2%29.8%3.6%0.5%286.0K-14.1M-44.7K1.0470.50N/AN/A28296,1044,970
2011-02-15$33.25$31.0029.0%8.3%47.8%29.7%38.1%2.7%-1.8%252.1K-13.2M-48.2K0.2578.31N/AN/A59156,0214,988
2011-02-16$34.87$31.0025.7%7.4%49.8%21.2%25.8%2.9%0.7%223.5K-16.2M-39.0K0.2359.39N/AN/A5381256,0455,001
2011-02-17$34.13$31.0029.0%8.3%51.1%29.9%27.2%3.0%0.0%334.2K-14.6M-45.9K0.4767.80N/AN/A196926,4185,038
2011-02-18$34.39$31.0028.9%8.3%50.9%29.5%29.2%3.8%-1.2%377.0K-15.1M-45.5K0.3761.13N/AN/A97366,5755,103
2011-02-22$33.50$31.0033.6%9.6%52.4%41.6%30.7%5.0%0.3%136.3K-12.0M-49.0K1.1082.56N/AN/A80885,8173,953
2011-02-23$32.23$32.0034.7%10.0%54.8%44.4%33.5%5.0%0.3%125.7K-10.0M-52.0K1.2572.57N/AN/A2713395,8533,988
2011-02-24$32.49$32.0033.6%9.6%54.8%41.4%0.0%3.2%0.7%118.0K-10.1M-54.4K0.0068.26N/AN/A2206,0624,259
2011-02-25$33.51$32.0029.0%8.3%55.6%29.7%21.8%5.5%1.8%135.3K-11.7M-51.9K0.4459.29N/AN/A215956,0694,259
2011-02-28$33.64$32.0030.8%8.8%53.3%34.4%31.2%3.7%1.6%138.5K-12.1M-50.8K0.7469.47N/AN/A128956,2034,342