AN Options History — March 2011

In March 2011, AN traded between $32.33 and $35.71. ATM implied volatility averaged 29.5%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 4.2% (HV 20d: 33.7%). Max pain ranged from $25.00 to $32.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 19 of 23 days. Put/call ratio averaged 2.16.

Notable Days

  • 2011-03-30: Highest Volume — 1,799 contracts
  • 2011-03-28: Largest IV spike — 15.9% change
  • 2011-03-01: Highest IV Rank — 47.0%
  • 2011-03-01: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$33.50$32.33$35.71$32.50$35.37
Max Pain$26.70$25.00$32.00$32.00$29.00
ATM IV29.5%24.1%35.7%35.7%24.7%
Expected Move8.5%6.9%10.2%10.2%7.1%
HV 20d33.7%19.9%55.3%55.3%22.4%
HV 60d35.3%34.5%36.1%34.6%36.0%
IV Rank25.4%8.0%47.0%47.0%9.5%
IV Percentile28.2%3.2%69.4%69.4%6.0%
Term Structure2.1%-3.5%7.8%-3.5%4.2%
VWIV29.3%23.2%34.2%30.5%23.7%
Skew 25d3.0%0.9%5.4%1.7%1.4%
Skew 10d9.6%-2.7%20.8%1.1%-0.5%
Call IV 25d28.2%23.7%32.9%32.5%24.0%
Put IV 25d31.2%25.0%37.5%34.2%25.4%
Bid-Ask Spread %41.7819.8083.6158.1719.80
Gamma HHI0.190.130.240.240.14
Net GEX151.9K111.6K249.8K118.3K140.8K
Net DEX-11.5M-12.9M-9.9M-10.4M-11.7M
Net VEX-51.0K-56.0K-45.5K-54.1K-56.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.160.0010.160.713.88
Total Volume295.783141,799118429
Total OI11,064.8710,25311,93610,68411,936

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$32.50$32.0035.7%10.2%55.3%47.0%30.5%1.7%-3.5%118.3K-10.4M-54.1K0.7158.17N/AN/A69496,2564,428
2011-03-02$32.84$32.0031.5%9.0%55.3%36.1%31.8%3.8%0.4%116.0K-10.7M-52.2K0.9345.19N/AN/A81756,2924,461
2011-03-03$32.99$32.0029.8%8.6%53.5%31.9%30.3%2.3%1.8%127.5K-11.1M-52.2K0.9352.35N/AN/A29276,3194,462
2011-03-04$32.68$25.0029.6%8.8%38.7%31.2%29.5%5.4%1.6%119.4K-10.5M-52.3K1.0940.08N/AN/A2232446,3334,467
2011-03-07$32.33$25.0033.4%9.3%38.1%40.9%32.1%4.2%1.8%112.1K-9.9M-53.0K1.2330.41N/AN/A30376,4744,606
2011-03-08$33.34$25.0031.1%8.7%38.5%33.8%30.3%3.3%0.7%141.7K-11.6M-51.3K0.2233.05N/AN/A3686,4914,626
2011-03-09$33.55$25.0029.1%8.5%37.3%28.9%31.4%3.3%1.5%145.8K-12.2M-50.9K0.0035.75N/AN/A1406,4974,626
2011-03-10$32.95$25.0031.3%9.0%36.4%28.5%30.9%2.4%0.7%126.9K-11.2M-51.8K0.1432.11N/AN/A195286,5024,626
2011-03-11$33.48$25.0031.2%9.0%36.4%28.3%33.0%3.1%-0.5%168.3K-12.1M-48.4K0.8748.58N/AN/A67586,6434,647
2011-03-14$33.05$25.0032.8%9.4%35.4%32.7%32.9%3.9%-0.5%154.4K-11.4M-50.6K0.5354.08N/AN/A108576,7064,653
2011-03-15$33.22$25.0030.9%8.9%35.3%27.4%30.8%2.1%1.8%182.5K-11.8M-49.7K0.2641.51N/AN/A231606,7834,681
2011-03-16$32.89$25.0033.6%9.6%35.3%35.0%33.4%4.5%-0.3%182.6K-11.4M-52.2K3.3631.11N/AN/A22746,8974,712
2011-03-17$33.17$25.0031.6%9.1%30.6%29.3%34.2%2.9%1.3%237.4K-11.9M-51.4K1.7451.94N/AN/A42736,8874,773
2011-03-18$33.29$26.0031.1%8.9%29.8%28.0%31.2%3.9%0.7%249.8K-12.0M-49.4K1.4237.19N/AN/A891266,9094,803
2011-03-21$33.19$26.0029.0%8.3%29.7%21.9%27.9%3.4%4.4%137.2K-11.2M-48.8K0.7347.55N/AN/A124906,0074,246
2011-03-22$33.02$26.0027.9%8.0%28.3%18.9%23.2%2.4%3.4%143.9K-11.1M-48.6K0.1044.97N/AN/A2026,0834,255
2011-03-23$33.37$26.0026.9%7.7%24.7%15.9%29.4%4.1%2.2%149.7K-11.7M-45.5K7.2133.14N/AN/A483466,0754,255
2011-03-24$34.05$26.0025.3%7.2%25.4%11.3%27.0%2.4%7.8%152.5K-12.3M-48.6K4.9433.26N/AN/A542676,0614,493
2011-03-25$34.52$26.0024.1%6.9%23.5%8.0%24.1%2.3%6.3%154.0K-12.9M-48.3K10.1637.39N/AN/A1051,0676,0574,663
2011-03-28$34.28$26.0027.9%8.0%23.7%18.9%26.6%3.0%2.9%111.6K-11.7M-54.1K0.1383.61N/AN/A196255,9485,391
2011-03-29$34.67$28.0025.0%7.2%19.9%10.5%26.8%2.7%5.4%142.8K-11.1M-54.1K4.2736.65N/AN/A15645,8475,411
2011-03-30$35.71$29.0025.2%7.2%21.9%10.9%23.5%0.9%5.0%178.9K-12.7M-49.8K4.9233.16N/AN/A3041,4955,7495,455
2011-03-31$35.37$29.0024.7%7.1%22.4%9.5%23.7%1.4%4.2%140.8K-11.7M-56.0K3.8819.80N/AN/A883415,8626,074